My paper (jointly with Sophocles Mavroeidis, Oxford) on Learning can generate long memory is just out in theJournal of Econometrics. We have a companion working paper: Perpetual Learning and Apparent Long Memory (pdf).
France Info: I no longer participate in Emmanuel Davidenkoff's series "Un jour, une question" but the topics I've covered can be found here.
Welcome to my homepage
I am an Economist who works on Macroeconometrics and Forecasting. I am Professor of Statistics & Econometrics atESSEC Business School, in the greater Paris area and also a member of the Macroeconomics Center at CREST.
As Macroeconomics cannot be an experimental science (contrary to Physics and Natural Sciences, economists cannot and will not conduct large scale experiments on economies), if we have any hope for it ever to become a proper "science" rather than a set of opinions, we need to be able to refute and reject wrong theories.
This is the purpose of econometricians: we develop tools to judge economic theories by their empirical relevance. The lack of experimentation implies that we have to resort to historical data and see what laws and principles are permanent and hidden.
More specifically my research interests lie in time series econometrics and forecasting, with a special interest in Macroeconomics (esp. Dynamics of deviations from Rational Expectations) and Finance (Forecasting of Asset Prices). I also have other work on risk premia in oil prices and the human origin of global warming.
I hold a degree of Ingénieur des Mines de Paris, an M.Phil. & a D.Phil. in Economics from the University of Oxford and have been a visiting researcher at Oxford, NYU, Brown and the NY Fed. I have also worked for a few years as an applied forecaster at OFCE (SciencesPo), in Paris. I have taught in the past at Oxford, SciencesPo, Dauphine, ENA, HEC and Orléans.