Overview
Anindya Banerjee is an econometrician at the European University Institute (EUI) in Florence. He is known for contributions to structural break testing, unit root econometrics, and the intersection of structural instability and long memory. Together with Giovanni Urga, he organized the December 2002 "Long Memory, Structural Breaks and Stock Market Volatility" conference at Cass Business School and co-edited the resulting Journal of Econometrics special issue vol. 129 (2005).
Key Contributions / Features
- Banerjee-Lumsdaine-Stock (1992): recursive and sequential unit-root tests that allow for endogenous detection of a trend break; early contribution to the endogenous break-date literature alongside Zivot-Andrews.
- Banerjee-Dolado-Galbraith-Hendry (1993): co-authored a standard textbook on co-integration, error correction, and the econometric analysis of non-stationary data.
- Banerjee-Lazarova-Urga (1998): bootstrapping sequential tests for multiple structural breaks.
- Banerjee-Urga (2005): editorial overview placing Bai-Perron (1998), Hansen (2000), ARFIMA estimation methods, and the breaks/long-memory interface in a unified survey.
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