Projects per year
Personal profile
Research interests
Cross-sectional dependence; Factor models; Spatial models
Biography
Natalia Bailey is a Senior Lecturer at the Department of Econometrics and Business Statistics at Monash University. Natalia received her PhD from Queen Mary, University of London, and continued as a Research Associate at the University of Cambridge. Prior to joining Monash in 2017, she was a Lecturer at Queen Mary, University of London. She also worked in the private sector in London (Citigroup, Lehman Brother, and Merrill Lynch) as an economist / strategist for 8 years. Her research interests include the analysis of cross-sectional dependence (weak and strong) in large panels with applications to finance and macroeconomics.
Research area keywords
- Econometrics
- Applied Econometrics
Collaborations and top research areas from the last five years
Projects
- 1 Finished
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Big data analytic approach to assessing impacts of harmful temperatures on wheat crops in northern Victoria
Silvapulle, P., Jayasuriya, S., Bailey, N. & Leroux, A.
1/05/18 → 30/06/21
Project: Research
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Estimation and inference for spatial models with heterogeneous coefficients: an application to US house prices
Aquaro, M., Bailey, N. & Pesaran, M. H., Jan 2021, In: Journal of Applied Econometrics. 36, 1, p. 18-44 27 p.Research output: Contribution to journal › Article › Research › peer-review
26 Citations (Scopus) -
A RMT-based LM test for error cross-sectional independence in large heterogeneous panel data models
Bailey, N., Jiang, D. & Yao, J., 2022, In: Econometric Reviews. 41, 5, p. 564-582 19 p.Research output: Contribution to journal › Article › Research › peer-review
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Measurement of factor strength: theory and practice
Bailey, N., Kapetanios, G. & Pesaran, M. H., Aug 2021, In: Journal of Applied Econometrics. 36, 5, p. 587-613 27 p.Research output: Contribution to journal › Article › Research › peer-review
Open AccessFile8 Citations (Scopus) -
Correction to exponent of cross-sectional dependence for residuals
Bailey, N., Kapetanios, G. & Pesaran, M. H., 2020, In: Sankhya B. 82, p. 380 1 p.Research output: Contribution to journal › Comment / Debate › Other › peer-review
Open Access -
A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, N., Pesaran, M. H. & Smith, L. V., Feb 2019, In: Journal of Econometrics. 208, 2, p. 507-534 28 p.Research output: Contribution to journal › Article › Research › peer-review
16 Citations (Scopus)