Professor Marcus Chambers
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Email
mchamb@essex.ac.uk -
Telephone
+44 (0) 1206 872756
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Location
5B.326, Colchester Campus
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Academic support hours
Summer Term: On research leave
Profile
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 糖心Vlog Centre for Macro and Financial Econometrics.
Qualifications
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BA Economics 糖心Vlog,
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MA Economics 糖心Vlog,
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PhD Economics 糖心Vlog,
Research and professional activities
Research interests
time series econometrics
continuous time models and issues of temporal aggregation
mixed frequency data
frequency domain methods of estimation and inference
Teaching and supervision
Current teaching responsibilities
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Introductory Econometrics (EC452)
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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
Publications
Journal articles (66)
Chambers, MJ. and Taylor, AMR., (2020). . Journal of Time Series Analysis. 41 (1), 134-145
Chambers, M., (2020). . Journal of Econometrics. 217 (1), 140-160
Chambers, MJ., (2019). . Journal of Time Series Analysis. 40 (6), 887-913
Chambers, MJ. and Zadrozny, PA., (2019). . Journal of Time Series Analysis. 40 (6), 869-871
Thornton, MA. and Chambers, MJ., (2017). . Journal of Economic Dynamics and Control. 79, 48-65
Chambers, MJ., (2016). . Journal of Econometrics. 193 (2), 390-404
Thornton, MA. and Chambers, MJ., (2016). . Journal of Empirical Finance. 38, 739-761
Chambers, MJ., (2015). . Journal of Time Series Analysis. 36 (4), 562-586
Abouwafia, HE. and Chambers, MJ., (2015). . International Review of Financial Analysis. 37, 14-28
Chambers, M., (2015). . Econometrics. 3 (2), 355-375
Chambers, MJ., (2015). . Journal of Time Series Analysis. 36 (5), 630-649
Chambers, MJ., Ercolani, JS. and Taylor, AMR., (2014). . Journal of Econometrics. 178 (PART 2), 243-258
Chambers, MJ., Ercolani, JS. and Taylor, AMR., (2014). . Journal of Econometrics. 178 (Pt 2), 243-258
Chambers, MJ., (2013). . Journal of Econometrics. 172 (1), 142-157
Thornton, MA. and Chambers, MJ., (2013). Continuous鈥恡ime 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). . 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). . The Econometrics Journal. 14 (2), 156-185
Chambers, MJ., (2009). . Econometric Theory. 25 (4), 1030-1049
Chambers, MJ., Phillips, PCB. and Taylor, AMR., (2009). . 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). . 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). . Journal of Econometrics. 136 (1), 1-29
Chambers, MJ. and McCrorie, JR., (2006). . International Economic Review. 47 (2), 573-582
Ercolani, JS. and Chambers, MJ., (2006). . 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). . Economics Letters. 86 (2), 193-198
Chambers, MJ., (2004). . Journal of Econometrics. 119 (1), 1-18
Chambers, MJ., (2003). . 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). . 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). . Journal of Agricultural Economics. 50 (3), 564-588
Chambers, MJ., (1999). . 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). . Journal of Population Economics. 11 (3), 413-434
Chambers, MJ., (1998). . Journal of Econometrics. 85 (1), 1-31
Chambers, MJ., (1998). . 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). . Applied Economics. 29 (7), 935-943
Chambers, MJ. and Bailey, RE., (1996). . Journal of Political Economy. 104 (5), 924-957
Chambers, MJ., (1996). . Econometric Theory. 12 (2), 374-390
Chambers, MJ., (1996). . Economics Letters. 50 (1), 19-24
Chambers, MJ., (1996). . 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). . 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). . Journal of Applied Econometrics. 7 (1), 53-64
Chambers, MJ., (1991). . 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). . 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).
Chambers, MJ. and McGarry, JS., (2002).
Reports and Papers (26)
Chambers, MJ. and Nowman, KB.,
Chambers, MJ. and Taylor, AMR., (2019).
Chambers, MJ., (2018).
Chambers, MJ. and Taylor, AMR., (2018).
Chambers, MJ., McCrorie, JR. and Thornton, MA., (2017).
Chambers, MJ., (2016).
Chambers, MJ., (2016).
Chambers, MJ. and Kyriacou, M., (2016).
Chambers, MJ., (2013).
Chambers, MJ. and Kyriacou, M., (2012).
Chambers, MJ. and Kyriacou, M., (2010).
Chambers, MJ., (2010).
Chambers, MJ. and McCrorie, JR., (2004).
McCrorie, JR. and Chambers, MJ., (2004).
Chambers, MJ. and McCrorie, JR., (2004).
Chambers, MJ., (2001).
Chambers, MJ., (2001).
Chambers, MJ., (1998).
Chambers, MJ., (1998).
Chambers, MJ., (1995).
Chambers, MJ., (1995).
Chambers, MJ. and Bailey, RE., (1995).
Chambers, MJ., (1995).
Chambers, MJ. and Nowman, KB., (1994).
Bailey, RE. and Chambers, MJ., (1994).
Bailey, RE. and Chambers, MJ., (1993).
Grants and funding
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
Contact
Academic support hours:
Summer Term: On research leave
