Research:
Professor Steve Cook has research interests in a number of areas of theoretical and applied econometrics and is the author of over 100 fully refereed articles in a range of econometrics, economics, mathematics and statistics journals.  One feature of Professor Cook’s research is the development and analysis of alternative modified unit root and cointegration tests.  This research has necessitated the extensive use of numerical simulation techniques and the empirical analysis of a number of national and international economic and financial time series.  More recent research has considered the impact of conditional heteroskedasticity upon the finite-sample behaviour and distributions of test statistics commonly employed in econometrics and time series analysis.  The examination of non-linear and asymmetric dynamic adjustment in time series processes is a further continuing theme of Professor Cook’s research activity.

PhD Areas and Topics in Economics

Administration:
Co-ordinator, Economics Teaching and Programmes Team
Co-ordinator, Macroeconomic Theory and Time Series Econometrics Research Group
Member of School of Business and Economics Research Committee

External activity:
2008 to date: Editorial Board, International Journal of Computational Economics and Econometrics
2008 to date: Editorial Board, Applied Economics and Policy Analysis
2007 to date: Editorial Board, The Open Urban Studies Journal
2001 - 2003:  Research associate, University of Cambridge
2001 to date: Editorial Board, Applied Economics
2001 to date: Editorial Board, Applied Economics Letters

Selected recent publications:

• A re-examination of the stationarity of inflation, Journal of Applied Econometrics. (forthcoming)
• Cross-data-vintage encompassing, Oxford Bulletin of Economics and Statistics. (forthcoming).
• Further analysis of spurious causality, Mathematics and Computers in Simulation. (forthcoming).
• Joint maximum likelihood estimation of unit root testing equations and GARCH processes: Some finite-sample issues, Mathematics and Computers in Simulation 77: 109-116. (2008).
• A weighted symmetric cointegration test, Journal of Statistical Computation and Simulation 78: 559-565.  (with Dimitrios Vougas). (2008).
• The sensitivity of robust unit root tests, Journal of Applied Statistics 35: 547-557. (2008).
• Maximum likelihood unit rooting test in the presence GARCH:  A new test with increased power, Communications in Statistics B 37: 756-765. (2008).
• A threshold cointegration test with increased power, Mathematics and Computers in Simulation 73: 386-392. (2007).
• On the relationship between merger activity and economic activity:  Evidence from an optimised hybrid method, Physica A 379: 628-634. (2007).
• Cointegration testing under local-to-unity detrending: The impact of structural change under the null, Journal of Statistical Computation and Simulation 77: 265-270. (2007).
• Spurious levels relationships, Journal of Interdisciplinary Mathematics 10: 433-439. (with Dimitrios Vougas). (2007).
• The impact of GARCH on asymmetric unit root tests, Physica A 369: 745-752. (2006).
• Testing for cointegration in the presence of mis-specified structural change, Statistics and Probability Letters 76: 1380-1384. (2006).
• The robustness of modified unit root tests in the presence of GARCH, Quantitative Finance 6: 359-363. (2006).
• A finite-sample sensitivity analysis of the Dickey-Fuller test under local-to-unity detrending, Journal of Applied Statistics, 33, 233-240. (2006).
• On the stationarity of consumption:income ratios: Evidence from minimum LM unit root testing, Economics Letters 89: 55-60. (2005)
• Regional house price behaviour in the UK: Application of a joint testing procedure, Physica A 345: 611-621. (2005).
• Unobserved heterogeneity in Markovian analysis of the size distortion of unit root tests, Journal of Statistical Computation and Simulation 75: 709-729. (with Neil Manning). (2005).
• Lag optimisation and finite-sample size distortion of unit root tests, Economics Letters 84: 269-276.  (with Neil Manning). (2004).
• Finite-sample properties of modified unit root tests in the presence of structural change, Applied Mathematics and Computation 149: 625-643. (2004).
• On the finite-sample size distortion of smooth transition unit root tests, Statistics and Probability Letters 70: 175-182. (with Dimitrios Vougas). (2004).
• A momentum-threshold autoregressive unit root test with increased power, Statistics and Probability Letters 67: 307-310. (2004).
• Modified unit root tests and momentum-threshold autoregressive processes, Statistics and Probability Letters 64: 83-88. (2003).
• Unit root testing in the presence of innovation variance breaks: A simple solution with increased power, Journal of Applied Mathematics 5: 233-240. (2002).
• Correcting size distortion of the Dickey-Fuller test via recursive mean adjustment, Statistics and Probability Letters 60: 75-79. (2002).
• Observations on the practice of data-mining, Journal of Economic Methodology 8: 415-419. (2001).
• The asymmetric effects of monetary policy: Some results from a macroeconometric model, The Manchester School 68: 419-441. (with Richard Arden, Sean Holly and Paul Turner). (2000).
• A neglected controversy in the modelling of consumers’ expenditure, Cambridge Journal of Economics 24: 177-191. (2000).