Staff profile

Anurag is an Affiliated Member of the Centre de Recherche
Econo-financière et Actuarielle sur le Risque, ESSEC, Paris.

• Econometric Theory : Sensitivity analysis of econometric models and semi-parametric econometrics
• Applied Economics/Econometrics: Evaluation of unintended consequences of strategies/policies in Agriculture, Sports, Finance and Development

Doctoral Thesis

• The sensitivity of estimates, inferences and forecasts of linear models
  
  Banerjee, A. (1997). The sensitivity of estimates, inferences and forecasts of linear models [Thesis].

Edited book

• Changing the Indian Economy
  
  Kanungo, R. P., Rowley, C., & Banerjee, A. N. (Eds.). (2018). Changing the Indian Economy. Elsevier. https://doi.org/10.1016/C2016-0-01324-4

Journal Article

• Cross-country Disparities in Skill Premium and Skill Acquisition
  
  Banerjee, A., Basu, P., & Keller, E. (2023). Cross-country Disparities in Skill Premium and Skill Acquisition. Economic Inquiry, 61(1), 179-198. https://doi.org/10.1111/ecin.13107
• Probabilistic Forecasting of Bubbles and Flash Crashes
  
  Banerjee, A., Chevillon, G., & Kratz, M. (2020). Probabilistic Forecasting of Bubbles and Flash Crashes. Econometrics Journal, 23(2), 297-315. https://doi.org/10.1093/ectj/utaa004
• The Endgame
  
  Banerjee, A., Markovich, S., & Secciay, G. (2019). The Endgame. Games and Economic Behavior, 118, 176-192. https://doi.org/10.1016/j.geb.2019.08.010
• Analysis of hydrodilatation as part of a combined service for stiff shoulder
  
  Sinha, R., Patel, P., Rose, N., Tuckett, J., Banerjee, A., Williams, J., Aldridge, S., & Stuart, P. (2017). Analysis of hydrodilatation as part of a combined service for stiff shoulder. Shoulder and Elbow, 9(3), 169-177. https://doi.org/10.1177/1758573216687273
• Corporate financing and anticipated credit rating changes
  
  Hung, C.-H. D., Banerjee, A. N., & Meng, Q. (2017). Corporate financing and anticipated credit rating changes. Review of Quantitative Finance and Accounting, 48(4), 893-915. https://doi.org/10.1007/s11156-016-0571-3
• Demand for household sanitation in India using NFHS-3 data
  
  Banerjee, A. N., Banik, N., & Dalmia, A. (2017). Demand for household sanitation in India using NFHS-3 data. Empirical Economics, 53(1), 307-327. https://doi.org/10.1007/s00181-017-1250-5
• An Anatomy of Credit Risk Transfer between Sovereign and Financials in the Eurozone Crisis
  
  Banerjee, A., Hung, C.-H., & Lo, K. (2016). An Anatomy of Credit Risk Transfer between Sovereign and Financials in the Eurozone Crisis. Journal of International Financial Markets, Institutions and Money, 41, 102-120. https://doi.org/10.1016/j.intfin.2015.12.007
• The Dynamics of Income Growth and Poverty: Evidence from Districts in India
  
  Banerjee, A., Banik, N., & Mukhopadhyay, J. (2015). The Dynamics of Income Growth and Poverty: Evidence from Districts in India. Development Policy Review, 33(3), 293-312. https://doi.org/10.1111/dpr.12110
• How do momentum strategies ‘score’ against individual investors in Taiwan, Hong Kong and Korea?
  
  Hung, C.-H., & Banerjee, A. (2014). How do momentum strategies ‘score’ against individual investors in Taiwan, Hong Kong and Korea?. Emerging Markets Review, 21, 67-81. https://doi.org/10.1016/j.ememar.2014.08.001
• Functional cointegration: definition and nonparametric estimation
  
  Banerjee, A., & Pitarakis, J.-V. (2014). Functional cointegration: definition and nonparametric estimation. Studies in Nonlinear Dynamics and Econometrics, 18(5), 507-520. https://doi.org/10.1515/snde-2013-0083
• Is India Shining?
  
  Banerjee, A., & Banik, N. (2014). Is India Shining?. Review of Development Economics, 18(1), 59-72. https://doi.org/10.1111/rode.12069
• Sensitivity of detrended long-memory processes
  
  Banerjee, A. (2013). Sensitivity of detrended long-memory processes. Communications in Statistics - Theory and Methods, 42(20), 3770-3780. https://doi.org/10.1080/03610926.2011.638426
• Active Momentum Trading versus Passive "1/N Naive Diversification
  
  Hung, C., & Banerjee, A. (2013). Active Momentum Trading versus Passive "1/N Naive Diversification. Quantitative Finance, 13(5), 655-663. https://doi.org/10.1080/14697688.2013.766760
• Discriminating short and long memory in finite samples using sensitivity analysis: an application to growth convergence.
  
  Banerjee, A. (2012). Discriminating short and long memory in finite samples using sensitivity analysis: an application to growth convergence. Bulletin of Economic Research, 64(s1), 168-192. https://doi.org/10.1111/j.1467-8586.2012.00461.x
• Informed Momentum Trading versus Uninformed "Naive" Investors Strategies
  
  Banerjee, A., & Hung, C.-H. (2011). Informed Momentum Trading versus Uninformed "Naive" Investors Strategies. Journal of Banking and Finance, 35(11), 3077-3089. https://doi.org/10.1016/j.jbankfin.2011.04.005
• Skating on Thin Ice: Rule Changes and Team Strategies in the NHL.
  
  Banerjee, A., Swinnen, J. F., & Weersink, A. (2007). Skating on Thin Ice: Rule Changes and Team Strategies in the NHL. Canadian Journal of Economics, 40(2), 493-514. https://doi.org/10.1111/j.1540-5982.2007.00418.x
• The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions
  
  Wan, A., Zou, G., & Banerjee, A. (2007). The power of autocorrelation tests near the unit root in models with possibly mis-specified linear restrictions. Economics Letters, 94(2), 213-219. https://doi.org/10.1016/j.econlet.2006.06.032
• A method of estimating the average derivative
  
  Banerjee, A. (2007). A method of estimating the average derivative. Journal of Econometrics, 136(1), 65-88. https://doi.org/10.1016/j.jeconom.2005.07.010
• Does a sudden death liven up the game? Rules, incentives and strategy in football
  
  Banerjee, A., & Swinnen, J. (2004). Does a sudden death liven up the game? Rules, incentives and strategy in football. Economic Theory, 23(2), 411-421. https://doi.org/10.1007/s00199-003-0402-3
• Economic development, institutional change, and the political economy of agricultural protection An econometric study of Belgium since the 19th century.
  
  Swinnen, J., Banerjee, A., & de Gorter, H. (2001). Economic development, institutional change, and the political economy of agricultural protection An econometric study of Belgium since the 19th century. Agricultural Economics, 26(1), 25-43. https://doi.org/10.1111/j.1574-0862.2001.tb00052.x
• Sensitivity of univariate AR(1) time-series forecasts near the unit root
  
  Banerjee, A. (2001). Sensitivity of univariate AR(1) time-series forecasts near the unit root. Journal of Forecasting, 20(3), 203-229. https://doi.org/10.1002/1099-131x%28200104%2920%3A3%3C203%3A%3Aaid-for766%3E3.0.co%3B2-d
• A Re-examination of Excess Smoothness Puzzle when Consumers Estimate the Income Process
  
  Basu, P., & Banerjee, A. (2001). A Re-examination of Excess Smoothness Puzzle when Consumers Estimate the Income Process. Journal of Forecasting, 20, 357-366.
• The political economy of public research investment and commodity policies in agriculture: an empirical study.
  
  Swinnen, J., de Gorter, H., Rausser, G., & Banerjee, A. (2000). The political economy of public research investment and commodity policies in agriculture: an empirical study. Agricultural Economics, 22(2), 111-122. https://doi.org/10.1111/j.1574-0862.2000.tb00009.x
• On the sensitivity of the usual t- and F-tests to covariance misspecification.
  
  Banerjee, A., & Magnus, J. (2000). On the sensitivity of the usual t- and F-tests to covariance misspecification. Journal of Econometrics, 95(1), 157-176. https://doi.org/10.1016/s0304-4076%2899%2900034-2
• The sensitivity of OLS when the variance matrix is (partially) unknown.
  
  Banerjee, A., & Magnus, J. (1999). The sensitivity of OLS when the variance matrix is (partially) unknown. Journal of Econometrics, 92(2), 295-323. https://doi.org/10.1016/s0304-4076%2898%2900093-1

Working Paper

• The Rich Keep Getting Richer in country-India! Says Who? Asia-Pacific Research and Training Network on Trade.
  
  Banerjee, A., & Banik, N. (2011). The Rich Keep Getting Richer in country-India! Says Who? Asia-Pacific Research and Training Network on Trade (Nos. 105).
• Is India shining?
  
  Banerjee, A., & Banik, N. (2011). Is India shining?. Durham University Business School Economics Finance Accounting Working Papers.