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Dr Vanessa Smith
Senior Lecturer



I joined the Department of Economics and Related Studies in October 2013. Prior to joining I was a Senior Research Fellow at the Centre of Financial Analysis and Policy at the University of Cambridge (2002-2013).

  • PhD in Econometrics (University of Nottingham)
  • MSc in Finance (University of York)
  • BSc in Mathematics (University of Patras, Greece)

Departmental roles

  • Director of MSc in Finance and Econometrics.

University roles

  • Member, Economics, Law, Management, Politics and Sociology (ELMPS) Ethics Committee
  • Departmental Research Committee (ex officio, ELMPS Committee Member)
  • 2nd Admission Assessor for Finance & Econometrics
  • Member, UG Admissions & Open Day Team
  • Organiser of the Econometrics Seminars for the Econometrics Cluster



My research interests are mainly in panel data econometrics (testing and estimation in the presence of cross sectional dependence), Global VAR modelling, and estimation of large covariance matrices. I am also interested in financial econometrics. My work in this area includes modelling the spread of financial crises and testing for jumps and their determinants in the term structure of interest rates.

For information on global VAR (GVAR) modelling and the latest version of the GVAR Toolbox visit here.

Research group(s)

  • Econometrics


Selected publications

Working Papers

  • “Transformed Likelihood Estimation of Short Dynamic Panels with a Multi-Factor Structure” (with K. Hayakawa and M. H. Pesaran)
  • “A multiple testing approach to the regularisation of large sample correlation matrices” (with N. Bailey and M. H. Pesaran)



  • Statistics 1 (1st Year)
  • Applied Econometrics (3rd Year)


  • Statistics Review
  • Econometrics I & II

Dr L. Vanessa Smith
Senior Lecturer
Department of Economics
Room: A/EC/011

Tel: +44 (0)1904 323754

Office and feedback hours during term time:

Tuesday  9am - 10am

Tuesday  4pm - 5pm

Please note, due to Covid-19, these will be carried out virtually via Google Meet (or similar).

Other times may be available by email appointment.