2020 applicants
People

Professor Marcus Chambers

Professor
Department of Economics
Professor Marcus Chambers
  • Email

  • Telephone

    +44 (0) 1206 872756

  • Location

    5B.326, Colchester Campus

  • Academic support hours

    Summer Term: On Research Leave

Profile

Biography

Marcus Chambers joined the academic staff in 1989 following completion of his PhD. His research is primarily in the field of econometrics, with publications in journals such as Econometric Theory, Journal of Econometrics, Journal of Political Economy and International Economic Review. His research has been supported by a number of grants from the ESRC and the Leverhulme Trust, the latter in the form of a Philip Leverhulme Prize from 2001-2003. Marcus is currently an Associate Editor of the Journal of Time Series Analysis, a member of the Editorial Board of Econometrics, a former Associate Editor of the Journal of Econometrics, and Deputy Director of the Essex Centre for Macro and Financial Econometrics.

Research and professional activities

Research interests

time series econometrics

Open to supervise

continuous time models and issues of temporal aggregation

Open to supervise

jackknife methods

Open to supervise

mixed frequency data

Open to supervise

frequency domain methods of estimation and inference

Open to supervise

Teaching and supervision

Current teaching responsibilities

  • Econometric Methods (EC501)

  • Time Series Econometrics (EC965)

Previous supervision

Marian Stoykov
Marian Stoykov
Thesis title: Three Essays on Bias, Bias Reduction and Estimation in Autoregressive Time Series Models.
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 19/3/2019
Daniel Gonzalez Olivares
Daniel Gonzalez Olivares
Thesis title: Estimation of Cointegrated Systems in Continuous Time
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 17/1/2018
Valerie Ann Lankester-Campos
Valerie Ann Lankester-Campos
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 20/4/2017
Nancy Milena Hoyos Gomez
Nancy Milena Hoyos Gomez
Thesis title: Finite Sample Properties of the Maximum Likelihood Estimator in Continuous Time Models
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 10/1/2017
Juan Ramon Hernandez Gonzalez
Juan Ramon Hernandez Gonzalez
Thesis title: Unit Root Testing in Arma Models: A Likelihood Ratio Approach
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 25/3/2014
Hashem Elshafie Mohamed Said Abou Wafia
Hashem Elshafie Mohamed Said Abou Wafia
Thesis title: The Effects of Financial Contagion, Bubbles and Monetary Policy on the Stock Markets of the Middle East and North Africa Region
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 31/1/2014
Mohammad Mahdi Lotfi Heravi
Mohammad Mahdi Lotfi Heravi
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 1/9/2011

Publications

Journal articles (66)

Chambers, MJ. and Taylor, AMR., (2020). Deterministic Parameter Change Models in Continuous and Discrete Time. Journal of Time Series Analysis. 41 (1), 134-145

Chambers, M., (2020). Frequency Domain Estimation of Cointegrating Vectors with Mixed Frequency and Mixed Sample Data. Journal of Econometrics. 217 (1), 140-160

Chambers, MJ., (2019). Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data. Journal of Time Series Analysis. 40 (6), 887-913

Chambers, MJ. and Zadrozny, PA., (2019). Econometric Modelling with Mixed Frequency and Temporally Aggregated Data. Journal of Time Series Analysis. 40 (6), 869-871

Thornton, MA. and Chambers, MJ., (2017). Continuous time ARMA processes: Discrete time representation and likelihood evaluation. Journal of Economic Dynamics and Control. 79, 48-65

Chambers, MJ., (2016). The estimation of continuous time models with mixed frequency data. Journal of Econometrics. 193 (2), 390-404

Thornton, MA. and Chambers, MJ., (2016). The exact discretisation of CARMA models with applications in finance. Journal of Empirical Finance. 38, 739-761

Chambers, MJ., (2015). Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data. Journal of Time Series Analysis. 36 (5), 630-649

Chambers, MJ., (2015). The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending. Journal of Time Series Analysis. 36 (4), 562-586

Abouwafia, HE. and Chambers, MJ., (2015). Monetary policy, exchange rates and stock prices in the Middle East region. International Review of Financial Analysis. 37, 14-28

Chambers, M., (2015). A Jackknife Correction to a Test for Cointegration Rank. Econometrics. 3 (2), 355-375

Chambers, MJ., Ercolani, JS. and Taylor, AMR., (2014). Testing for seasonal unit roots by frequency domain regression. Journal of Econometrics. 178 (PART 2), 243-258

Chambers, MJ., Ercolani, JS. and Taylor, AMR., (2014). Testing for seasonal unit roots by frequency domain regression. Journal of Econometrics. 178 (Pt 2), 243-258

Chambers, MJ., (2013). Jackknife estimation of stationary autoregressive models. Journal of Econometrics. 172 (1), 142-157

Thornton, MA. and Chambers, MJ., (2013). Continuous-time autoregressive moving average processes in discrete time: representation and embeddability. Journal of Time Series Analysis. 34 (5), 552-561

Chambers, MJ. and Kyriacou, M., (2013). Jackknife estimation with a unit root. Statistics & Probability Letters. 83 (7), 1677-1682

Chambers, MJ. and Thornton, MA., (2012). DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES. Econometric Theory. 28 (1), 219-238

Chambers, MJ. and Thornton, MA., (2012). Discrete Time Representation Of Continuous Time Arma Processes. Econometric Theory. 28 (01), 219-238

Chambers, MJ., (2011). Cointegration and sampling frequency. The Econometrics Journal. 14 (2), 156-185

Chambers, MJ., (2009). DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA. Econometric Theory. 25 (4), 1030-1049

Chambers, MJ., Phillips, PCB. and Taylor, AMR., (2009). ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION. Econometric Theory. 25 (4), 891-900

Chambers, MJ., (2009). Discrete Time Representations Of Cointegrated Continuous Time Models With Mixed Sample Data. Econometric Theory. 25 (04), 1030-1049

Chambers, MJ., Phillips, PCB. and Taylor, AMR., (2009). Econometric Theory Special Issue, Memorial To Albert Rex Bergstrom - Introduction. Econometric Theory. 25 (04), 891-900

Chambers, MJ., (2008). Corrigendum to: "Testing for unit roots with flow data and varying sampling frequency" [J. Econom. 119 (1) (2004) 1-18] (DOI:10.1016/S0304-4076(03)00152-0). Journal of Econometrics. 144 (2), 524-525

Chambers, MJ., (2008). Corrigendum to: 'Testing for unit roots with flow data and varying sampling frequency' Journal of Econometrics 119 (1) (2004) 1-18. Journal of Econometrics. 144 (2), 524-525

Chambers, MJ. and Roderick McCrorie, J., (2007). Frequency domain estimation of temporally aggregated Gaussian cointegrated systems. Journal of Econometrics. 136 (1), 1-29

Chambers, MJ. and McCrorie, JR., (2006). IDENTIFICATION AND ESTIMATION OF EXCHANGE RATE MODELS WITH UNOBSERVABLE FUNDAMENTALS*. International Economic Review. 47 (2), 573-582

Ercolani, JS. and Chambers, MJ., (2006). ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS. Econometric Theory. 22 (03), 483-498

Ercolani, JS. and Chambers, MJ., (2006). Estimation Of Differential-Difference Equation Systems With Unknown Lag Parameters. Econometric Theory. 22 (03), 483-498

Chambers, MJ., (2005). The purchasing power parity puzzle, temporal aggregation, and half-life estimation. Economics Letters. 86 (2), 193-198

Chambers, MJ., (2004). Testing for unit roots with flow data and varying sampling frequency. Journal of Econometrics. 119 (1), 1-18

Chambers, MJ., (2003). THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION. Econometric Theory. 19 (01), 49-77

Chambers, MJ., (2003). The Asymptotic Efficiency Of Cointegration Estimators Under Temporal Aggregation. Econometric Theory. 19 (01), 49-77

Chambers, MJ. and McGarry, JS., (2002). Modeling Cyclical Behavior With Differential-Difference Equations In An Unobserved Components Framework. Econometric Theory. 18 (02), 387-419

Chambers, MJ., (2001). TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS A Simulation Study. Econometric Theory. 17 (3), 591-607

Chambers, MJ., (2001). Challenging time series: Limits to knowledge, inertia and caprice.. ECONOMIC JOURNAL. 111 (469), F200-F202

Chambers, MJ., (2001). Temporal Aggregation And The Finite Sample Performance Of Spectral Regression Estimators In Cointegrated Systems. Econometric Theory. 17 (03), 591-607

Chambers, MJ., (2000). Handbook of applied econometrics, vol 1, Macroeconomics.. ECONOMIC JOURNAL. 110 (467), F803-F805

Chambers, MJ., (2000). Handbook of applied econometrics, vol 2, Microeconomics.. ECONOMIC JOURNAL. 110 (467), F803-F805

Chambers, MJ. and Bailey, RE., (1999). A Statistical Analysis of Wheat Price Fluctuations in England: 1685-1850. Journal of Agricultural Economics. 50 (3), 564-588

Chambers, MJ., (1999). Discrete time representation of stationary and non-stationary continuous time systems. Journal of Economic Dynamics and Control. 23 (4), 619-639

Chambers, MJ., (1999). A Note on Modelling Seasonal Processes in Continuous Time. Journal of Time Series Analysis. 20 (2), 139-143

Bailey, RE. and Chambers, MJ., (1998). The impact of real wage and mortality fluctuations on fertility and nuptiality in precensus England. Journal of Population Economics. 11 (3), 413-434

Chambers, MJ., (1998). The estimation of systems of joint differential-difference equations. Journal of Econometrics. 85 (1), 1-31

Chambers, MJ., (1998). Long Memory and Aggregation in Macroeconomic Time Series. International Economic Review. 39 (4), 1053-1053

Chambers, MJ., (1997). Dynamic disequilibrium modelling: Theory and applications.. ECONOMIC JOURNAL. 107 (445), 1900-1902

Chambers, MJ. and Ben Nowman, K., (1997). Forecasting with the almost ideal demand system: evidence from some alternative dynamic specifications. Applied Economics. 29 (7), 935-943

Chambers, MJ. and Bailey, RE., (1996). A Theory of Commodity Price Fluctuations. Journal of Political Economy. 104 (5), 924-957

Chambers, MJ., (1996). The Estimation of Continuous Parameter Long-Memory Time Series Models. Econometric Theory. 12 (2), 374-390

Chambers, MJ., (1996). Fractional integration, trend stationarity and difference stationarity Evidence from some U.K. macroeconomic time series. Economics Letters. 50 (1), 19-24

Chambers, MJ., (1996). Speed of adjustment and estimation of the partial adjustment model. Applied Economics Letters. 3 (1), 21-23

Chambers, MJ., (1996). The Estimation of Continuous Parameter Long-Memory Time Series Models. Econometric Theory. 12 (02), 374-390

Chambers, MJ., (1995). The simulation of random vector time series with given spectrum. Mathematical and Computer Modelling. 22 (2), 1-6

Chambers, MJ., Davidson, R. and MacKinnon, JG., (1994). Estimation and Inference in Econometrics.. The Economic Journal. 104 (424), 703-703

Bailey, RE. and Chambers, MJ., (1993). Long-Term Demographic Interactions in Precensus England. Journal of the Royal Statistical Society. Series A (Statistics in Society). 156 (3), 339-339

Chambers, MJ., (1993). Consumers' demand in the long run: some evidence from UK data. Applied Economics. 25 (6), 727-733

Chambers, MJ., (1993). A nonnested approach to testing continuous time models against discrete alternatives. Journal of Econometrics. 57 (1-3), 319-343

Chambers, MJ., Phlips, L. and Taylor, LD., (1993). Aggregation, Consumption and Trade: Essays in Honor of H. S. Houthakker.. The Economic Journal. 103 (420), 1335-1335

Chambers, MJ., (1993). A note on forecasting in co-integrated systems. Computers & Mathematics with Applications. 25 (2), 93-99

Chambers, MJ., (1992). An Econometric Model of the Aggregate Motor Insurance Market in the United Kingdom. The Journal of Risk and Insurance. 59 (3), 409-409

Chambers, MJ., (1992). Estimation of a continuous-time dynamic demand system. Journal of Applied Econometrics. 7 (1), 53-64

Chambers, MJ., (1991). Discrete Models for Estimating General Linear Continuous Time Systems. Econometric Theory. 7 (4), 531-542

Chambers, MJ., (1991). An alternative time series model of consumption: some empirical evidence. Applied Economics. 23 (8), 1361-1366

Chambers, MJ., (1991). Forecasting discrete stock and flow data generated by a second order continuous time system. Computers & Mathematics with Applications. 22 (10), 107-114

Chambers, MJ., (1991). Discrete Models for Estimating General Linear Continuous Time Systems. Econometric Theory. 7 (04), 531-542

Chambers, MJ., (1990). Forecasting with demand systems. Journal of Econometrics. 44 (3), 363-376

Book chapters (1)

Chambers, M., McCrorie, JR. and Thornton, MA., (2018). Continuous Time Modelling Based on an Exact Discrete Time Representation. In: Continuous Time Modeling in the Behavioral and Related Sciences. Editors: van Montfort, K., Oud, JHL. and Voelkle, MC., . Springer. 317- 357. 978-3-319-77218-9

Chambers, MJ., (2016). The Effects of Sampling Frequency on Detrending Methods for Unit Root Tests

Chambers, MJ., (2016). The Estimation of Continuous Time Models with Mixed Frequency Data

Chambers, MJ. and Kyriacou, M., (2016). Jackknife Bias Reduction in the Presence of a Near-Unit Root

Chambers, MJ., (2013). The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending

Chambers, MJ. and Kyriacou, M., (2012). Jackknife bias reduction in autoregressive models with a unit root

Chambers, MJ. and Kyriacou, M., (2010). Jackknife Bias Reduction in the Presence of a Unit Root

Chambers, MJ., (2010). Jackknife Estimation of Stationary Autoregressive Models

Chambers, MJ. and McCrorie, JR., (2004). Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems

McCrorie, JR. and Chambers, MJ., (2004). Granger Causality and the Sampling of Economic Processes

Chambers, MJ. and McCrorie, JR., (2004). Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals

Chambers, MJ., (2001). Cointegration and Sampling Frequency

Chambers, MJ., (2001). Testing for Unit Roots with Flow Data and Varying Sampling Frequency

Chambers, MJ., (1998). Gaussian estimation of temporally aggregated cointegrated systems

Chambers, MJ., (1998). Temporal aggregation and the asymptotic variance of optimal estimators in cointegrated systems

Chambers, MJ., (1995). The Estimation of Systems of Joint Differential-Difference Equations

Chambers, MJ., (1995). Long Memory and Aggregation in Macroeconomic Time Series

Chambers, MJ. and Bailey, RE., (1995). The Price of Wheat in Early Modern England

Chambers, MJ., (1995). Seasonality in Continuous Time Models

Chambers, MJ. and Nowman, KB., (1994). Forecasting with the Almost Ideal Demand System.

Bailey, RE. and Chambers, MJ., (1994). A Theory of Commodity Price Fluctuations

Bailey, RE. and Chambers, MJ., (1993). Short-term demographic interactions in pre-census England: A stochastic differential equations approach

Grants and funding

2015

The Analysis of non-stationary Time Series in Economics and Finance: Co-integration, Trends Breaks

Economic & Social Research Council

2008

Jacknife Methods of Estimation

Economic & Social Research Council

Contact

mchamb@essex.ac.uk
+44 (0) 1206 872756

Location:

5B.326, Colchester Campus

Academic support hours:

Summer Term: On Research Leave