Email
mchamb@essex.ac.ukTelephone
+44 (0) 1206 872756
Location
5B.326, Colchester Campus
Academic support hours
Spring Term: Tuesday 10.30-11.30 and 1.30-2.30.
Biography
Marcus Chambers joined the academic staff in 1989 following completion of his PhD. His research is primarily in the field of econometrics, with publications in journals such as Econometric Theory, Journal of Econometrics, Journal of Political Economy and International Economic Review. His research has been supported by a number of grants from the ESRC and the Leverhulme Trust, the latter in the form of a Philip Leverhulme Prize from 2001-2003. Marcus is currently a Co-Editor of the Journal of Time Series Analysis, a former member of the Editorial Board of Econometrics, a former Associate Editor of the Journal of Econometrics, and Deputy Director of the Essex Centre for Macro and Financial Econometrics.
Qualifications
BA Economics University of Essex,
MA Economics University of Essex,
PhD Economics University of Essex,
Research interests
time series econometrics
continuous time models and issues of temporal aggregation
mixed frequency data
frequency domain methods of estimation and inference
Current teaching responsibilities
Introductory Econometrics (EC452)
Econometric Methods (EC501)
Current supervision
Previous supervision
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 2/4/2025
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 6/1/2025
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 9/12/2024
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 17/10/2024
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 24/6/2024
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 12/6/2024
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 24/7/2023
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 9/1/2023
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 7/3/2022
Degree type: Master of Research
Awarded date: 1/12/2021
Degree type: Master of Research
Awarded date: 6/10/2021
Degree type: Master of Research
Awarded date: 7/10/2020
Degree subject: Finance
Degree type: Doctor of Philosophy
Awarded date: 19/3/2019
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 17/1/2018
Degree type: Doctor of Philosophy
Awarded date: 20/4/2017
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 10/1/2017
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 25/3/2014
Degree subject: Economics
Degree type: Doctor of Philosophy
Awarded date: 31/1/2014
Degree type: Doctor of Philosophy
Awarded date: 1/9/2011
Journal articles (66)
Chambers, MJ. and Taylor, AMR., (2020). Deterministic Parameter Change Models in Continuous and Discrete Time. Journal of Time Series Analysis. 41 (1), 134-145
Chambers, M., (2020). Frequency Domain Estimation of Cointegrating Vectors with Mixed Frequency and Mixed Sample Data. Journal of Econometrics. 217 (1), 140-160
Chambers, MJ., (2019). Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data. Journal of Time Series Analysis. 40 (6), 887-913
Chambers, MJ. and Zadrozny, PA., (2019). Econometric Modelling with Mixed Frequency and Temporally Aggregated Data. Journal of Time Series Analysis. 40 (6), 869-871
Thornton, MA. and Chambers, MJ., (2017). Continuous time ARMA processes: Discrete time representation and likelihood evaluation. Journal of Economic Dynamics and Control. 79, 48-65
Chambers, MJ., (2016). The estimation of continuous time models with mixed frequency data. Journal of Econometrics. 193 (2), 390-404
Thornton, MA. and Chambers, MJ., (2016). The exact discretisation of CARMA models with applications in finance. Journal of Empirical Finance. 38, 739-761
Chambers, MJ., (2015). The Calculation of Some Limiting Distributions Arising in Near‐Integrated Models with GLS Detrending. Journal of Time Series Analysis. 36 (4), 562-586
Abouwafia, HE. and Chambers, MJ., (2015). Monetary policy, exchange rates and stock prices in the Middle East region. International Review of Financial Analysis. 37, 14-28
Chambers, M., (2015). A Jackknife Correction to a Test for Cointegration Rank. Econometrics. 3 (2), 355-375
Chambers, MJ., (2015). Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data. Journal of Time Series Analysis. 36 (5), 630-649
Chambers, MJ., Ercolani, JS. and Taylor, AMR., (2014). Testing for seasonal unit roots by frequency domain regression. Journal of Econometrics. 178 (PART 2), 243-258
Chambers, MJ., Ercolani, JS. and Taylor, AMR., (2014). Testing for seasonal unit roots by frequency domain regression. Journal of Econometrics. 178 (Pt 2), 243-258
Chambers, MJ., (2013). Jackknife estimation of stationary autoregressive models. Journal of Econometrics. 172 (1), 142-157
Thornton, MA. and Chambers, MJ., (2013). Continuous‐time autoregressive moving average processes in discrete time: representation and embeddability. Journal of Time Series Analysis. 34 (5), 552-561
Chambers, MJ. and Kyriacou, M., (2013). Jackknife estimation with a unit root. Statistics & Probability Letters. 83 (7), 1677-1682
Chambers, MJ. and Thornton, MA., (2012). DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES. Econometric Theory. 28 (1), 219-238
Chambers, MJ. and Thornton, MA., (2012). Discrete Time Representation Of Continuous Time Arma Processes. Econometric Theory. 28 (01), 219-238
Chambers, MJ., (2011). Cointegration and sampling frequency. The Econometrics Journal. 14 (2), 156-185
Chambers, MJ., (2009). DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA. Econometric Theory. 25 (4), 1030-1049
Chambers, MJ., Phillips, PCB. and Taylor, AMR., (2009). ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION. Econometric Theory. 25 (4), 891-900
Chambers, MJ., (2009). Discrete Time Representations Of Cointegrated Continuous Time Models With Mixed Sample Data. Econometric Theory. 25 (04), 1030-1049
Chambers, MJ., Phillips, PCB. and Taylor, AMR., (2009). Econometric Theory Special Issue, Memorial To Albert Rex Bergstrom - Introduction. Econometric Theory. 25 (04), 891-900
Chambers, MJ., (2008). Corrigendum to: "Testing for unit roots with flow data and varying sampling frequency" [J. Econom. 119 (1) (2004) 1-18] (DOI:10.1016/S0304-4076(03)00152-0). Journal of Econometrics. 144 (2), 524-525
Chambers, MJ., (2008). Corrigendum to: 'Testing for unit roots with flow data and varying sampling frequency' Journal of Econometrics 119 (1) (2004) 1-18. Journal of Econometrics. 144 (2), 524-525
Chambers, MJ. and Roderick McCrorie, J., (2007). Frequency domain estimation of temporally aggregated Gaussian cointegrated systems. Journal of Econometrics. 136 (1), 1-29
Chambers, MJ. and McCrorie, JR., (2006). IDENTIFICATION AND ESTIMATION OF EXCHANGE RATE MODELS WITH UNOBSERVABLE FUNDAMENTALS*. International Economic Review. 47 (2), 573-582
Ercolani, JS. and Chambers, MJ., (2006). ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS. Econometric Theory. 22 (03), 483-498
Ercolani, JS. and Chambers, MJ., (2006). Estimation Of Differential-Difference Equation Systems With Unknown Lag Parameters. Econometric Theory. 22 (03), 483-498
Chambers, MJ., (2005). The purchasing power parity puzzle, temporal aggregation, and half-life estimation. Economics Letters. 86 (2), 193-198
Chambers, MJ., (2004). Testing for unit roots with flow data and varying sampling frequency. Journal of Econometrics. 119 (1), 1-18
Chambers, MJ., (2003). THE ASYMPTOTIC EFFICIENCY OF COINTEGRATION ESTIMATORS UNDER TEMPORAL AGGREGATION. Econometric Theory. 19 (01), 49-77
Chambers, MJ., (2003). The Asymptotic Efficiency Of Cointegration Estimators Under Temporal Aggregation. Econometric Theory. 19 (01), 49-77
Chambers, MJ. and McGarry, JS., (2002). Modeling Cyclical Behavior With Differential-Difference Equations In An Unobserved Components Framework. Econometric Theory. 18 (02), 387-419
Chambers, MJ., (2001). TEMPORAL AGGREGATION AND THE FINITE SAMPLE PERFORMANCE OF SPECTRAL REGRESSION ESTIMATORS IN COINTEGRATED SYSTEMS A Simulation Study. Econometric Theory. 17 (3), 591-607
Chambers, MJ., (2001). Challenging time series: Limits to knowledge, inertia and caprice.. ECONOMIC JOURNAL. 111 (469), F200-F202
Chambers, MJ., (2001). Temporal Aggregation And The Finite Sample Performance Of Spectral Regression Estimators In Cointegrated Systems. Econometric Theory. 17 (03), 591-607
Chambers, MJ., (2000). Handbook of applied econometrics, vol 1, Macroeconomics.. ECONOMIC JOURNAL. 110 (467), F803-F805
Chambers, MJ., (2000). Handbook of applied econometrics, vol 2, Microeconomics.. ECONOMIC JOURNAL. 110 (467), F803-F805
Chambers, MJ. and Bailey, RE., (1999). A Statistical Analysis of Wheat Price Fluctuations in England: 1685–1850. Journal of Agricultural Economics. 50 (3), 564-588
Chambers, MJ., (1999). Discrete time representation of stationary and non-stationary continuous time systems. Journal of Economic Dynamics and Control. 23 (4), 619-639
Chambers, MJ., (1999). A Note on Modelling Seasonal Processes in Continuous Time. Journal of Time Series Analysis. 20 (2), 139-143
Bailey, RE. and Chambers, MJ., (1998). The impact of real wage and mortality fluctuations on fertility and nuptiality in precensus England. Journal of Population Economics. 11 (3), 413-434
Chambers, MJ., (1998). The estimation of systems of joint differential-difference equations. Journal of Econometrics. 85 (1), 1-31
Chambers, MJ., (1998). Long Memory and Aggregation in Macroeconomic Time Series. International Economic Review. 39 (4), 1053-1053
Chambers, MJ., (1997). Dynamic disequilibrium modelling: Theory and applications.. ECONOMIC JOURNAL. 107 (445), 1900-1902
Chambers, MJ. and Ben Nowman, K., (1997). Forecasting with the almost ideal demand system: evidence from some alternative dynamic specifications. Applied Economics. 29 (7), 935-943
Chambers, MJ. and Bailey, RE., (1996). A Theory of Commodity Price Fluctuations. Journal of Political Economy. 104 (5), 924-957
Chambers, MJ., (1996). The Estimation of Continuous Parameter Long-Memory Time Series Models. Econometric Theory. 12 (2), 374-390
Chambers, MJ., (1996). Fractional integration, trend stationarity and difference stationarity Evidence from some U.K. macroeconomic time series. Economics Letters. 50 (1), 19-24
Chambers, MJ., (1996). Speed of adjustment and estimation of the partial adjustment model. Applied Economics Letters. 3 (1), 21-23
Chambers, MJ., (1996). The Estimation of Continuous Parameter Long-Memory Time Series Models. Econometric Theory. 12 (02), 374-390
Chambers, MJ., (1995). The simulation of random vector time series with given spectrum. Mathematical and Computer Modelling. 22 (2), 1-6
Chambers, MJ., Davidson, R. and MacKinnon, JG., (1994). Estimation and Inference in Econometrics.. The Economic Journal. 104 (424), 703-703
Bailey, RE. and Chambers, MJ., (1993). Long-Term Demographic Interactions in Precensus England. Journal of the Royal Statistical Society. Series A (Statistics in Society). 156 (3), 339-339
Chambers, MJ., (1993). Consumers' demand in the long run: some evidence from UK data. Applied Economics. 25 (6), 727-733
Chambers, MJ., (1993). A nonnested approach to testing continuous time models against discrete alternatives. Journal of Econometrics. 57 (1-3), 319-343
Chambers, MJ., Phlips, L. and Taylor, LD., (1993). Aggregation, Consumption and Trade: Essays in Honor of H. S. Houthakker.. The Economic Journal. 103 (420), 1335-1335
Chambers, MJ., (1993). A note on forecasting in co-integrated systems. Computers & Mathematics with Applications. 25 (2), 93-99
Chambers, MJ., (1992). An Econometric Model of the Aggregate Motor Insurance Market in the United Kingdom. The Journal of Risk and Insurance. 59 (3), 409-409
Chambers, MJ., (1992). Estimation of a continuous‐time dynamic demand system. Journal of Applied Econometrics. 7 (1), 53-64
Chambers, MJ., (1991). Discrete Models for Estimating General Linear Continuous Time Systems. Econometric Theory. 7 (4), 531-542
Chambers, MJ., (1991). An alternative time series model of consumption: some empirical evidence. Applied Economics. 23 (8), 1361-1366
Chambers, MJ., (1991). Forecasting discrete stock and flow data generated by a second order continuous time system. Computers & Mathematics with Applications. 22 (10), 107-114
Chambers, MJ., (1991). Discrete Models for Estimating General Linear Continuous Time Systems. Econometric Theory. 7 (04), 531-542
Chambers, MJ., (1990). Forecasting with demand systems. Journal of Econometrics. 44 (3), 363-376
Book chapters (1)
Chambers, M., McCrorie, JR. and Thornton, MA., (2018). Continuous Time Modelling Based on an Exact Discrete Time Representation. In: Continuous Time Modeling in the Behavioral and Related Sciences. Editors: van Montfort, K., Oud, JHL. and Voelkle, MC., . Springer. 317- 357. 978-3-319-77218-9
Conferences (2)
McCrorie, JR. and Chambers, MJ., (2006). Granger causality and the sampling of economic processes
Chambers, MJ. and McGarry, JS., (2002). MODELING CYCLICAL BEHAVIOR WITH DIFFERENTIAL-DIFFERENCE EQUATIONS IN AN UNOBSERVED COMPONENTS FRAMEWORK
Reports and Papers (26)
Chambers, MJ. and Nowman, KB., Forecasting with the Almost Ideal Demand System.
Chambers, MJ. and Taylor, AMR., (2019). Deterministic Parameter Change Models in Continuous and Discrete Time
Chambers, MJ., (2018). Frequency Domain Estimation of Cointegrating Vectors with Mixed Frequency and Mixed Sample Data
Chambers, MJ. and Taylor, AMR., (2018). Time-Varying Parameters in Continuous and Discrete Time
Chambers, MJ., McCrorie, JR. and Thornton, MA., (2017). Continuous Time Modelling Based on an Exact Discrete Time Representation
Chambers, MJ., (2016). The Effects of Sampling Frequency on Detrending Methods for Unit Root Tests
Chambers, MJ., (2016). The Estimation of Continuous Time Models with Mixed Frequency Data
Chambers, MJ. and Kyriacou, M., (2016). Jackknife Bias Reduction in the Presence of a Near-Unit Root
Chambers, MJ., (2013). The Calculation of Some Limiting Distributions Arising in Near-Integrated Models with GLS Detrending
Chambers, MJ. and Kyriacou, M., (2012). Jackknife bias reduction in autoregressive models with a unit root
Chambers, MJ. and Kyriacou, M., (2010). Jackknife Bias Reduction in the Presence of a Unit Root
Chambers, MJ., (2010). Jackknife Estimation of Stationary Autoregressive Models
Chambers, MJ. and McCrorie, JR., (2004). Frequency Domain Gaussian Estimation of Temporally Aggregated Cointegrated Systems
McCrorie, JR. and Chambers, MJ., (2004). Granger Causality and the Sampling of Economic Processes
Chambers, MJ. and McCrorie, JR., (2004). Identification and Estimation of Exchange Rate Models with Unobservable Fundamentals
Chambers, MJ., (2001). Cointegration and Sampling Frequency
Chambers, MJ., (2001). Testing for Unit Roots with Flow Data and Varying Sampling Frequency
Chambers, MJ., (1998). Gaussian estimation of temporally aggregated cointegrated systems
Chambers, MJ., (1998). Temporal aggregation and the asymptotic variance of optimal estimators in cointegrated systems
Chambers, MJ., (1995). The Estimation of Systems of Joint Differential-Difference Equations
Chambers, MJ., (1995). Long Memory and Aggregation in Macroeconomic Time Series
Chambers, MJ. and Bailey, RE., (1995). The Price of Wheat in Early Modern England
Chambers, MJ., (1995). Seasonality in Continuous Time Models
Chambers, MJ. and Nowman, KB., (1994). Forecasting with the Almost Ideal Demand System.
Bailey, RE. and Chambers, MJ., (1994). A Theory of Commodity Price Fluctuations
Bailey, RE. and Chambers, MJ., (1993). Short-term demographic interactions in pre-census England: A stochastic differential equations approach
2015
The Analysis of non-stationary Time Series in Economics and Finance: Co-integration, Trends Breaks
Economic & Social Research Council
2008
Jacknife Methods of Estimation
Economic & Social Research Council
Academic support hours:
Spring Term: Tuesday 10.30-11.30 and 1.30-2.30.
