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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

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Projects 2018 2020

Research Output 2013 2019

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 journalArticleResearchpeer-review

Exponent of cross-sectional dependence for residuals

Bailey, N., Kapetanios, G. & Pesaran, M. H., 2019, (Accepted/In press) In : Sankhya B. 57 p.

Research output: Contribution to journalArticleResearchpeer-review

A two-stage approach to spatio-temporal analysis with strong and weak cross-sectional dependence

Bailey, N., Holly, S. & Pesaran, H., 1 Jan 2016, In : Journal of Applied Econometrics. 31, 1, p. 249-280 32 p.

Research output: Contribution to journalArticleResearchpeer-review

Exponent of cross-sectional dependence: estimation and inference

Bailey, N., Kapetanios, G. & Pesaran, M. H., 1 Sep 2016, In : Journal of Applied Econometrics. 31, 6, p. 929-960 32 p.

Research output: Contribution to journalArticleResearchpeer-review

Spectral approach to parameter-free unit root testing

Bailey, N. & Giraitis, L., Aug 2016, In : Computational Statistics and Data Analysis. 100, p. 4-16 13 p.

Research output: Contribution to journalArticleResearchpeer-review