Jennifer L. Castle
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Blog mentions
As found by EconAcademics.org, the blog aggregator for Economics research:- Jennifer Castle & David Hendry, 2007.
"Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation,"
Economics Series Working Papers
309, University of Oxford, Department of Economics.
Mentioned in:
- Money growth & inflation
by chris dillow in Stumbling and Mumbling on 2009-03-26 19:31:34
- Money growth & inflation
- Jennifer Castle & David Hendry & Michael P. Clements, 2014.
"Robust Approaches to Forecasting,"
Economics Series Working Papers
697, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2015. "Robust approaches to forecasting," International Journal of Forecasting, Elsevier, vol. 31(1), pages 99-112.
Mentioned in:
- In all probability, economic forecasts are probably wrong
by David F Hendry, Director, Economic Modelling, The Institute for New Economic Thinking at the Oxford Martin School at University of Oxford in The Conversation on 2014-07-18 17:06:35
Working papers
- Jennifer L. Castle & David F. Hendry, 2021.
"Can the UK achieve net-zero greenhouse gas emissions by 2050?,"
Economics Series Working Papers
953 JEL classification: C, University of Oxford, Department of Economics.
Cited by:
- Jennifer L. Castle & David F. Hendry & Andrew B. Martinez, 2022.
"The historical role of energy in UK inflation and productivity and implications for price inflation in 2022,"
Economics Series Working Papers
983, University of Oxford, Department of Economics.
- Jennifer L. Castle & David F. Hendry & Andrew B. Martinez, 2022. "The Historical Role of Energy in UK Inflation and Productivity and Implications for Price Inflation in 2022," Working Papers 2022-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Jennifer L. Castle & David F. Hendry & Andrew B. Martinez, 2022.
"The historical role of energy in UK inflation and productivity and implications for price inflation in 2022,"
Economics Series Working Papers
983, University of Oxford, Department of Economics.
- Andrew B. Martinez & Jennifer L. Castle & David F. Hendry, 2020.
"Smooth Robust Multi-Horizon Forecasts,"
Working Papers
2020-009, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Andrew B. Martinez & Jennifer L. Castle & David F. Hendry, 2022. "Smooth Robust Multi-Horizon Forecasts," Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, volume 43, pages 143-165, Emerald Group Publishing Limited.
- Andrew B. Martinez & Jennifer L. Castle & David F. Hendry, 2021. "Smooth Robust Multi-Horizon Forecasts," Economics Papers 2021-W01, Economics Group, Nuffield College, University of Oxford.
Cited by:
- Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers 1311, Board of Governors of the Federal Reserve System (U.S.).
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Andrew B. Martinez, 2020. "Extracting Information from Different Expectations," Working Papers 2020-008, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Jennifer Castle & David Hendry, 2020.
"Identifying the Causal Role of CO2 during the Ice Ages,"
Economics Series Working Papers
898, University of Oxford, Department of Economics.
Cited by:
- Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers 1311, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson & Mohammed H. I. Dore & Hassan Butt, 2022. "Detecting and Quantifying Structural Breaks in Climate," Econometrics, MDPI, vol. 10(4), pages 1-27, November.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Jennifer Castle & Jurgen Doornik & David Hendry, 2020.
"Modelling Non-stationary 'Big Data',"
Economics Series Working Papers
905, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2021. "Modelling non-stationary ‘Big Data’," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1556-1575.
Cited by:
- Escribano, Alvaro & Peña, Daniel & Ruiz, Esther, 2021. "30 years of cointegration and dynamic factor models forecasting and its future with big data: Editorial," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1333-1337.
- Katalin Varga & Tibor Szendrei, 2024. "Non-stationary Financial Risk Factors and Macroeconomic Vulnerability for the UK," Papers 2404.01451, arXiv.org.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2020.
"Short-term forecasting of the Coronavirus Pandemic - 2020-04-27,"
Economics Papers
2020-W06, Economics Group, Nuffield College, University of Oxford.
Cited by:
- Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers 1311, Board of Governors of the Federal Reserve System (U.S.).
- Petropoulos, Fotios & Makridakis, Spyros & Stylianou, Neophytos, 2022. "COVID-19: Forecasting confirmed cases and deaths with a simple time series model," International Journal of Forecasting, Elsevier, vol. 38(2), pages 439-452.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021.
"Selecting a Model for Forecasting,"
Econometrics, MDPI, vol. 9(3), pages 1-35, June.
- Jennifer Castle & Jurgen Doornik & David Hendry, 2018. "Selecting a Model for Forecasting," Economics Series Working Papers 861, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2023.
"Robust Discovery of Regression Models,"
Econometrics and Statistics, Elsevier, vol. 26(C), pages 31-51.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2020. "Robust Discovery of Regression Models," Economics Papers 2020-W04, Economics Group, Nuffield College, University of Oxford.
- Bozkir, Cem D.C. & Ozmemis, Cagri & Kurbanzade, Ali Kaan & Balcik, Burcu & Gunes, Evrim D. & Tuglular, Serhan, 2023. "Capacity planning for effective cohorting of hemodialysis patients during the coronavirus pandemic: A case study," European Journal of Operational Research, Elsevier, vol. 304(1), pages 276-291.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021. "Forecasting Principles from Experience with Forecasting Competitions," Forecasting, MDPI, vol. 3(1), pages 1-28, February.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020.
"Forecasting: theory and practice,"
Papers
2012.03854, arXiv.org, revised Jan 2022.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022. "Forecasting: theory and practice," International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
Cited by:
- Nie, Yan & Zhang, Guoxing & Zhong, Luhao & Su, Bin & Xi, Xi, 2024. "Urban‒rural disparities in household energy and electricity consumption under the influence of electricity price reform policies," Energy Policy, Elsevier, vol. 184(C).
- Raja, Aitazaz Ali & Pinson, Pierre & Kazempour, Jalal & Grammatico, Sergio, 2024. "A market for trading forecasts: A wagering mechanism," International Journal of Forecasting, Elsevier, vol. 40(1), pages 142-159.
- Amjad Almusaed & Ibrahim Yitmen & Asaad Almssad, 2023. "Enhancing Smart Home Design with AI Models: A Case Study of Living Spaces Implementation Review," Energies, MDPI, vol. 16(6), pages 1-23, March.
- Jozef Barunik & Lubos Hanus, 2023. "Learning Probability Distributions of Day-Ahead Electricity Prices," Papers 2310.02867, arXiv.org, revised Oct 2023.
- Xiaoqian Wang & Yanfei Kang & Rob J Hyndman & Feng Li, 2020.
"Distributed ARIMA Models for Ultra-long Time Series,"
Monash Econometrics and Business Statistics Working Papers
29/20, Monash University, Department of Econometrics and Business Statistics.
- Wang, Xiaoqian & Kang, Yanfei & Hyndman, Rob J. & Li, Feng, 2023. "Distributed ARIMA models for ultra-long time series," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1163-1184.
- Ca’ Zorzi, Michele & Rubaszek, Michał, 2023. "How many fundamentals should we include in the behavioral equilibrium exchange rate model?," Economic Modelling, Elsevier, vol. 118(C).
- Racek, Daniel & Thurner, Paul W. & Davidson, Brittany I. & Zhu, Xiao Xiang & Kauermann, Göran, 2024. "Conflict forecasting using remote sensing data: An application to the Syrian civil war," International Journal of Forecasting, Elsevier, vol. 40(1), pages 373-391.
- Huang, Congzhi & Yang, Mengyuan, 2023. "Memory long and short term time series network for ultra-short-term photovoltaic power forecasting," Energy, Elsevier, vol. 279(C).
- Wesley Marcos Almeida & Claudimar Pereira Veiga, 2023. "Does demand forecasting matter to retailing?," Journal of Marketing Analytics, Palgrave Macmillan, vol. 11(2), pages 219-232, June.
- Anna Sznajderska & Alfred A. Haug, 2023. "Bayesian VARs of the U.S. economy before and during the pandemic," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 13(2), pages 211-236, June.
- Marek Kwas & Alessia Paccagnini & Michal Rubaszek, 2020.
"Common factors and the dynamics of cereal prices. A forecasting perspective,"
CAMA Working Papers
2020-47, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Kwas, Marek & Paccagnini, Alessia & Rubaszek, Michał, 2022. "Common factors and the dynamics of cereal prices. A forecasting perspective," Journal of Commodity Markets, Elsevier, vol. 28(C).
- Grzegorz Marcjasz & Micha{l} Narajewski & Rafa{l} Weron & Florian Ziel, 2022.
"Distributional neural networks for electricity price forecasting,"
Papers
2207.02832, arXiv.org, revised Dec 2022.
- Marcjasz, Grzegorz & Narajewski, Michał & Weron, Rafał & Ziel, Florian, 2023. "Distributional neural networks for electricity price forecasting," Energy Economics, Elsevier, vol. 125(C).
- Bernhard Tröster & Ulrich Gunter, 2023. "The Financialization of Coffee, Cocoa and Cotton Value Chains: The Role of Physical Actors," Development and Change, International Institute of Social Studies, vol. 54(6), pages 1550-1574, November.
- Tetiana Zatonatska & Olena Liashenko & Yana Fareniuk & Oleksandr Dluhopolskyi & Artur Dmowski & Marzena Cichorzewska, 2022. "The Migration Influence on the Forecasting of Health Care Budget Expenditures in the Direction of Sustainability: Case of Ukraine," Sustainability, MDPI, vol. 14(21), pages 1-17, November.
- Jeroen Rombouts & Marie Ternes & Ines Wilms, 2024. "Cross-Temporal Forecast Reconciliation at Digital Platforms with Machine Learning," Papers 2402.09033, arXiv.org.
- Jonathan Berrisch & Florian Ziel, 2022. "Distributional modeling and forecasting of natural gas prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(6), pages 1065-1086, September.
- Oscar Espinosa & Valeria Bejarano & Jeferson Ramos & Boris Martínez, 2023. "Statistical actuarial estimation of the Capitation Payment Unit from copula functions and deep learning: historical comparability analysis for the Colombian health system, 2015–2021," Health Economics Review, Springer, vol. 13(1), pages 1-20, December.
- Alroomi, Azzam & Karamatzanis, Georgios & Nikolopoulos, Konstantinos & Tilba, Anna & Xiao, Shujun, 2022. "Fathoming empirical forecasting competitions’ winners," International Journal of Forecasting, Elsevier, vol. 38(4), pages 1519-1525.
- Rai, Amit & Shrivastava, Ashish & Jana, Kartick C., 2023. "Differential attention net: Multi-directed differential attention based hybrid deep learning model for solar power forecasting," Energy, Elsevier, vol. 263(PC).
- Anita M. Bunea & Mariangela Guidolin & Piero Manfredi & Pompeo Della Posta, 2022. "Diffusion of Solar PV Energy in the UK: A Comparison of Sectoral Patterns," Forecasting, MDPI, vol. 4(2), pages 1-21, April.
- Zheng, Zhuang & Shafique, Muhammad & Luo, Xiaowei & Wang, Shengwei, 2024. "A systematic review towards integrative energy management of smart grids and urban energy systems," Renewable and Sustainable Energy Reviews, Elsevier, vol. 189(PB).
- Fernández, Joaquín Delgado & Menci, Sergio Potenciano & Lee, Chul Min & Rieger, Alexander & Fridgen, Gilbert, 2022. "Privacy-preserving federated learning for residential short-term load forecasting," Applied Energy, Elsevier, vol. 326(C).
- Fiszeder, Piotr & Fałdziński, Marcin & Molnár, Peter, 2023. "Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 308-321.
- Paul Ghelasi & Florian Ziel, 2023. "Hierarchical forecasting for aggregated curves with an application to day-ahead electricity price auctions," Papers 2305.16255, arXiv.org.
- Katarzyna Maciejowska & Bartosz Uniejewski & Rafa{l} Weron, 2022. "Forecasting Electricity Prices," Papers 2204.11735, arXiv.org.
- Janczura, Joanna & Wójcik, Edyta, 2022. "Dynamic short-term risk management strategies for the choice of electricity market based on probabilistic forecasts of profit and risk measures. The German and the Polish market case study," Energy Economics, Elsevier, vol. 110(C).
- Heymann, Fabian & Milojevic, Tatjana & Covatariu, Andrei & Verma, Piyush, 2023. "Digitalization in decarbonizing electricity systems – Phenomena, regional aspects, stakeholders, use cases, challenges and policy options," Energy, Elsevier, vol. 262(PB).
- Spiliotis, Evangelos & Petropoulos, Fotios, 2024. "On the update frequency of univariate forecasting models," European Journal of Operational Research, Elsevier, vol. 314(1), pages 111-121.
- Ramos, Paulo Vitor B. & Villela, Saulo Moraes & Silva, Walquiria N. & Dias, Bruno H., 2023. "Residential energy consumption forecasting using deep learning models," Applied Energy, Elsevier, vol. 350(C).
- Wang, Shengjie & Kang, Yanfei & Petropoulos, Fotios, 2024. "Combining probabilistic forecasts of intermittent demand," European Journal of Operational Research, Elsevier, vol. 315(3), pages 1038-1048.
- Bergsteinsson, Hjörleifur G. & Sørensen, Mikkel Lindstrøm & Møller, Jan Kloppenborg & Madsen, Henrik, 2023. "Heat load forecasting using adaptive spatial hierarchies," Applied Energy, Elsevier, vol. 350(C).
- Nghia Chu & Binh Dao & Nga Pham & Huy Nguyen & Hien Tran, 2022. "Predicting Mutual Funds' Performance using Deep Learning and Ensemble Techniques," Papers 2209.09649, arXiv.org, revised Jul 2023.
- Takahashi, Carlos Kazunari & Figueiredo, Júlio César Bastos de & Scornavacca, Eusebio, 2024. "Investigating the diffusion of innovation: A comprehensive study of successive diffusion processes through analysis of search trends, patent records, and academic publications," Technological Forecasting and Social Change, Elsevier, vol. 198(C).
- Li, Xishu & Zuidwijk, Rob & de Koster, M.B.M, 2023. "Optimal competitive capacity strategies: Evidence from the container shipping market," Omega, Elsevier, vol. 115(C).
- Richard Bean, 2023. "Forecasting the Monash Microgrid for the IEEE-CIS Technical Challenge," Energies, MDPI, vol. 16(3), pages 1-23, January.
- Emmanuel Senyo Fianu, 2022. "Analyzing and Forecasting Multi-Commodity Prices Using Variants of Mode Decomposition-Based Extreme Learning Machine Hybridization Approach," Forecasting, MDPI, vol. 4(2), pages 1-27, June.
- Joanna Janczura & Andrzej Puć, 2023. "ARX-GARCH Probabilistic Price Forecasts for Diversification of Trade in Electricity Markets—Variance Stabilizing Transformation and Financial Risk-Minimizing Portfolio Allocation," Energies, MDPI, vol. 16(2), pages 1-28, January.
- Elalem, Yara Kayyali & Maier, Sebastian & Seifert, Ralf W., 2023. "A machine learning-based framework for forecasting sales of new products with short life cycles using deep neural networks," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1874-1894.
- Michael Pedersen, 2024. "Judgment in macroeconomic output growth predictions: Efficiency, accuracy and persistence," Papers 2404.04105, arXiv.org.
- Jun Meng & Jingfang Fan & Uma S. Bhatt & Jürgen Kurths, 2023. "Arctic weather variability and connectivity," Nature Communications, Nature, vol. 14(1), pages 1-11, December.
- Aitazaz Ali Raja & Pierre Pinson & Jalal Kazempour & Sergio Grammatico, 2022. "A Market for Trading Forecasts: A Wagering Mechanism," Papers 2205.02668, arXiv.org, revised Oct 2022.
- Niklas Valentin Lehmann, 2023. "Forecasting skill of a crowd-prediction platform: A comparison of exchange rate forecasts," Papers 2312.09081, arXiv.org.
- Silvia Golia & Luigi Grossi & Matteo Pelagatti, 2022. "Machine Learning Models and Intra-Daily Market Information for the Prediction of Italian Electricity Prices," Forecasting, MDPI, vol. 5(1), pages 1-21, December.
- Fałdziński, Marcin & Fiszeder, Piotr & Molnár, Peter, 2024. "Improving volatility forecasts: Evidence from range-based models," The North American Journal of Economics and Finance, Elsevier, vol. 69(PB).
- Qi, Lingzhi & Li, Xixi & Wang, Qiang & Jia, Suling, 2023. "fETSmcs: Feature-based ETS model component selection," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1303-1317.
- Guo, Su & Zheng, Kun & He, Yi & Kurban, Aynur, 2023. "The artificial intelligence-assisted short-term optimal scheduling of a cascade hydro-photovoltaic complementary system with hybrid time steps," Renewable Energy, Elsevier, vol. 202(C), pages 1169-1189.
- Swaminathan, Kritika & Venkitasubramony, Rakesh, 2024. "Demand forecasting for fashion products: A systematic review," International Journal of Forecasting, Elsevier, vol. 40(1), pages 247-267.
- Andrea Savio & Luigi De Giovanni & Mariangela Guidolin, 2022. "Modelling Energy Transition in Germany: An Analysis through Ordinary Differential Equations and System Dynamics," Forecasting, MDPI, vol. 4(2), pages 1-18, April.
- Radovan Šomplák & Veronika Smejkalová & Martin Rosecký & Lenka Szásziová & Vlastimír Nevrlý & Dušan Hrabec & Martin Pavlas, 2023. "Comprehensive Review on Waste Generation Modeling," Sustainability, MDPI, vol. 15(4), pages 1-29, February.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2020.
"Robust Discovery of Regression Models,"
Economics Papers
2020-W04, Economics Group, Nuffield College, University of Oxford.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2023. "Robust Discovery of Regression Models," Econometrics and Statistics, Elsevier, vol. 26(C), pages 31-51.
Cited by:
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Janine Aron & John Muellbauer, 2022.
"Excess Mortality Versus COVID‐19 Death Rates: A Spatial Analysis of Socioeconomic Disparities and Political Allegiance Across U.S. States,"
Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 68(2), pages 348-392, June.
- Aron, Janine & Muellbauer, John, 2021. "Excess mortality versus COVID-19 death rates: a spatial analysis of socioeconomic disparities and political allegiance across US states," INET Oxford Working Papers 2021-24, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Janine Aron & John Muellbauer, 2021. "Excess mortality versus COVID-19 death rates: a spatial analysis of socioeconomic disparities and political allegiance across US states," Economics Series Working Papers 955 JEL classification: I, University of Oxford, Department of Economics.
- Khan, Faridoon & Muhammadullah, Sara & Sharif, Arshian & Lee, Chien-Chiang, 2024. "The role of green energy stock market in forecasting China's crude oil market: An application of IIS approach and sparse regression models," Energy Economics, Elsevier, vol. 130(C).
- Jennifer L. Castle & Jurgen A. Doornik & David Hendry, 2019.
"Some forecasting principles from the M4 competition,"
Economics Papers
2019-W01, Economics Group, Nuffield College, University of Oxford.
Cited by:
- Doornik, Jurgen A. & Castle, Jennifer L. & Hendry, David F., 2022. "Short-term forecasting of the coronavirus pandemic," International Journal of Forecasting, Elsevier, vol. 38(2), pages 453-466.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2020. "Short-term forecasting of the Coronavirus Pandemic - 2020-04-27," Economics Papers 2020-W06, Economics Group, Nuffield College, University of Oxford.
- Doornik, Jurgen A. & Castle, Jennifer L. & Hendry, David F., 2020. "Card forecasts for M4," International Journal of Forecasting, Elsevier, vol. 36(1), pages 129-134.
- Jennifer Castle & Jurgen Doornik & David Hendry, 2018.
"Selecting a Model for Forecasting,"
Economics Series Working Papers
861, University of Oxford, Department of Economics.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021. "Selecting a Model for Forecasting," Econometrics, MDPI, vol. 9(3), pages 1-35, June.
Cited by:
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Chad Fulton & Kirstin Hubrich, 2021.
"Forecasting US Inflation in Real Time,"
Finance and Economics Discussion Series
2021-014, Board of Governors of the Federal Reserve System (U.S.).
- Chad Fulton & Kirstin Hubrich, 2021. "Forecasting US Inflation in Real Time," Econometrics, MDPI, vol. 9(4), pages 1-20, October.
- Jia, Jian & Kang, Sang Baum, 2022. "Do the basis and other predictors of futures return also predict spot return with the same signs and magnitudes? Evidence from the LME," Journal of Commodity Markets, Elsevier, vol. 25(C).
- Jennifer Castle & David Hendry & Michael P. Clements, 2016.
"An Overview of Forecasting Facing Breaks,"
Economics Series Working Papers
779, University of Oxford, Department of Economics.
- Jennifer L. Castle & Michael P. Clements & David F. Hendry, 2016. "An Overview of Forecasting Facing Breaks," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 3-23, September.
Cited by:
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2021.
"Modelling non-stationary ‘Big Data’,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1556-1575.
- Jennifer Castle & Jurgen Doornik & David Hendry, 2020. "Modelling Non-stationary 'Big Data'," Economics Series Working Papers 905, University of Oxford, Department of Economics.
- Marta Boczon, 2018. "Balanced Growth Approach to Forecasting Recessions," Working Paper 6487, Department of Economics, University of Pittsburgh.
- Luca Nocciola, "undated".
"Finite sample forecast properties and window length under breaks in cointegrated systems,"
Discussion Papers
19/07, University of Nottingham, Granger Centre for Time Series Econometrics.
- Luca Nocciola, 2022. "Finite Sample Forecast Properties and Window Length Under Breaks in Cointegrated Systems," Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, volume 43, pages 167-196, Emerald Group Publishing Limited.
- Fokin, Nikita, 2021. "The importance of modeling structural breaks in forecasting Russian GDP," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 63, pages 5-29.
- Xin, Daleng & Ahmad, Manzoor & Lei, Hong & Khattak, Shoukat Iqbal, 2021. "Do innovation in environmental-related technologies asymmetrically affect carbon dioxide emissions in the United States?," Technology in Society, Elsevier, vol. 67(C).
- Jeronymo Marcondes Pinto & Emerson Fernandes Marçal, 2023. "An artificial intelligence approach to forecasting when there are structural breaks: a reinforcement learning-based framework for fast switching," Empirical Economics, Springer, vol. 65(4), pages 1729-1759, October.
- Castle, Jennifer L. & Hendry, David F. & Martinez, Andrew B., 2023. "The historical role of energy in UK inflation and productivity with implications for price inflation," Energy Economics, Elsevier, vol. 126(C).
- Döpke, Jörg & Fritsche, Ulrich & Müller, Karsten, 2019. "Has macroeconomic forecasting changed after the Great Recession? Panel-based evidence on forecast accuracy and forecaster behavior from Germany," Journal of Macroeconomics, Elsevier, vol. 62(C).
- Jörg Döpke & Ulrich Fritsche & Karsten Müller, 2018. "Has Macroeconomic Forecasting changed after the Great Recession? - Panel-based Evidence on Accuracy and Forecaster Behaviour from Germany," Macroeconomics and Finance Series 201803, University of Hamburg, Department of Socioeconomics.
- Jennifer L. Castle & David F. Hendry & Andrew B. Martinez, 2022.
"The historical role of energy in UK inflation and productivity and implications for price inflation in 2022,"
Economics Series Working Papers
983, University of Oxford, Department of Economics.
- Jennifer L. Castle & David F. Hendry & Andrew B. Martinez, 2022. "The Historical Role of Energy in UK Inflation and Productivity and Implications for Price Inflation in 2022," Working Papers 2022-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- McKnight, Stephen & Mihailov, Alexander & Rumler, Fabio, 2020.
"Inflation forecasting using the New Keynesian Phillips Curve with a time-varying trend,"
Economic Modelling, Elsevier, vol. 87(C), pages 383-393.
- Stephen McKnight & Alexander Mihailov & Kerry Patterson & Fabio Rumler, 2014. "The Predictive Performance of Fundamental Inflation Concepts: An Application to the Euro Area and the United States," Economics Discussion Papers em-dp2014-03, Department of Economics, University of Reading.
- Stephen McKnight & Alexander Mihailov & Fabio Rumler, 2018. "NKPC-Based Inflation Forecasts with a Time-Varying Trend," Serie documentos de trabajo del Centro de Estudios Económicos 2018-05, El Colegio de México, Centro de Estudios Económicos.
- igescu, iulia, 2020. "Describing Location Shifts with One Class Support Vector Machines," MPRA Paper 100984, University Library of Munich, Germany.
- Muhammad Jahanzeb Malik & Muhammad Nadim Hanif, 2019. "Learning from Errors While Forecasting Inflation: A Case for Intercept Correction," International Econometric Review (IER), Econometric Research Association, vol. 11(1), pages 24-38, April.
- Larson, William D. & Sinclair, Tara M., 2022.
"Nowcasting unemployment insurance claims in the time of COVID-19,"
International Journal of Forecasting, Elsevier, vol. 38(2), pages 635-647.
- William D. Larson & Tara M. Sinclair, 2020. "Nowcasting unemployment insurance claims in the time of COVID-19," CAMA Working Papers 2020-63, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- William D. Larson & Tara M. Sinclair, 2020. "Nowcasting Unemployment Insurance Claims in the Time of COVID-19," FHFA Staff Working Papers 20-02, Federal Housing Finance Agency.
- William D. Larson & Tara M. Sinclair, 2020. "Nowcasting Unemployment Insurance Claims in the Time of COVID-19," Working Papers 2020-004, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting, revised Aug 2020.
- Talis Tebecis, 2023. "Have climate policies been effective in Austria? A reverse causal analysis," Department of Economics Working Papers wuwp346, Vienna University of Economics and Business, Department of Economics.
- Jeronymo Marcondes Pinto & Jennifer L. Castle, 2022. "Machine Learning Dynamic Switching Approach to Forecasting in the Presence of Structural Breaks," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(2), pages 129-157, July.
- Tebecis, Talis, 2023. "Have climate policies been effective in Austria? A reverse causal analysis," Department of Economics Working Paper Series 346, WU Vienna University of Economics and Business.
- Marta Boczoń & Jean-François Richard, 2020. "Balanced Growth Approach to Tracking Recessions," Econometrics, MDPI, vol. 8(2), pages 1-35, April.
- Jennifer Castle & David Hendry, 2016.
"Policy Analysis, Forediction, and Forecast Failure,"
Economics Series Working Papers
809, University of Oxford, Department of Economics.
Cited by:
- Marcela De Castro-Valderrama & Santiago Forero-Alvarado & Nicolás Moreno-Arias & Sara Naranjo-Saldarriaga, 2021. "Unraveling the Exogenous Forces Behind Analysts’ Macroeconomic Forecasts," Borradores de Economia 1184, Banco de la Republica de Colombia.
- Jennifer Castle & David Hendry & Michael P. Clements, 2014.
"Robust Approaches to Forecasting,"
Economics Series Working Papers
697, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2015. "Robust approaches to forecasting," International Journal of Forecasting, Elsevier, vol. 31(1), pages 99-112.
Cited by:
- Pinto, Jeronymo Marcondes & Marçal, Emerson Fernandes, 2019. "Cross-validation based forecasting method: a machine learning approach," Textos para discussão 498, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Neil R. Ericsson, 2015.
"Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis,"
International Finance Discussion Papers
1152, Board of Governors of the Federal Reserve System (U.S.).
- Ericsson, Neil R., 2016. "Eliciting GDP forecasts from the FOMC’s minutes around the financial crisis," International Journal of Forecasting, Elsevier, vol. 32(2), pages 571-583.
- Neil R. Ericsson, 2015. "Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis," Working Papers 2015-003, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Jennifer L. Castle & Michael P. Clements & David F. Hendry, 2016.
"An Overview of Forecasting Facing Breaks,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 3-23, September.
- Jennifer Castle & David Hendry & Michael P. Clements, 2016. "An Overview of Forecasting Facing Breaks," Economics Series Working Papers 779, University of Oxford, Department of Economics.
- Hendry, David F., 2018.
"Deciding between alternative approaches in macroeconomics,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 119-135.
- David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
- Emerson Fernandes Marçal & Eli Hadad Junior, 2016. "Is It Possible to Beat the Random Walk Model in Exchange Rate Forecasting? More Evidence for Brazilian Case," Brazilian Review of Finance, Brazilian Society of Finance, vol. 14(1), pages 65-88.
- Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers 1311, Board of Governors of the Federal Reserve System (U.S.).
- Jennifer Castle & Takamitsu Kurita, 2019. "Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks," Economics Series Working Papers 866, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Kurita, Takamitsu, 2021. "A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
- John B. Guerard, 2024. "Sir David Hendry: An Appreciation from Wall Street and What Macroeconomics Got Right," Working Papers 2024-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting, revised Feb 2024.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Jeronymo Marcondes Pinto & Emerson Fernandes Marçal, 2023. "An artificial intelligence approach to forecasting when there are structural breaks: a reinforcement learning-based framework for fast switching," Empirical Economics, Springer, vol. 65(4), pages 1729-1759, October.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021.
"Selecting a Model for Forecasting,"
Econometrics, MDPI, vol. 9(3), pages 1-35, June.
- Jennifer Castle & Jurgen Doornik & David Hendry, 2018. "Selecting a Model for Forecasting," Economics Series Working Papers 861, University of Oxford, Department of Economics.
- Neil R. Ericsson, 2017.
"How Biased Are U.S. Government Forecasts of the Federal Debt?,"
Working Papers
2017-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Ericsson, Neil R., 2017. "How biased are U.S. government forecasts of the federal debt?," International Journal of Forecasting, Elsevier, vol. 33(2), pages 543-559.
- Neil R. Ericsson, 2017. "How Biased Are U.S. Government Forecasts of the Federal Debt?," International Finance Discussion Papers 1189, Board of Governors of the Federal Reserve System (U.S.).
- Michael P. Clements, 2014.
"Real-Time Factor Model Forecasting and the Effects of Instability,"
ICMA Centre Discussion Papers in Finance
icma-dp2014-05, Henley Business School, University of Reading.
- Clements, Michael P., 2016. "Real-time factor model forecasting and the effects of instability," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 661-675.
- Doornik, Jurgen A. & Castle, Jennifer L. & Hendry, David F., 2022. "Short-term forecasting of the coronavirus pandemic," International Journal of Forecasting, Elsevier, vol. 38(2), pages 453-466.
- Andrew B. Martinez & Jennifer L. Castle & David F. Hendry, 2022.
"Smooth Robust Multi-Horizon Forecasts,"
Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, volume 43, pages 143-165,
Emerald Group Publishing Limited.
- Andrew B. Martinez & Jennifer L. Castle & David F. Hendry, 2021. "Smooth Robust Multi-Horizon Forecasts," Economics Papers 2021-W01, Economics Group, Nuffield College, University of Oxford.
- Andrew B. Martinez & Jennifer L. Castle & David F. Hendry, 2020. "Smooth Robust Multi-Horizon Forecasts," Working Papers 2020-009, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Lin, Jilei & Eck, Daniel J., 2021. "Minimizing post-shock forecasting error through aggregation of outside information," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1710-1727.
- Michael Clements, 2016.
"Are Macroeconomic Density Forecasts Informative?,"
ICMA Centre Discussion Papers in Finance
icma-dp2016-02, Henley Business School, University of Reading.
- Clements, Michael P., 2018. "Are macroeconomic density forecasts informative?," International Journal of Forecasting, Elsevier, vol. 34(2), pages 181-198.
- David F Hendry & John N J Muellbauer, 2018.
"The future of macroeconomics: macro theory and models at the Bank of England,"
Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 34(1-2), pages 287-328.
- David Hendry & John Muellbauer, 2017. "The future of macroeconomics: Macro theory and models at the Bank of England," Economics Series Working Papers 832, University of Oxford, Department of Economics.
- Larson, William D. & Sinclair, Tara M., 2022.
"Nowcasting unemployment insurance claims in the time of COVID-19,"
International Journal of Forecasting, Elsevier, vol. 38(2), pages 635-647.
- William D. Larson & Tara M. Sinclair, 2020. "Nowcasting unemployment insurance claims in the time of COVID-19," CAMA Working Papers 2020-63, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- William D. Larson & Tara M. Sinclair, 2020. "Nowcasting Unemployment Insurance Claims in the Time of COVID-19," FHFA Staff Working Papers 20-02, Federal Housing Finance Agency.
- William D. Larson & Tara M. Sinclair, 2020. "Nowcasting Unemployment Insurance Claims in the Time of COVID-19," Working Papers 2020-004, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting, revised Aug 2020.
- Jeronymo Marcondes Pinto & Jennifer L. Castle, 2022. "Machine Learning Dynamic Switching Approach to Forecasting in the Presence of Structural Breaks," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(2), pages 129-157, July.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2020. "Short-term forecasting of the Coronavirus Pandemic - 2020-04-27," Economics Papers 2020-W06, Economics Group, Nuffield College, University of Oxford.
- David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
- Spiliotis, Evangelos & Nikolopoulos, Konstantinos & Assimakopoulos, Vassilios, 2019. "Tales from tails: On the empirical distributions of forecasting errors and their implication to risk," International Journal of Forecasting, Elsevier, vol. 35(2), pages 687-698.
- Papailias, Fotis & Thomakos, Dimitrios, 2017. "EXSSA: SSA-based reconstruction of time series via exponential smoothing of covariance eigenvalues," International Journal of Forecasting, Elsevier, vol. 33(1), pages 214-229.
- Kyriazi, Foteini & Thomakos, Dimitrios D. & Guerard, John B., 2019. "Adaptive learning forecasting, with applications in forecasting agricultural prices," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1356-1369.
- Jennifer Castle & David Hendry & Oleg Kitov, 2013.
"Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview,"
Economics Series Working Papers
674, University of Oxford, Department of Economics.
Cited by:
- Hendry, David F., 2018.
"Deciding between alternative approaches in macroeconomics,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 119-135.
- David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
- Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers 1311, Board of Governors of the Federal Reserve System (U.S.).
- Balcombe, Kelvin & Fraser, Iain, 2017. "Do bubbles have an explosive signature in markov switching models?," Economic Modelling, Elsevier, vol. 66(C), pages 81-100.
- Neil R. Ericsson, 2017.
"How Biased Are U.S. Government Forecasts of the Federal Debt?,"
Working Papers
2017-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Ericsson, Neil R., 2017. "How biased are U.S. government forecasts of the federal debt?," International Journal of Forecasting, Elsevier, vol. 33(2), pages 543-559.
- Neil R. Ericsson, 2017. "How Biased Are U.S. Government Forecasts of the Federal Debt?," International Finance Discussion Papers 1189, Board of Governors of the Federal Reserve System (U.S.).
- Emilian DOBRESCU, 2020. "Self-fulfillment degree of economic expectations within an integrated space: The European Union case study," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-32, December.
- Bonino-Gayoso, Nicolás & García-Hiernaux, Alfredo, 2019. "TF-MIDAS: a new mixed-frequency model to forecast macroeconomic variables," MPRA Paper 93366, University Library of Munich, Germany.
- Hendry, David F., 2018.
"Deciding between alternative approaches in macroeconomics,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 119-135.
- Jennifer Castle & David Hendry, 2013.
"Semi-automatic Non-linear Model selection,"
Economics Series Working Papers
654, University of Oxford, Department of Economics.
Cited by:
- Rocha, Jordano Vieira & Pereira, Pedro L. Valls, 2015. "Forecast comparison with nonlinear methods for Brazilian industrial production," Textos para discussão 397, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Jennifer Castle & David Hendry, 2012.
"Forecasting by factors, by variables, or both?,"
Economics Series Working Papers
600, University of Oxford, Department of Economics.
Cited by:
- Neil R. Ericsson & Mohammed H. I. Dore & Hassan Butt, 2022. "Detecting and Quantifying Structural Breaks in Climate," Econometrics, MDPI, vol. 10(4), pages 1-27, November.
- Corradi, Valentina & Swanson, Norman R., 2014.
"Testing for structural stability of factor augmented forecasting models,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 100-118.
- Valentina Corradi & Norman Swanson, 2013. "Testing for Structural Stability of Factor Augmented Forecasting Models," Departmental Working Papers 201314, Rutgers University, Department of Economics.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2013.
"Model Selection in Equations with Many ‘Small’ Effects,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(1), pages 6-22, February.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2012. "Model Selection in Equations with Many 'Small' Effects," Working Paper series 53_12, Rimini Centre for Economic Analysis.
- Jennifer Castle & David Hendry, 2011. "Model Selection in Equations with Many 'Small' Effects," Economics Series Working Papers 528, University of Oxford, Department of Economics.
- Jennifer Castle & David Hendry & Oleg Kitov, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Ragnar Nymoen, 2012.
"Mis-specification Testing: Non-Invariance of Expectations Models of Inflation,"
Working Paper series
50_12, Rimini Centre for Economic Analysis.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Ragnar Nymoen, 2014. "Misspecification Testing: Non-Invariance of Expectations Models of Inflation," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 553-574, August.
Cited by:
- Hendry, David F., 2018.
"Deciding between alternative approaches in macroeconomics,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 119-135.
- David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
- Mariano Kulish & Adrian Pagan, 2016.
"Issues in Estimating New Keynesian Phillips Curves in the Presence of Unknown Structural Change,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(7), pages 1251-1270, August.
- Mariano Kulish & Adrian Pagan, 2013. "Issues in Estimating New Keynesian Phillips Curves in the Presence of Unknown Structural Change," NCER Working Paper Series 94, National Centre for Econometric Research.
- Mariano Kulish & Adrian Pagan, 2013. "Issues in Estimating New-Keynesian Phillips Curves in the Presence of Unknown Structural Change," RBA Research Discussion Papers rdp2013-11, Reserve Bank of Australia.
- Philip Hans Franses, 2019.
"Model‐based forecast adjustment: With an illustration to inflation,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(2), pages 73-80, March.
- Franses, Ph.H.B.F., 2018. "Model-based forecast adjustment; with an illustration to inflation," Econometric Institute Research Papers EI2018-14, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2023.
"Robust Discovery of Regression Models,"
Econometrics and Statistics, Elsevier, vol. 26(C), pages 31-51.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2020. "Robust Discovery of Regression Models," Economics Papers 2020-W04, Economics Group, Nuffield College, University of Oxford.
- Jennifer L. Castle & David F. Hendry & Andrew B. Martinez, 2022.
"The historical role of energy in UK inflation and productivity and implications for price inflation in 2022,"
Economics Series Working Papers
983, University of Oxford, Department of Economics.
- Jennifer L. Castle & David F. Hendry & Andrew B. Martinez, 2022. "The Historical Role of Energy in UK Inflation and Productivity and Implications for Price Inflation in 2022," Working Papers 2022-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Andrew B. Martinez, 2020. "Extracting Information from Different Expectations," Working Papers 2020-008, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
- Haraldsen, Kristine Wika & Ragnar, Nymoen & Sparrman, Victoria, 2019. "Labour market institutions, shocks and the employment rate," Memorandum 6/2019, Oslo University, Department of Economics.
- Melnick, Rafi & Strohsal, Till, 2017. "Disinflation in steps and the Phillips curve: Israel 1986–2015," Journal of Macroeconomics, Elsevier, vol. 53(C), pages 145-161.
- David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
- Kristine Wika Haraldsen & Ragnar Nymoen & Victoria Sparrman, 2019. "Labour market institutions, shocks and the employment rate," Discussion Papers 901, Statistics Norway, Research Department.
- Jennifer Castle & David Hendry, 2011.
"On Not Evaluating Economic Models by Forecast Outcomes,"
Economics Series Working Papers
538, University of Oxford, Department of Economics.
Cited by:
- Jennifer Castle & Takamitsu Kurita, 2019. "Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks," Economics Series Working Papers 866, University of Oxford, Department of Economics.
- Jennifer L. Castle & David F. Hendry & Andrew B. Martinez, 2017. "Evaluating Forecasts, Narratives and Policy Using a Test of Invariance," Econometrics, MDPI, vol. 5(3), pages 1-27, September.
- Jennifer Castle & David Hendry, 2016. "Policy Analysis, Forediction, and Forecast Failure," Economics Series Working Papers 809, University of Oxford, Department of Economics.
- Jennifer Castle & David Hendry, 2011.
"Model Selection in Equations with Many 'Small' Effects,"
Economics Series Working Papers
528, University of Oxford, Department of Economics.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2013. "Model Selection in Equations with Many ‘Small’ Effects," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(1), pages 6-22, February.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2012. "Model Selection in Equations with Many 'Small' Effects," Working Paper series 53_12, Rimini Centre for Economic Analysis.
Cited by:
- Rahul Verma & Rajesh Mohnot, 2023. "Relative Impact of the U.S. Energy Market Sentiments on Stocks and ESG Index Returns: Evidence from GCC Countries," International Journal of Energy Economics and Policy, Econjournals, vol. 13(2), pages 290-300, March.
- Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
- Jurgen A. Doornik & David F. Hendry & Steve Cook, 2015.
"Statistical model selection with “Big Data”,"
Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1045216-104, December.
- David Hendry & Jurgen A. Doornik, 2014. "Statistical Model Selection with 'Big Data'," Economics Series Working Papers 735, University of Oxford, Department of Economics.
- David Hendry & Felix Pretis, 2011.
"Anthropogenic Influences on Atmospheric CO2,"
Economics Series Working Papers
584, University of Oxford, Department of Economics.
- David F. Hendry & Felix Pretis, 2013. "Anthropogenic influences on atmospheric CO2," Chapters, in: Roger Fouquet (ed.), Handbook on Energy and Climate Change, chapter 12, pages 287-326, Edward Elgar Publishing.
- Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2013. "Forecasting by factors, by variables, by both or neither?," Journal of Econometrics, Elsevier, vol. 177(2), pages 305-319.
- Yuxuan Huang, 2016. "Forecasting the USD/CNY Exchange Rate under Different Policy Regimes," Working Papers 2016-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Jennifer Castle & David Hendry & Nicholas W.P. Fawcett, 2011.
"Forecasting breaks and forecasting during breaks,"
Economics Series Working Papers
535, University of Oxford, Department of Economics.
Cited by:
- Qin, Duo & He, Xinhua, 2012. "Modelling the impact of aggregate financial shocks external to the Chinese economy," BOFIT Discussion Papers 25/2012, Bank of Finland Institute for Emerging Economies (BOFIT).
- Jennifer Castle & David Hendry & Michael P. Clements, 2014.
"Robust Approaches to Forecasting,"
Economics Series Working Papers
697, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2015. "Robust approaches to forecasting," International Journal of Forecasting, Elsevier, vol. 31(1), pages 99-112.
- Jennifer L. Castle & Michael P. Clements & David F. Hendry, 2016.
"An Overview of Forecasting Facing Breaks,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 3-23, September.
- Jennifer Castle & David Hendry & Michael P. Clements, 2016. "An Overview of Forecasting Facing Breaks," Economics Series Working Papers 779, University of Oxford, Department of Economics.
- David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
- Giraitis, Liudas & Kapetanios, George & Price, Simon, 2014.
"Adaptive forecasting in the presence of recent and ongoing structural change,"
Bank of England working papers
490, Bank of England.
- Liudas Giraitis & George Kapetanios & Simon Price, 2012. "Adaptive Forecasting in the Presence of Recent and Ongoing Structural Change," Working Papers 691, Queen Mary University of London, School of Economics and Finance.
- Giraitis, Liudas & Kapetanios, George & Price, Simon, 2013. "Adaptive forecasting in the presence of recent and ongoing structural change," Journal of Econometrics, Elsevier, vol. 177(2), pages 153-170.
- Liudas Giraitis & George Kapetanios & Simon Price, 2012. "Adaptive Forcasting in the Presence of Recent and Ongoing Structural Change," CAMA Working Papers 2012-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Neil R. Ericsson, 2016.
"Economic Forecasting in Theory and Practice : An Interview with David F. Hendry,"
International Finance Discussion Papers
1184, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson, 2016. "Economic Forecasting in Theory and Practice: An Interview with David F. Hendry," Working Papers 2016-012, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Ericsson, Neil R., 2017. "Economic forecasting in theory and practice: An interview with David F. Hendry," International Journal of Forecasting, Elsevier, vol. 33(2), pages 523-542.
- Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
- Clements, Michael P. & Reade, J. James, 2020. "Forecasting and forecast narratives: The Bank of England Inflation Reports," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1488-1500.
- Hendry, David F. & Mizon, Grayham E., 2014.
"Unpredictability in economic analysis, econometric modeling and forecasting,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 186-195.
- David F. Hendry & Grayham E. Mizon, 2013. "Unpredictability in Economic Analysis, Econometric Modeling and Forecasting," Economics Papers 2013-W04, Economics Group, Nuffield College, University of Oxford.
- David Hendry, 2011. "Unpredictability in Economic Analyis, Econometric Modelling and Forecasting," Economics Series Working Papers 551, University of Oxford, Department of Economics.
- David Hendry & Grayham E. Mizon, 2016.
"Improving the Teaching of Econometrics,"
Economics Series Working Papers
785, University of Oxford, Department of Economics.
- David F. Hendry & Grayham E. Mizon, 2016. "Improving the teaching of econometrics," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1170096-117, December.
- Michael Wickens, 2014.
"How Useful are DSGE Macroeconomic Models for Forecasting?,"
Open Economies Review, Springer, vol. 25(1), pages 171-193, February.
- Wickens, Michael R., 2012. "How Useful are DSGE Macroeconomic Models for Forecasting?," CEPR Discussion Papers 9049, C.E.P.R. Discussion Papers.
- Rossi, Barbara, 2013.
"Advances in Forecasting under Instability,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324,
Elsevier.
- Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
- Rocha, Jordano Vieira & Pereira, Pedro L. Valls, 2015. "Forecast comparison with nonlinear methods for Brazilian industrial production," Textos para discussão 397, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
- Larson, William D. & Sinclair, Tara M., 2022.
"Nowcasting unemployment insurance claims in the time of COVID-19,"
International Journal of Forecasting, Elsevier, vol. 38(2), pages 635-647.
- William D. Larson & Tara M. Sinclair, 2020. "Nowcasting unemployment insurance claims in the time of COVID-19," CAMA Working Papers 2020-63, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- William D. Larson & Tara M. Sinclair, 2020. "Nowcasting Unemployment Insurance Claims in the Time of COVID-19," FHFA Staff Working Papers 20-02, Federal Housing Finance Agency.
- William D. Larson & Tara M. Sinclair, 2020. "Nowcasting Unemployment Insurance Claims in the Time of COVID-19," Working Papers 2020-004, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting, revised Aug 2020.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021. "Forecasting Facing Economic Shifts, Climate Change and Evolving Pandemics," Econometrics, MDPI, vol. 10(1), pages 1-21, December.
- Fardoust, Shahrokh & Dhareshwar, Ashok, 2013. "Some thoughts on making long-term forecasts for the world economy," Policy Research Working Paper Series 6705, The World Bank.
- Muellbauer, John, 2018. "The Future of Macroeconomics," INET Oxford Working Papers 2018-10, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2013. "Forecasting by factors, by variables, by both or neither?," Journal of Econometrics, Elsevier, vol. 177(2), pages 305-319.
- Jennifer Castle & David Hendry & Oleg Kitov, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
- William Larson, 2015. "Forecasting an Aggregate in the Presence of Structural Breaks in the Disaggregates," Working Papers 2015-002, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Jennifer Castle & Xiaochuan Qin & W. Robert Reed, 2011.
"Using Model Selection Algorthims to Obtain Reliable Coefficient Estimates,"
Working Papers in Economics
11/03, University of Canterbury, Department of Economics and Finance.
- Jennifer L. Castle & Xiaochuan Qin & W. Robert Reed, 2013. "Using Model Selection Algorithms To Obtain Reliable Coefficient Estimates," Journal of Economic Surveys, Wiley Blackwell, vol. 27(2), pages 269-296, April.
Cited by:
- Ragnar Nymoen & Kari Pedersen & Jon Ivar Sjåberg, 2019. "Estimation of Effects of Recent Macroprudential Policies in a Sample of Advanced Open Economies," IJFS, MDPI, vol. 7(2), pages 1-20, May.
- Hendry, David F., 2018.
"Deciding between alternative approaches in macroeconomics,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 119-135.
- David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
- Cunha, Ronan & Pereira, Pedro L. Valls, 2015. "Automatic model selection for forecasting Brazilian stock returns," Textos para discussão 398, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Kevin S. Nell, 2018. "Conditional Divergence in the Post-1989 Globalisation Period," CEF.UP Working Papers 1806, Universidade do Porto, Faculdade de Economia do Porto.
- W. Robert Reed, 2018. "A Primer on the ‘Reproducibility Crisis’ and Ways to Fix It," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 51(2), pages 286-300, June.
- Durevall, Dick & Loening, Josef L. & Birru, Yohannes A., 2010.
"Inflation Dynamics and Food Prices in Ethiopia,"
Working Papers in Economics
478, University of Gothenburg, Department of Economics, revised 03 Jun 2013.
- Durevall, Dick & Loening, Josef L. & Ayalew Birru, Yohannes, 2013. "Inflation dynamics and food prices in Ethiopia," Journal of Development Economics, Elsevier, vol. 104(C), pages 89-106.
- Nymoen, Ragnar & Pedersen, Kari & Sjåberg, Jon Ivar, 2018. "Estimation of effects of recent macroprudential policies in a sample of advanced open economies," Memorandum 5/2018, Oslo University, Department of Economics.
- Ericsson Neil R., 2016. "Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 377-398, September.
- Jennifer Castle & David Hendry, 2010.
"Automatic Selection for Non-linear Models,"
Economics Series Working Papers
473, University of Oxford, Department of Economics.
Cited by:
- Gunnar Bårdsen & Stan Hurn & Zoë McHugh, 2010.
"Asymmetric unemployment rate dynamics in Australia,"
CREATES Research Papers
2010-02, Department of Economics and Business Economics, Aarhus University.
- Gunnar Bardsen & Stan Hurn & Zoe McHugh, 2011. "Asymmetric unemployment rate dynamics in Australia," NCER Working Paper Series 71, National Centre for Econometric Research.
- Bårdsen Gunnar & Hurn Stanley & McHugh Zöe, 2012. "Asymmetric Unemployment Rate Dynamics in Australia," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(1), pages 1-22, January.
- Gunnar Bårdsen & Stan Hurn & Zoë McHugh, 2010. "Asymmetric unemployment rate dynamics in Australia," Working Paper Series 10810, Department of Economics, Norwegian University of Science and Technology.
- Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010.
"Evaluating Automatic Model Selection,"
Economics Series Working Papers
474, University of Oxford, Department of Economics.
- Castle Jennifer L. & Doornik Jurgen A & Hendry David F., 2011. "Evaluating Automatic Model Selection," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-33, February.
- Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2013.
"Model Selection in Equations with Many ‘Small’ Effects,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(1), pages 6-22, February.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2012. "Model Selection in Equations with Many 'Small' Effects," Working Paper series 53_12, Rimini Centre for Economic Analysis.
- Jennifer Castle & David Hendry, 2011. "Model Selection in Equations with Many 'Small' Effects," Economics Series Working Papers 528, University of Oxford, Department of Economics.
- Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
- Jennifer Castle & David Hendry, 2008.
"The Long-Run Determinants of UK Wages, 1860-2004,"
Economics Series Working Papers
409, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Hendry, David F., 2009. "The long-run determinants of UK wages, 1860-2004," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 5-28, March.
- David Hendry & Felix Pretis, 2011.
"Anthropogenic Influences on Atmospheric CO2,"
Economics Series Working Papers
584, University of Oxford, Department of Economics.
- David F. Hendry & Felix Pretis, 2013. "Anthropogenic influences on atmospheric CO2," Chapters, in: Roger Fouquet (ed.), Handbook on Energy and Climate Change, chapter 12, pages 287-326, Edward Elgar Publishing.
- James Reade, 2014. "Detecting corruption in football," Chapters, in: John Goddard & Peter Sloane (ed.), Handbook on the Economics of Professional Football, chapter 25, pages 419-446, Edward Elgar Publishing.
- John Goddard & Peter Sloane (ed.), 2014. "Handbook on the Economics of Professional Football," Books, Edward Elgar Publishing, number 14821.
- Gunnar Bårdsen & Stan Hurn & Zoë McHugh, 2010.
"Asymmetric unemployment rate dynamics in Australia,"
CREATES Research Papers
2010-02, Department of Economics and Business Economics, Aarhus University.
- Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010.
"Evaluating Automatic Model Selection,"
Economics Series Working Papers
474, University of Oxford, Department of Economics.
- Castle Jennifer L. & Doornik Jurgen A & Hendry David F., 2011. "Evaluating Automatic Model Selection," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-33, February.
Cited by:
- Anundsen, André Kallåk, 2013. "Economic Regime Shifts and the US Subprime Bubble," Memorandum 05/2013, Oslo University, Department of Economics.
- Espasa, Antoni & Carlomagno, Guillermo, 2014. "The pairwise approach to model a large set of disaggregates with common trends," DES - Working Papers. Statistics and Econometrics. WS ws141309, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Fakhri J. Hasanov & Elchin Suleymanov & Heyran Aliyeva & Hezi Eynalov & Sa'd Shannak, 2022. "What Drives the Agricultural Growth in Azerbaijan? Insights from Autometrics with Super Saturation," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 70(3), pages 147-174.
- Emmanuel Flachaire & Gilles Hacheme & Sullivan Hu'e & S'ebastien Laurent, 2022. "GAM(L)A: An econometric model for interpretable Machine Learning," Papers 2203.11691, arXiv.org.
- Andrew B. Martinez, 2020.
"Forecast Accuracy Matters for Hurricane Damages,"
Working Papers
2020-003, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Andrew B. Martinez, 2020. "Forecast Accuracy Matters for Hurricane Damage," Econometrics, MDPI, vol. 8(2), pages 1-24, May.
- Hendry, David F., 2018.
"Deciding between alternative approaches in macroeconomics,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 119-135.
- David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
- Tasneem, Dina & Engle-Warnick, Jim & Benchekroun, Hassan, 2017.
"An experimental study of a common property renewable resource game in continuous time,"
Journal of Economic Behavior & Organization, Elsevier, vol. 140(C), pages 91-119.
- Dina Tasneem & Jim Engle-Warnick & Hassan Benchekroun, 2014. "An Experimental Study of a Common Property Renewable Resource Game in Continuous Time," CIRANO Working Papers 2014s-09, CIRANO.
- Chuffart, Thomas & Hooper, Emma, 2019.
"An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela,"
Energy Economics, Elsevier, vol. 80(C), pages 904-916.
- Thomas Chuffart & Emma Hooper, 2019. "An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela," Post-Print hal-02194152, HAL.
- Thomas Chuffart & Emma Hooper, 2019. "An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela," Post-Print hal-03157206, HAL.
- Driver, Ciaran & Trapani, Lorenzo & Urga, Giovanni, 2013. "On the use of cross-sectional measures of forecast uncertainty," International Journal of Forecasting, Elsevier, vol. 29(3), pages 367-377.
- David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
- Sophia Voulgaropoulou & Nikolaos Samaras & Nikolaos Ploskas, 2022. "Predicting the Execution Time of the Primal and Dual Simplex Algorithms Using Artificial Neural Networks," Mathematics, MDPI, vol. 10(7), pages 1-21, March.
- Loann David Denis Desboulets, 2018.
"A Review on Variable Selection in Regression Analysis,"
Post-Print
hal-01954386, HAL.
- Loann David Denis Desboulets, 2018. "A Review on Variable Selection in Regression Analysis," Econometrics, MDPI, vol. 6(4), pages 1-27, November.
- Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
- Pellini, Elisabetta, 2021. "Estimating income and price elasticities of residential electricity demand with Autometrics," Energy Economics, Elsevier, vol. 101(C).
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Felix Pretis, 2015. "Detecting Location Shifts during Model Selection by Step-Indicator Saturation," Econometrics, MDPI, vol. 3(2), pages 1-25, April.
- Tom Kornstad & Ragnar Nymoen & Terje Skjerpen, 2012.
"Macroeconomic shocks and the probability of being employed,"
Discussion Papers
675, Statistics Norway, Research Department.
- Kornstad, Tom & Nymoen, Ragnar & Skjerpen, Terje, 2013. "Macroeconomic shocks and the probability of being employed," Economic Modelling, Elsevier, vol. 33(C), pages 572-587.
- Kornstad, Tom & Nymoen, Ragnar & Skjerpen, Terje, 2012. "Macroeconomic Shocks and the Probability of Being Employed," Memorandum 03/2012, Oslo University, Department of Economics.
- Bisio, Laura & Moauro, Filippo, 2017.
"Temporal disaggregation by dynamic regressions: recent developments in Italian quarterly national accounts,"
MPRA Paper
80211, University Library of Munich, Germany, revised 14 Jul 2017.
- Laura Bisio & Filippo Moauro, 2018. "Temporal disaggregation by dynamic regressions: Recent developments in Italian quarterly national accounts," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(4), pages 471-494, November.
- Hendry, David F. & Mizon, Grayham E., 2014.
"Unpredictability in economic analysis, econometric modeling and forecasting,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 186-195.
- David F. Hendry & Grayham E. Mizon, 2013. "Unpredictability in Economic Analysis, Econometric Modeling and Forecasting," Economics Papers 2013-W04, Economics Group, Nuffield College, University of Oxford.
- David Hendry, 2011. "Unpredictability in Economic Analyis, Econometric Modelling and Forecasting," Economics Series Working Papers 551, University of Oxford, Department of Economics.
- Asad Zaman, 2017. "Lessons in Econometric Methodology: The Axiom of Correct Specification," International Econometric Review (IER), Econometric Research Association, vol. 9(2), pages 50-68, September.
- David Hendry & Grayham E. Mizon, 2016.
"Improving the Teaching of Econometrics,"
Economics Series Working Papers
785, University of Oxford, Department of Economics.
- David F. Hendry & Grayham E. Mizon, 2016. "Improving the teaching of econometrics," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1170096-117, December.
- Daniel O. Beltran & Valentin Bolotnyy & Elizabeth C. Klee, 2015. "Un-Networking: The Evolution of Networks in the Federal Funds Market," Finance and Economics Discussion Series 2015-55, Board of Governors of the Federal Reserve System (U.S.).
- Cunha, Ronan & Pereira, Pedro L. Valls, 2015. "Automatic model selection for forecasting Brazilian stock returns," Textos para discussão 398, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Deng, Yongheng & Girardin, Eric & Joyeux, Roselyne, 2018.
"Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy,"
China Economic Review, Elsevier, vol. 48(C), pages 205-222.
- Yongheng Deng & Eric Girardin & Roselyne Joyeux, 2018. "Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy," Post-Print hal-01996210, HAL.
- Fakhri Hasanov & Fred Joutz & Muhammad Javid, 2021.
"Saudi Non-oil Exports Before and After COVID-19: Historical Impacts of Determinants and Scenario Analysis,"
Discussion Papers
ks--2021-dp09, King Abdullah Petroleum Studies and Research Center.
- Fakhri J. Hasanov & Muhammad Javid & Frederick L. Joutz, 2022. "Saudi Non-Oil Exports before and after COVID-19: Historical Impacts of Determinants and Scenario Analysis," Sustainability, MDPI, vol. 14(4), pages 1-38, February.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2012.
"Model selection when there are multiple breaks,"
Journal of Econometrics, Elsevier, vol. 169(2), pages 239-246.
- Jennifer Castle & David Hendry & Jurgen A. Doornik, 2008. "Model Selection when there are Multiple Breaks," Economics Series Working Papers 407, University of Oxford, Department of Economics.
- Dr. Alain Galli & Dr. Christian Hepenstrick & Dr. Rolf Scheufele, 2017.
"Mixed-frequency models for tracking short-term economic developments in Switzerland,"
Working Papers
2017-02, Swiss National Bank.
- Alain Galli & Christian Hepenstrick & Rolf Scheufele, 2019. "Mixed-Frequency Models for Tracking Short-Term Economic Developments in Switzerland," International Journal of Central Banking, International Journal of Central Banking, vol. 15(2), pages 151-178, June.
- David Hendry & Jurgen A. Doornik & Felix Pretis, 2013. "Step-indicator Saturation," Economics Series Working Papers 658, University of Oxford, Department of Economics.
- Camila Epprecht & Dominique Guegan & Álvaro Veiga, 2013. "Comparing variable selection techniques for linear regression: LASSO and Autometrics," Documents de travail du Centre d'Economie de la Sorbonne 13080, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Søren Johansen & Bent Nielsen, 2014.
"Outlier detection algorithms for least squares time series regression,"
CREATES Research Papers
2014-39, Department of Economics and Business Economics, Aarhus University.
- Søren Johansen & Bent Nielsen, 2014. "Outlier detection algorithms for least squares time series regression," Economics Papers 2014-W04, Economics Group, Nuffield College, University of Oxford.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2023.
"Robust Discovery of Regression Models,"
Econometrics and Statistics, Elsevier, vol. 26(C), pages 31-51.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2020. "Robust Discovery of Regression Models," Economics Papers 2020-W04, Economics Group, Nuffield College, University of Oxford.
- Massimiliano Caporin & Francesco Poli, 2017. "Building News Measures from Textual Data and an Application to Volatility Forecasting," Econometrics, MDPI, vol. 5(3), pages 1-46, August.
- Carlomagno, Guillermo & Espasa, Antoni, 2015. "Forecasting a large set of disaggregates with common trends and outliers," DES - Working Papers. Statistics and Econometrics. WS ws1518, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Nymoen, Ragnar & Sparrman, Victoria, 2012. "Panel Data Evidence on the Role of Institutions and Shocks for Unemployment Dynamics and Equilibrium," Memorandum 20/2012, Oslo University, Department of Economics.
- Hendry, David F. & Johansen, Søren, 2015.
"Model Discovery And Trygve Haavelmo’S Legacy,"
Econometric Theory, Cambridge University Press, vol. 31(1), pages 93-114, February.
- David Hendry & Soren Johansen, 2012. "Model Discovery and Trygve Haavelmo's Legacy," Economics Series Working Papers 598, University of Oxford, Department of Economics.
- Waqar Badshah & Mehmet Bulut, 2020. "Model Selection Procedures in Bounds Test of Cointegration: Theoretical Comparison and Empirical Evidence," Economies, MDPI, vol. 8(2), pages 1-23, June.
- André K. Anundsen, 2019.
"Detecting Imbalances in House Prices: What Goes Up Must Come Down?,"
Scandinavian Journal of Economics, Wiley Blackwell, vol. 121(4), pages 1587-1619, October.
- André K. Anundsen, 2016. "Detecting imbalances in house prices: What goes up must come down?," Working Paper 2016/11, Norges Bank.
- Sullivan Hué, 2022. "GAM(L)A: An econometric model for interpretable machine learning," French Stata Users' Group Meetings 2022 19, Stata Users Group.
- Andrew B. Martinez, 2020. "Extracting Information from Different Expectations," Working Papers 2020-008, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Jennifer Castle & Xiaochuan Qin & W. Robert Reed, 2011.
"Using Model Selection Algorthims to Obtain Reliable Coefficient Estimates,"
Working Papers in Economics
11/03, University of Canterbury, Department of Economics and Finance.
- Jennifer L. Castle & Xiaochuan Qin & W. Robert Reed, 2013. "Using Model Selection Algorithms To Obtain Reliable Coefficient Estimates," Journal of Economic Surveys, Wiley Blackwell, vol. 27(2), pages 269-296, April.
- Tomáš Plíhal, 2021. "Scheduled macroeconomic news announcements and Forex volatility forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(8), pages 1379-1397, December.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2013.
"Model Selection in Equations with Many ‘Small’ Effects,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(1), pages 6-22, February.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2012. "Model Selection in Equations with Many 'Small' Effects," Working Paper series 53_12, Rimini Centre for Economic Analysis.
- Jennifer Castle & David Hendry, 2011. "Model Selection in Equations with Many 'Small' Effects," Economics Series Working Papers 528, University of Oxford, Department of Economics.
- Steven L. Scott & Hal R. Varian, 2015.
"Bayesian Variable Selection for Nowcasting Economic Time Series,"
NBER Chapters, in: Economic Analysis of the Digital Economy, pages 119-135,
National Bureau of Economic Research, Inc.
- Steven L. Scott & Hal R. Varian, 2013. "Bayesian Variable Selection for Nowcasting Economic Time Series," NBER Working Papers 19567, National Bureau of Economic Research, Inc.
- Lukasz Gatarek & Søren Johansen, 2014.
"Optimal hedging with the cointegrated vector autoregressive model,"
Discussion Papers
14-22, University of Copenhagen. Department of Economics.
- Søren Johansen & Bent Nielsen, 2014. "Optimal hedging with the cointegrated vector autoregressive model," Discussion Papers 14-23, University of Copenhagen. Department of Economics.
- Søren Johansen & Lukasz Gatarek, 2014. "Optimal hedging with the cointegrated vector autoregressive model," CREATES Research Papers 2014-40, Department of Economics and Business Economics, Aarhus University.
- Carlomagno Real, Guillermo & Espasa, Antoni, 2017. "Discovering pervasive and non-pervasive common cycles," DES - Working Papers. Statistics and Econometrics. WS 25392, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Robert A. Buckle & John Creedy & Norman Gemmell, 2020.
"Is external research assessment associated with convergence or divergence of research quality across universities and disciplines? Evidence from the PBRF process in New Zealand,"
Applied Economics, Taylor & Francis Journals, vol. 52(36), pages 3919-3932, July.
- Buckle, Robert A. & Creedy, John & Gemmell, Norman, 2019. "Is External Research Assessment Associated with Convergence or Divergence of Research Quality Across Universities and Disciplines? Evidence from the PBRF Process in New Zealand," Working Paper Series 20931, Victoria University of Wellington, Chair in Public Finance.
- Jurgen A. Doornik & David F. Hendry & Steve Cook, 2015.
"Statistical model selection with “Big Data”,"
Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1045216-104, December.
- David Hendry & Jurgen A. Doornik, 2014. "Statistical Model Selection with 'Big Data'," Economics Series Working Papers 735, University of Oxford, Department of Economics.
- Robert A. Buckle & John Creedy, 2022. "Methods to evaluate institutional responses to performance‐based research funding systems," Australian Economic Papers, Wiley Blackwell, vol. 61(3), pages 615-634, September.
- David Hendry & Jennifer L. Castle, 2010.
"Model Selection in Under-specified Equations Facing Breaks,"
Economics Series Working Papers
509, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Hendry, David F., 2014. "Model selection in under-specified equations facing breaks," Journal of Econometrics, Elsevier, vol. 178(P2), pages 286-293.
- David Hendry & Lea Schneider & Jason E. Smerdon, 2016.
"Detecting Volcanic Eruptions in Temperature Reconstructions by Designed Break-Indicator Saturation,"
Economics Series Working Papers
780, University of Oxford, Department of Economics.
- Felix Pretis & Lea Schneider & Jason E. Smerdon & David F. Hendry, 2016. "Detecting Volcanic Eruptions In Temperature Reconstructions By Designed Break-Indicator Saturation," Journal of Economic Surveys, Wiley Blackwell, vol. 30(3), pages 403-429, July.
- Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
- David H. Bernstein & Andrew B. Martinez, 2021.
"Jointly Modeling Male and Female Labor Participation and Unemployment,"
Working Papers
2021-006, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- David H. Bernstein & Andrew B. Martinez, 2021. "Jointly Modeling Male and Female Labor Participation and Unemployment," Econometrics, MDPI, vol. 9(4), pages 1-14, December.
- Aris Spanos, 2011. "Foundational Issues in Statistical Modeling: Statistical Model Specification and Validation," Rationality, Markets and Morals, Frankfurt School Verlag, Frankfurt School of Finance & Management, vol. 2(47), October.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Ragnar Nymoen, 2014.
"Misspecification Testing: Non-Invariance of Expectations Models of Inflation,"
Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 553-574, August.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Ragnar Nymoen, 2012. "Mis-specification Testing: Non-Invariance of Expectations Models of Inflation," Working Paper series 50_12, Rimini Centre for Economic Analysis.
- Robert A. Buckle & John Creedy & Norman Gemmell, 2022.
"Sources of convergence and divergence in university research quality: evidence from the performance-based research funding system in New Zealand,"
Scientometrics, Springer;Akadémiai Kiadó, vol. 127(6), pages 3021-3047, June.
- Buckle, Robert A & Creedy, John & Gemmell, Norman, 2021. "Sources of Convergence and Divergence in University Research Quality: Evidence from the Performance-Based Research Funding System in New Zealand," Working Paper Series 21113, Victoria University of Wellington, Chair in Public Finance.
- Benedictow, Andreas & Hammersland, Roger, 2023. "Transition risk of a petroleum currency," Economic Modelling, Elsevier, vol. 128(C).
- David Hendry & Felix Pretis, 2011.
"Anthropogenic Influences on Atmospheric CO2,"
Economics Series Working Papers
584, University of Oxford, Department of Economics.
- David F. Hendry & Felix Pretis, 2013. "Anthropogenic influences on atmospheric CO2," Chapters, in: Roger Fouquet (ed.), Handbook on Energy and Climate Change, chapter 12, pages 287-326, Edward Elgar Publishing.
- Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2013. "Forecasting by factors, by variables, by both or neither?," Journal of Econometrics, Elsevier, vol. 177(2), pages 305-319.
- David F. Hendry & Søren Johansen, 2011.
"The Properties of Model Selection when Retaining Theory Variables,"
CREATES Research Papers
2011-36, Department of Economics and Business Economics, Aarhus University.
- David F. Hendry & Søren Johansen, 2011. "The Properties of Model Selection when Retaining Theory Variables," Discussion Papers 11-25, University of Copenhagen. Department of Economics.
- Bent Jesper Christensen & Nabanita Datta Gupta & Paolo Santucci de Magistris, 2021. "Measuring the impact of clean energy production on CO2 abatement in Denmark: Upper bound estimation and forecasting," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 184(1), pages 118-149, January.
- Carlomagno, Guillermo & Espasa, Antoni, 2016. "Discovering common trends in a large set of disaggregates: statistical procedures and their properties," DES - Working Papers. Statistics and Econometrics. WS ws1519, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Camila Epprecht & Dominique Guegan & Álvaro Veiga & Joel Correa da Rosa, 2017. "Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00917797, HAL.
- Guillermo Carlomagno & Antoni Espasa, 2021. "Discovering Specific Common Trends in a Large Set of Disaggregates: Statistical Procedures, their Properties and an Empirical Application," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 641-662, June.
- Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
- Søren Johansen & Bent Nielsen, 2016. "Asymptotic Theory of Outlier Detection Algorithms for Linear Time Series Regression Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(2), pages 321-348, June.
- Jennifer Castle & David Hendry & Oleg Kitov, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
- Mukhtarov, Shahriyar & Mikayilov, Jeyhun I., 2023. "Could financial development eliminate energy poverty through renewable energy in Poland?," Energy Policy, Elsevier, vol. 182(C).
- Nymoen, Ragnar & L. Castle, Jennifer & A. Doornik, Jurgen & F. Hendry, David, 2010.
"Testing the Invariance of Expectations Models of Inflation,"
Memorandum
21/2010, Oslo University, Department of Economics.
- David Hendry & Jennifer L. Castle & Jurgen A. Doornik, 2010. "Testing the Invariance of Expectations Models of Inflation," Economics Series Working Papers 510, University of Oxford, Department of Economics.
Cited by:
- Russell, Bill & Chowdhury, Rosen Azad, 2012.
"Estimating United States Phillips Curves With Expectations Consistent With The Statistical Process Of Inflation,"
SIRE Discussion Papers
2012-13, Scottish Institute for Research in Economics (SIRE).
- Bill Russell & Rosen Azad Chowdhury, 2012. "Estimating United States Phillips Curves With Expectations Consistent With The Statistical Process Of Inflation," Dundee Discussion Papers in Economics 265, Economic Studies, University of Dundee.
- Russell, Bill & Chowdhury, Rosen Azad, 2013. "Estimating United States Phillips curves with expectations consistent with the statistical process of inflation," Journal of Macroeconomics, Elsevier, vol. 35(C), pages 24-38.
- de Grauwe, Paul & Macchiarelli, Corrado, 2015.
"Animal spirits and credit cycles,"
LSE Research Online Documents on Economics
63984, London School of Economics and Political Science, LSE Library.
- Paul De Grauwe & Corrado Macchiarelli, 2013. "Animal Spirits and Credit Cycles," CESifo Working Paper Series 4480, CESifo.
- De Grauwe, Paul & Macchiarelli, Corrado, 2015. "Animal spirits and credit cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 59(C), pages 95-117.
- Hendry, David F., 2011. "On adding over-identifying instrumental variables to simultaneous equations," Economics Letters, Elsevier, vol. 111(1), pages 68-70, April.
- Sophocles Mavroeidis & Mikkel Plagborg-Møller & James H. Stock, 2014.
"Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve,"
Journal of Economic Literature, American Economic Association, vol. 52(1), pages 124-188, March.
- Sophocles Mavroeidis & Mikkel Plagborg-Møller & James H. Stock, "undated". "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Working Paper 84656, Harvard University OpenScholar.
- Mavroeidis, Sophocles & Plagborg-Moller, Mikkel & Stock, James H., 2014. "Empirical Evidence on Inflation Expectations in the New Keynesian Phillips Curve," Scholarly Articles 22795845, Harvard University Department of Economics.
- Bill Russell & Anindya Banerjee & Issam Malki & Natalia Ponomareva, 2011.
"A Multiple Break Panel Approach To Estimating United States Phillips Curves,"
Dundee Discussion Papers in Economics
252, Economic Studies, University of Dundee.
- Bill Russell & Anindya Banerjee & Issam Malki & Natalia Ponomareva, 2010. "A Multiple Break Panel Approach to Estimating United States Phillips Curves," Discussion Papers 10-14, Department of Economics, University of Birmingham.
- Bill Russell & Anindya Banerjee & Issam Malki & Natalia Ponomareva, 2010. "A Multiple Break Panel Approach To Estimating United States Phillips Curves," Dundee Discussion Papers in Economics 232, Economic Studies, University of Dundee.
- Russell, Bill & Banerjee, Anindya & Malki, Issam & Ponomareva, Natalia, 2011. "A Multiple Break Panel Approach to Estimating United States Phillips Curves," SIRE Discussion Papers 2012-27, Scottish Institute for Research in Economics (SIRE).
- Mariano Kulish & Adrian Pagan, 2016.
"Issues in Estimating New Keynesian Phillips Curves in the Presence of Unknown Structural Change,"
Econometric Reviews, Taylor & Francis Journals, vol. 35(7), pages 1251-1270, August.
- Mariano Kulish & Adrian Pagan, 2013. "Issues in Estimating New Keynesian Phillips Curves in the Presence of Unknown Structural Change," NCER Working Paper Series 94, National Centre for Econometric Research.
- Mariano Kulish & Adrian Pagan, 2013. "Issues in Estimating New-Keynesian Phillips Curves in the Presence of Unknown Structural Change," RBA Research Discussion Papers rdp2013-11, Reserve Bank of Australia.
- J. James Reade & Ulrich Volz, 2011. "From the General to the Specific," Discussion Papers 11-18, Department of Economics, University of Birmingham.
- Abbas, Syed K. & Bhattacharya, Prasad Sankar & Sgro, Pasquale, 2016. "The new Keynesian Phillips curve: An update on recent empirical advances," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 378-403.
- Cornea, A. & Hommes, C.H. & Massaro, D., 2012.
"Behavioral Heterogeneity in U.S. Inflation Dynamics,"
CeNDEF Working Papers
12-03, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance.
- Adriana Cornea & Cars Hommes & Domenico Massaro, 2013. "Behavioral Heterogeneity in U.S. Inflation Dynamics," Tinbergen Institute Discussion Papers 13-015/II, Tinbergen Institute.
- Adriana Cornea-Madeira & Cars Hommes & Domenico Massaro, 2019. "Behavioral Heterogeneity in U.S. Inflation Dynamics," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 37(2), pages 288-300, April.
- Syed Kanwar Abbas & Prasad Sankar Bhattacharya & Debdulal Mallick & Pasquale Sgro, 2016. "The New Keynesian Phillips Curve in a Small Open Economy: Empirical Evidence from Australia," The Economic Record, The Economic Society of Australia, vol. 92(298), pages 409-434, September.
- Nymoen, Ragnar & Swensen, Anders Rygh & Tveter, Eivind, 2012.
"Interpreting the evidence for New Keynesian models of inflation dynamics,"
Journal of Macroeconomics, Elsevier, vol. 34(2), pages 253-263.
- Nymoen, Ragnar & Rygh Swensen, Anders & Tveter, Eivind, 2011. "Interpreting the evidence for New Keynesian models of inflation dynamics," Memorandum 23/2011, Oslo University, Department of Economics.
- David Hendry & Jennifer L. Castle, 2010.
"Model Selection in Under-specified Equations Facing Breaks,"
Economics Series Working Papers
509, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Hendry, David F., 2014. "Model selection in under-specified equations facing breaks," Journal of Econometrics, Elsevier, vol. 178(P2), pages 286-293.
Cited by:
- Liqian Cai & Arnab Bhattacharjee & Roger Calantone & Taps Maiti, 2019. "Variable Selection with Spatially Autoregressive Errors: A Generalized Moments LASSO Estimator," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(1), pages 146-200, September.
- Jennifer Castle & David Hendry & Michael P. Clements, 2014.
"Robust Approaches to Forecasting,"
Economics Series Working Papers
697, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2015. "Robust approaches to forecasting," International Journal of Forecasting, Elsevier, vol. 31(1), pages 99-112.
- Calvert Jump, Robert & Kohler, Karsten, 2022.
"A history of aggregate demand and supply shocks for the United Kingdom, 1900 to 2016,"
Explorations in Economic History, Elsevier, vol. 85(C).
- Jump, Robert Calvert & Kohler, Karsten, 2020. "A history of aggregate demand and supply shocks for the United Kingdom, 1900 to 2016," Greenwich Papers in Political Economy 30959, University of Greenwich, Greenwich Political Economy Research Centre.
- Jeyhun I. Mikayilov & Shahriyar Mukhtarov & Hasan Dinçer & Serhat Yüksel & Rıdvan Aydın, 2020. "Elasticity Analysis of Fossil Energy Sources for Sustainable Economies: A Case of Gasoline Consumption in Turkey," Energies, MDPI, vol. 13(3), pages 1-15, February.
- Hendry, David F., 2018.
"Deciding between alternative approaches in macroeconomics,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 119-135.
- David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
- David F. Hendry & Felix Pretis, 2020.
"Analyzing Differences between Scenarios,"
Economics Papers
2020-W05, Economics Group, Nuffield College, University of Oxford.
- Hendry, David F. & Pretis, Felix, 2023. "Analysing differences between scenarios," International Journal of Forecasting, Elsevier, vol. 39(2), pages 754-771.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Felix Pretis, 2015. "Detecting Location Shifts during Model Selection by Step-Indicator Saturation," Econometrics, MDPI, vol. 3(2), pages 1-25, April.
- Hendry, David F. & Mizon, Grayham E., 2014.
"Unpredictability in economic analysis, econometric modeling and forecasting,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 186-195.
- David F. Hendry & Grayham E. Mizon, 2013. "Unpredictability in Economic Analysis, Econometric Modeling and Forecasting," Economics Papers 2013-W04, Economics Group, Nuffield College, University of Oxford.
- David Hendry, 2011. "Unpredictability in Economic Analyis, Econometric Modelling and Forecasting," Economics Series Working Papers 551, University of Oxford, Department of Economics.
- David Hendry & Grayham E. Mizon, 2016.
"Improving the Teaching of Econometrics,"
Economics Series Working Papers
785, University of Oxford, Department of Economics.
- David F. Hendry & Grayham E. Mizon, 2016. "Improving the teaching of econometrics," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1170096-117, December.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2023.
"Robust Discovery of Regression Models,"
Econometrics and Statistics, Elsevier, vol. 26(C), pages 31-51.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2020. "Robust Discovery of Regression Models," Economics Papers 2020-W04, Economics Group, Nuffield College, University of Oxford.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2013.
"Model Selection in Equations with Many ‘Small’ Effects,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(1), pages 6-22, February.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2012. "Model Selection in Equations with Many 'Small' Effects," Working Paper series 53_12, Rimini Centre for Economic Analysis.
- Jennifer Castle & David Hendry, 2011. "Model Selection in Equations with Many 'Small' Effects," Economics Series Working Papers 528, University of Oxford, Department of Economics.
- David F. Hendry, 2020. "First in, First out: Econometric Modelling of UK Annual CO_2 Emissions, 1860–2017," Economics Papers 2020-W02, Economics Group, Nuffield College, University of Oxford.
- Jennifer Castle & David Hendry, 2010.
"A Low-Dimension Portmanteau Test for Non-linearity,"
Economics Series Working Papers
471, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Hendry, David F., 2010. "A low-dimension portmanteau test for non-linearity," Journal of Econometrics, Elsevier, vol. 158(2), pages 231-245, October.
Cited by:
- Josh R. Stillwagon, 2014.
"Non-Linear Exchange Rate Relationships: An Automated Model Selection Approach with Indicator Saturation,"
Working Papers
1405, Trinity College, Department of Economics.
- Stillwagon, Josh R., 2016. "Non-linear exchange rate relationships: An automated model selection approach with indicator saturation," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 84-109.
- Emmanuel Flachaire & Gilles Hacheme & Sullivan Hu'e & S'ebastien Laurent, 2022. "GAM(L)A: An econometric model for interpretable Machine Learning," Papers 2203.11691, arXiv.org.
- Francisco Salas-Molina & Juan A. Rodr'iguez-Aguilar & Joan Serr`a & Montserrat Guillen & Francisco J. Martin, 2016. "Empirical analysis of daily cash flow time series and its implications for forecasting," Papers 1611.04941, arXiv.org, revised Jun 2017.
- David Hendry, 2011.
"Empirical Economic Model Discovery and Theory Evaluation,"
Economics Series Working Papers
529, University of Oxford, Department of Economics.
- David F. Hendry, 2011. "Empirical Economic Model Discovery and Theory Evaluation," Rationality, Markets and Morals, Frankfurt School Verlag, Frankfurt School of Finance & Management, vol. 2(46), October.
- Hendry, David F., 2018.
"Deciding between alternative approaches in macroeconomics,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 119-135.
- David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
- Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010.
"Evaluating Automatic Model Selection,"
Economics Series Working Papers
474, University of Oxford, Department of Economics.
- Castle Jennifer L. & Doornik Jurgen A & Hendry David F., 2011. "Evaluating Automatic Model Selection," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-33, February.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2015.
"Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix),"
AMSE Working Papers
1516, Aix-Marseille School of Economics, France.
- Anne Péguin-Feissolle & Bilel Sanhaji, 2015. "Testing the Constancy of Conditional Correlations in Multivariate GARCH-type Models (Extended Version with Appendix)," Working Papers halshs-01133751, HAL.
- Holland, Marcio & Marçal, Emerson & de Prince, Diogo, 2020.
"Is fiscal policy effective in Brazil? An empirical analysis,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 75(C), pages 40-52.
- Mendonça, Diogo de Prince & Marçal, Emerson Fernandes & Brito, Márcio Holland de, 2016. "Is fiscal policy effective in Brazil? An empirical analysis," Textos para discussão 433, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Loann David Denis Desboulets, 2018.
"A Review on Variable Selection in Regression Analysis,"
Post-Print
hal-01954386, HAL.
- Loann David Denis Desboulets, 2018. "A Review on Variable Selection in Regression Analysis," Econometrics, MDPI, vol. 6(4), pages 1-27, November.
- David Hendry & Grayham E. Mizon, 2016.
"Improving the Teaching of Econometrics,"
Economics Series Working Papers
785, University of Oxford, Department of Economics.
- David F. Hendry & Grayham E. Mizon, 2016. "Improving the teaching of econometrics," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1170096-117, December.
- Castle, Jennifer L. & Hendry, David F. & Martinez, Andrew B., 2023. "The historical role of energy in UK inflation and productivity with implications for price inflation," Energy Economics, Elsevier, vol. 126(C).
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2023.
"Robust Discovery of Regression Models,"
Econometrics and Statistics, Elsevier, vol. 26(C), pages 31-51.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2020. "Robust Discovery of Regression Models," Economics Papers 2020-W04, Economics Group, Nuffield College, University of Oxford.
- Frank Asche & Atle Oglend & Petter Osmundsen, 2015.
"Modeling UK Natural Gas Prices when Gas Prices Periodically Decouple from the Oil Price,"
CESifo Working Paper Series
5232, CESifo.
- Frank Asche, Atle Oglend, and Petter Osmundsen, 2017. "Modeling UK Natural Gas Prices when Gas Prices Periodically Decouple from the Oil Price," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2).
- Asche, Frank & Osmundsen, Petter & Oglend, Atle, 2015. "Modeling UK Natural Gas Prices when Gas Prices Periodically Decouple from the Oil Price," UiS Working Papers in Economics and Finance 2015/4, University of Stavanger.
- Jennifer L. Castle & David F. Hendry & Andrew B. Martinez, 2022.
"The historical role of energy in UK inflation and productivity and implications for price inflation in 2022,"
Economics Series Working Papers
983, University of Oxford, Department of Economics.
- Jennifer L. Castle & David F. Hendry & Andrew B. Martinez, 2022. "The Historical Role of Energy in UK Inflation and Productivity and Implications for Price Inflation in 2022," Working Papers 2022-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Sullivan Hué, 2022. "GAM(L)A: An econometric model for interpretable machine learning," French Stata Users' Group Meetings 2022 19, Stata Users Group.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2013.
"Model Selection in Equations with Many ‘Small’ Effects,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(1), pages 6-22, February.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2012. "Model Selection in Equations with Many 'Small' Effects," Working Paper series 53_12, Rimini Centre for Economic Analysis.
- Jennifer Castle & David Hendry, 2011. "Model Selection in Equations with Many 'Small' Effects," Economics Series Working Papers 528, University of Oxford, Department of Economics.
- Mosab I. Tabash & Ezekiel Oseni & Adel Ahmed & Yasmeen Elsantil & Linda Nalini Daniel & Adedoyin Isola Lawal, 2024. "Pathway to a Sustainable Energy Economy: Determinants of Electricity Infrastructure in Nigeria," Sustainability, MDPI, vol. 16(7), pages 1-25, April.
- Jurgen A. Doornik & David F. Hendry & Steve Cook, 2015.
"Statistical model selection with “Big Data”,"
Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1045216-104, December.
- David Hendry & Jurgen A. Doornik, 2014. "Statistical Model Selection with 'Big Data'," Economics Series Working Papers 735, University of Oxford, Department of Economics.
- Jurgen A. Doornik, 2016. "An Example of Instability: Discussion of the Paper by Søren Johansen and Bent Nielsen," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(2), pages 357-359, June.
- Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
- David F. Hendry, 2020. "First in, First out: Econometric Modelling of UK Annual CO_2 Emissions, 1860–2017," Economics Papers 2020-W02, Economics Group, Nuffield College, University of Oxford.
- Josh R. Stillwagon, 2015. "TIPS and the VIX: Non-linear Spillovers from Financial Panic to Breakeven Inflation," Working Papers 1502, Trinity College, Department of Economics.
- Anders Bredahl Kock & Timo Teräsvirta, 2010. "Forecasting with nonlinear time series models," CREATES Research Papers 2010-01, Department of Economics and Business Economics, Aarhus University.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021. "Forecasting Facing Economic Shifts, Climate Change and Evolving Pandemics," Econometrics, MDPI, vol. 10(1), pages 1-21, December.
- Mukhtarov, Shahriyar & Mikayilov, Jeyhun I. & Maharramov, Shahin & Aliyev, Javid & Suleymanov, Elchin, 2022. "Higher oil prices, are they good or bad for renewable energy consumption: The case of Iran?," Renewable Energy, Elsevier, vol. 186(C), pages 411-419.
- Barry Harrison & Winston Moore, 2012. "Stock Market Efficiency, Non-Linearity, Thin Trading and Asymmetric Information in MENA Stock Markets," Economic Issues Journal Articles, Economic Issues, vol. 17(1), pages 77-93, March.
- Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
- Bendik P. Andersen & Petter E. de Lange, 2021. "Efficiency in the Atlantic salmon futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(6), pages 949-984, June.
- Shahid IQBAL & Maqbool H. SIAL, 2016. "Projections of Inflation Dynamics for Pakistan: GMDH Approach," Journal of Economics and Political Economy, KSP Journals, vol. 3(3), pages 536-559, September.
- Jahyun Koo & Ivan Paya & David A. Peel, 2012. "The Bank of Korea's nonlinear monetary policy rule," Applied Economics Letters, Taylor & Francis Journals, vol. 19(12), pages 1193-1202, August.
- Ericsson Neil R., 2016. "Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 377-398, September.
- Jennifer L. Castle & Xiaochuan Qin & W. Robert Reed, 2009.
"How To Pick The Best Regression Equation: A Review And Comparison Of Model Selection Algorithms,"
Working Papers in Economics
09/13, University of Canterbury, Department of Economics and Finance.
Cited by:
- Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010.
"Evaluating Automatic Model Selection,"
Economics Series Working Papers
474, University of Oxford, Department of Economics.
- Castle Jennifer L. & Doornik Jurgen A & Hendry David F., 2011. "Evaluating Automatic Model Selection," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-33, February.
- Thomas Pave Sohnesen & Niels Stender, 2017. "Is Random Forest a Superior Methodology for Predicting Poverty? An Empirical Assessment," Poverty & Public Policy, John Wiley & Sons, vol. 9(1), pages 118-133, March.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2012.
"Model selection when there are multiple breaks,"
Journal of Econometrics, Elsevier, vol. 169(2), pages 239-246.
- Jennifer Castle & David Hendry & Jurgen A. Doornik, 2008. "Model Selection when there are Multiple Breaks," Economics Series Working Papers 407, University of Oxford, Department of Economics.
- Graham Bird & Alex Mandilaras & Helen Popper, 2012. "Explaining Shifts in Exchange Rate Regimes," School of Economics Discussion Papers 1312, School of Economics, University of Surrey.
- Hal R. Varian, 2014. "Big Data: New Tricks for Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 28(2), pages 3-28, Spring.
- Steven L. Scott & Hal R. Varian, 2015.
"Bayesian Variable Selection for Nowcasting Economic Time Series,"
NBER Chapters, in: Economic Analysis of the Digital Economy, pages 119-135,
National Bureau of Economic Research, Inc.
- Steven L. Scott & Hal R. Varian, 2013. "Bayesian Variable Selection for Nowcasting Economic Time Series," NBER Working Papers 19567, National Bureau of Economic Research, Inc.
- Lu, Quanying & Li, Yuze & Chai, Jian & Wang, Shouyang, 2020. "Crude oil price analysis and forecasting: A perspective of “new triangle”," Energy Economics, Elsevier, vol. 87(C).
- Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010.
"Evaluating Automatic Model Selection,"
Economics Series Working Papers
474, University of Oxford, Department of Economics.
- Jennifer Castle & David Hendry & Nicholas W.P. Fawcett, 2008.
"Forecasting with Equilibrium-correction Models during Structural Breaks,"
Economics Series Working Papers
408, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Fawcett, Nicholas W.P. & Hendry, David F., 2010. "Forecasting with equilibrium-correction models during structural breaks," Journal of Econometrics, Elsevier, vol. 158(1), pages 25-36, September.
Cited by:
- Jennifer Castle & David Hendry & Michael P. Clements, 2014.
"Robust Approaches to Forecasting,"
Economics Series Working Papers
697, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2015. "Robust approaches to forecasting," International Journal of Forecasting, Elsevier, vol. 31(1), pages 99-112.
- Neil R. Ericsson, 2015.
"Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis,"
International Finance Discussion Papers
1152, Board of Governors of the Federal Reserve System (U.S.).
- Ericsson, Neil R., 2016. "Eliciting GDP forecasts from the FOMC’s minutes around the financial crisis," International Journal of Forecasting, Elsevier, vol. 32(2), pages 571-583.
- Neil R. Ericsson, 2015. "Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis," Working Papers 2015-003, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Jennifer L. Castle & Michael P. Clements & David F. Hendry, 2016.
"An Overview of Forecasting Facing Breaks,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 3-23, September.
- Jennifer Castle & David Hendry & Michael P. Clements, 2016. "An Overview of Forecasting Facing Breaks," Economics Series Working Papers 779, University of Oxford, Department of Economics.
- David Hendry, 2011.
"Empirical Economic Model Discovery and Theory Evaluation,"
Economics Series Working Papers
529, University of Oxford, Department of Economics.
- David F. Hendry, 2011. "Empirical Economic Model Discovery and Theory Evaluation," Rationality, Markets and Morals, Frankfurt School Verlag, Frankfurt School of Finance & Management, vol. 2(46), October.
- David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
- Ahumada, H. & Cornejo, M., 2016. "Forecasting food prices: The case of corn, soybeans and wheat," International Journal of Forecasting, Elsevier, vol. 32(3), pages 838-848.
- Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2016.
"Testing for Instability in Covariance Structures,"
Working papers
2016-33, University of Connecticut, Department of Economics.
- Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2012. "Testing for Instability in Covariance Structures," Center for Policy Research Working Papers 131, Center for Policy Research, Maxwell School, Syracuse University.
- Neil R. Ericsson, 2016.
"Economic Forecasting in Theory and Practice : An Interview with David F. Hendry,"
International Finance Discussion Papers
1184, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson, 2016. "Economic Forecasting in Theory and Practice: An Interview with David F. Hendry," Working Papers 2016-012, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Ericsson, Neil R., 2017. "Economic forecasting in theory and practice: An interview with David F. Hendry," International Journal of Forecasting, Elsevier, vol. 33(2), pages 523-542.
- Neil R. Ericsson & Mohammed H. I. Dore & Hassan Butt, 2022. "Detecting and Quantifying Structural Breaks in Climate," Econometrics, MDPI, vol. 10(4), pages 1-27, November.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Hendry, David F. & Mizon, Grayham E., 2014.
"Unpredictability in economic analysis, econometric modeling and forecasting,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 186-195.
- David F. Hendry & Grayham E. Mizon, 2013. "Unpredictability in Economic Analysis, Econometric Modeling and Forecasting," Economics Papers 2013-W04, Economics Group, Nuffield College, University of Oxford.
- David Hendry, 2011. "Unpredictability in Economic Analyis, Econometric Modelling and Forecasting," Economics Series Working Papers 551, University of Oxford, Department of Economics.
- David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
- Jeronymo Marcondes Pinto & Emerson Fernandes Marçal, 2023. "An artificial intelligence approach to forecasting when there are structural breaks: a reinforcement learning-based framework for fast switching," Empirical Economics, Springer, vol. 65(4), pages 1729-1759, October.
- David Hendry & Grayham E. Mizon, 2016.
"Improving the Teaching of Econometrics,"
Economics Series Working Papers
785, University of Oxford, Department of Economics.
- David F. Hendry & Grayham E. Mizon, 2016. "Improving the teaching of econometrics," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1170096-117, December.
- Michael Wickens, 2014.
"How Useful are DSGE Macroeconomic Models for Forecasting?,"
Open Economies Review, Springer, vol. 25(1), pages 171-193, February.
- Wickens, Michael R., 2012. "How Useful are DSGE Macroeconomic Models for Forecasting?," CEPR Discussion Papers 9049, C.E.P.R. Discussion Papers.
- Neil R. Ericsson, 2017.
"How Biased Are U.S. Government Forecasts of the Federal Debt?,"
Working Papers
2017-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Ericsson, Neil R., 2017. "How biased are U.S. government forecasts of the federal debt?," International Journal of Forecasting, Elsevier, vol. 33(2), pages 543-559.
- Neil R. Ericsson, 2017. "How Biased Are U.S. Government Forecasts of the Federal Debt?," International Finance Discussion Papers 1189, Board of Governors of the Federal Reserve System (U.S.).
- Hendry, David F. & Johansen, Søren, 2015.
"Model Discovery And Trygve Haavelmo’S Legacy,"
Econometric Theory, Cambridge University Press, vol. 31(1), pages 93-114, February.
- David Hendry & Soren Johansen, 2012. "Model Discovery and Trygve Haavelmo's Legacy," Economics Series Working Papers 598, University of Oxford, Department of Economics.
- Rocha, Jordano Vieira & Pereira, Pedro L. Valls, 2015. "Forecast comparison with nonlinear methods for Brazilian industrial production," Textos para discussão 397, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Jitendra Sharma & Subrata Kumar Mitra, 2021. "Asymmetric relationship between tourist arrivals and employment," Tourism Economics, , vol. 27(5), pages 952-970, August.
- David F. Hendry, 2020. "First in, First out: Econometric Modelling of UK Annual CO_2 Emissions, 1860–2017," Economics Papers 2020-W02, Economics Group, Nuffield College, University of Oxford.
- Larson, William D. & Sinclair, Tara M., 2022.
"Nowcasting unemployment insurance claims in the time of COVID-19,"
International Journal of Forecasting, Elsevier, vol. 38(2), pages 635-647.
- William D. Larson & Tara M. Sinclair, 2020. "Nowcasting unemployment insurance claims in the time of COVID-19," CAMA Working Papers 2020-63, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- William D. Larson & Tara M. Sinclair, 2020. "Nowcasting Unemployment Insurance Claims in the Time of COVID-19," FHFA Staff Working Papers 20-02, Federal Housing Finance Agency.
- William D. Larson & Tara M. Sinclair, 2020. "Nowcasting Unemployment Insurance Claims in the Time of COVID-19," Working Papers 2020-004, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting, revised Aug 2020.
- Allanson, Paul & Petrie, Dennis, 2013. "Longitudinal methods to investigate the role of health determinants in the dynamics of income-related health inequality," Journal of Health Economics, Elsevier, vol. 32(5), pages 922-937.
- David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.
- Marta Boczoń & Jean-François Richard, 2020. "Balanced Growth Approach to Tracking Recessions," Econometrics, MDPI, vol. 8(2), pages 1-35, April.
- Jennifer Castle & David Hendry & Oleg Kitov, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021. "Forecasting Principles from Experience with Forecasting Competitions," Forecasting, MDPI, vol. 3(1), pages 1-28, February.
- Jennifer Castle & David Hendry, 2008.
"The Long-Run Determinants of UK Wages, 1860-2004,"
Economics Series Working Papers
409, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Hendry, David F., 2009. "The long-run determinants of UK wages, 1860-2004," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 5-28, March.
Cited by:
- Josh R. Stillwagon, 2014.
"Non-Linear Exchange Rate Relationships: An Automated Model Selection Approach with Indicator Saturation,"
Working Papers
1405, Trinity College, Department of Economics.
- Stillwagon, Josh R., 2016. "Non-linear exchange rate relationships: An automated model selection approach with indicator saturation," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 84-109.
- Nicholas Barr & Alison Johnston, 2010. "Interest Subsidies on Student Loans: A Better Class of Drain," CEE Discussion Papers 0114, Centre for the Economics of Education, LSE.
- Calvert Jump, Robert & Kohler, Karsten, 2022.
"A history of aggregate demand and supply shocks for the United Kingdom, 1900 to 2016,"
Explorations in Economic History, Elsevier, vol. 85(C).
- Jump, Robert Calvert & Kohler, Karsten, 2020. "A history of aggregate demand and supply shocks for the United Kingdom, 1900 to 2016," Greenwich Papers in Political Economy 30959, University of Greenwich, Greenwich Political Economy Research Centre.
- Durevall, Dick & Henrekson, Magnus, 2011.
"The futile quest for a grand explanation of long-run government expenditure,"
Journal of Public Economics, Elsevier, vol. 95(7-8), pages 708-722, August.
- Durevall, Dick & Henrekson, Magnus, 2011. "The futile quest for a grand explanation of long-run government expenditure," Journal of Public Economics, Elsevier, vol. 95(7), pages 708-722.
- Durevall, Dick & Henrekson, Magnus, 2010. "The Futile Quest for a Grand Explanation of Long-Run Government Expenditure," Working Paper Series 818, Research Institute of Industrial Economics, revised 28 Oct 2010.
- Durevall, Dick & Henrekson, Magnus, 2010. "The Futile Quest for a Grand Explanation of Long-Run Government Expenditure," Working Papers in Economics 428, University of Gothenburg, Department of Economics, revised 01 Mar 2011.
- Loening, Josef L. & Durevall, Dick & Birru, Yohannes A., 2009.
"Inflation dynamics and food prices in an agricultural economy : the case of Ethiopia,"
Policy Research Working Paper Series
4969, The World Bank.
- Loening, Josef L. & Durevall, Dick & Ayalew Birru, Yohannes, 2009. "Inflation Dynamics and Food Prices in an Agricultural Economy: The Case of Ethiopia," Working Papers in Economics 347, University of Gothenburg, Department of Economics.
- Sohrab Rafiq, 2014. "What Do Energy Prices Tell Us About UK Inflation?," Economica, London School of Economics and Political Science, vol. 81(322), pages 293-310, April.
- Castle, Jennifer L. & Hendry, David F. & Martinez, Andrew B., 2023. "The historical role of energy in UK inflation and productivity with implications for price inflation," Energy Economics, Elsevier, vol. 126(C).
- Durevall, Dick & Loening, Josef L. & Birru, Yohannes A., 2010.
"Inflation Dynamics and Food Prices in Ethiopia,"
Working Papers in Economics
478, University of Gothenburg, Department of Economics, revised 03 Jun 2013.
- Durevall, Dick & Loening, Josef L. & Ayalew Birru, Yohannes, 2013. "Inflation dynamics and food prices in Ethiopia," Journal of Development Economics, Elsevier, vol. 104(C), pages 89-106.
- Jennifer L. Castle & David F. Hendry & Andrew B. Martinez, 2022.
"The historical role of energy in UK inflation and productivity and implications for price inflation in 2022,"
Economics Series Working Papers
983, University of Oxford, Department of Economics.
- Jennifer L. Castle & David F. Hendry & Andrew B. Martinez, 2022. "The Historical Role of Energy in UK Inflation and Productivity and Implications for Price Inflation in 2022," Working Papers 2022-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- David M. Williams, 2021. "Pay and Productivity in Canada: Growing Together, Only Slower than Ever," International Productivity Monitor, Centre for the Study of Living Standards, vol. 40, pages 3-26, Spring.
- Neil Shephard, 2010.
"Deferred fees for universities,"
Economics Papers
2010-W03, Economics Group, Nuffield College, University of Oxford.
- Neil Shephard, 2010. "Deferred Fees For Universities," Economic Affairs, Wiley Blackwell, vol. 30(2), pages 40-44, June.
- Jiao, Xiyu & Pretis, Felix & Schwarz, Moritz, 2024. "Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change," Journal of Econometrics, Elsevier, vol. 239(1).
- Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
- Barr, Nicholas & Johnston, Alison, 2010. "Interest subsidies on student loans: a better class of drain," LSE Research Online Documents on Economics 28287, London School of Economics and Political Science, LSE Library.
- Nasir, Muhammad Ali & Wu, Junjie & Howes, Cameron & Ripley, Helen, 2022. "Asymmetric nexus between wages and productivity in the context of the global financial crisis," Journal of Economic Behavior & Organization, Elsevier, vol. 198(C), pages 164-175.
- Josh R. Stillwagon, 2015. "TIPS and the VIX: Non-linear Spillovers from Financial Panic to Breakeven Inflation," Working Papers 1502, Trinity College, Department of Economics.
- Baffigi, Alberto & Bontempi, Maria Elena & Felice, Emanuele & Golinelli, Roberto, 2015. "The changing relationship between inflation and the economic cycle in Italy: 1861–2012," Explorations in Economic History, Elsevier, vol. 56(C), pages 53-70.
- Muellbauer, John, 2018. "The Future of Macroeconomics," INET Oxford Working Papers 2018-10, Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.
- Ragnar Nymoen, 2017. "Between Institutions and Global Forces: Norwegian Wage Formation Since Industrialisation," Econometrics, MDPI, vol. 5(1), pages 1-54, January.
- Robert G. King, 2008. "The Phillips curve and U.S. macroeconomic policy : snapshots, 1958-1996," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 94(Fall), pages 311-359.
- Jennifer Castle & David Hendry & Jurgen A. Doornik, 2008.
"Model Selection when there are Multiple Breaks,"
Economics Series Working Papers
407, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2012. "Model selection when there are multiple breaks," Journal of Econometrics, Elsevier, vol. 169(2), pages 239-246.
Cited by:
- Hecq, Alain & Jacobs, Jan P.A.M. & Stamatogiannis, Michalis P., 2019.
"Testing for news and noise in non-stationary time series subject to multiple historical revisions,"
Journal of Macroeconomics, Elsevier, vol. 60(C), pages 396-407.
- Hecq, A.W. & Jacobs, J.P.A.M. & Stamatogiannis, M., 2016. "Testing for news and noise in non-stationary time series subject to multiple historical revisions," Research Memorandum 004, Maastricht University, Graduate School of Business and Economics (GSBE).
- Alain Hecq & Jan P.A.M. Jacobs & Michalis P. Stamatogiannis, 2016. "Testing for News and Noise in Non-Stationary Time Series Subject to Multiple Historical Revisions," CIRANO Working Papers 2016s-01, CIRANO.
- Jennifer Castle & David Hendry & Michael P. Clements, 2014.
"Robust Approaches to Forecasting,"
Economics Series Working Papers
697, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2015. "Robust approaches to forecasting," International Journal of Forecasting, Elsevier, vol. 31(1), pages 99-112.
- Hendry, David F. & Martinez, Andrew B., 2017.
"Evaluating multi-step system forecasts with relatively few forecast-error observations,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 359-372.
- David Hendry & Andrew B. Martinez, 2016. "Evaluating Multi-Step System Forecasts with Relatively Few Forecast-Error Observations," Economics Series Working Papers 784, University of Oxford, Department of Economics.
- Calvert Jump, Robert & Kohler, Karsten, 2022.
"A history of aggregate demand and supply shocks for the United Kingdom, 1900 to 2016,"
Explorations in Economic History, Elsevier, vol. 85(C).
- Jump, Robert Calvert & Kohler, Karsten, 2020. "A history of aggregate demand and supply shocks for the United Kingdom, 1900 to 2016," Greenwich Papers in Political Economy 30959, University of Greenwich, Greenwich Political Economy Research Centre.
- Espasa, Antoni & Carlomagno, Guillermo, 2014. "The pairwise approach to model a large set of disaggregates with common trends," DES - Working Papers. Statistics and Econometrics. WS ws141309, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Jennifer L. Castle & Michael P. Clements & David F. Hendry, 2016.
"An Overview of Forecasting Facing Breaks,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 3-23, September.
- Jennifer Castle & David Hendry & Michael P. Clements, 2016. "An Overview of Forecasting Facing Breaks," Economics Series Working Papers 779, University of Oxford, Department of Economics.
- David Hendry, 2011.
"Empirical Economic Model Discovery and Theory Evaluation,"
Economics Series Working Papers
529, University of Oxford, Department of Economics.
- David F. Hendry, 2011. "Empirical Economic Model Discovery and Theory Evaluation," Rationality, Markets and Morals, Frankfurt School Verlag, Frankfurt School of Finance & Management, vol. 2(46), October.
- Andrew B. Martinez, 2020.
"Forecast Accuracy Matters for Hurricane Damages,"
Working Papers
2020-003, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Andrew B. Martinez, 2020. "Forecast Accuracy Matters for Hurricane Damage," Econometrics, MDPI, vol. 8(2), pages 1-24, May.
- Bucacos, Elizabeth, 2017. "Financial Conditions and Monetary Policy in Uruguay: An MS-VAR Approach," IDB Publications (Working Papers) 8275, Inter-American Development Bank.
- Janine Aron & Ronald Macdonald & John Muellbauer, 2014. "Exchange Rate Pass-Through in Developing and Emerging Markets: A Survey of Conceptual, Methodological and Policy Issues, and Selected Empirical Findings," Journal of Development Studies, Taylor & Francis Journals, vol. 50(1), pages 101-143, January.
- Ericsson, Neil R., 2017. "Interpreting estimates of forecast bias," International Journal of Forecasting, Elsevier, vol. 33(2), pages 563-568.
- Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers 1311, Board of Governors of the Federal Reserve System (U.S.).
- M. Mogliani & T. Ferrière, 2016. "Rationality of announcements, business cycle asymmetry, and predictability of revisions. The case of French GDP," Working papers 600, Banque de France.
- David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
- Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010.
"Evaluating Automatic Model Selection,"
Economics Series Working Papers
474, University of Oxford, Department of Economics.
- Castle Jennifer L. & Doornik Jurgen A & Hendry David F., 2011. "Evaluating Automatic Model Selection," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-33, February.
- Marczak, Martyna & Proietti, Tommaso, 2015.
"Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach,"
VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy
113137, Verein für Socialpolitik / German Economic Association.
- Marczak, Martyna & Proietti, Tommaso, 2016. "Outlier detection in structural time series models: The indicator saturation approach," International Journal of Forecasting, Elsevier, vol. 32(1), pages 180-202.
- Marczak, Martyna & Proietti, Tommaso, 2014. "Outlier detection in structural time series models: The indicator saturation approach," FZID Discussion Papers 90-2014, University of Hohenheim, Center for Research on Innovation and Services (FZID).
- Martyna Marczak & Tommaso Proietti, 2014. "Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach," CEIS Research Paper 325, Tor Vergata University, CEIS, revised 08 Aug 2014.
- Martyna Marczak & Tommaso Proietti, 2014. "Outlier Detection in Structural Time Series Models: the Indicator Saturation Approach," CREATES Research Papers 2014-20, Department of Economics and Business Economics, Aarhus University.
- Bernd Hayo & Kentaro Iwatsubo, 2019.
"Who Is Successful in Foreign Exchange Margin Trading? New Survey Evidence from Japan,"
MAGKS Papers on Economics
201917, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
- Bernd Hayo & Ken Iwatsubo, 2019. "Who Is Successful in Foreign Exchange Margin Trading? New Survey Evidence from Japan," GRU Working Paper Series GRU_2019_026, City University of Hong Kong, Department of Economics and Finance, Global Research Unit.
- Bernd Hayo & Kentaro Iwatsubo, 2022. "Who Is Successful in Foreign Exchange Margin Trading? New Survey Evidence from Japan," Sustainability, MDPI, vol. 14(18), pages 1-14, September.
- Neil R. Ericsson, 2016.
"Economic Forecasting in Theory and Practice : An Interview with David F. Hendry,"
International Finance Discussion Papers
1184, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson, 2016. "Economic Forecasting in Theory and Practice: An Interview with David F. Hendry," Working Papers 2016-012, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Ericsson, Neil R., 2017. "Economic forecasting in theory and practice: An interview with David F. Hendry," International Journal of Forecasting, Elsevier, vol. 33(2), pages 523-542.
- Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
- Pellini, Elisabetta, 2021. "Estimating income and price elasticities of residential electricity demand with Autometrics," Energy Economics, Elsevier, vol. 101(C).
- Pedro Garcia-del-Barrio & J. James Reade, 2022.
"Does certainty on the winner diminish the interest in sport competitions? The case of formula one,"
Empirical Economics, Springer, vol. 63(2), pages 1059-1079, August.
- Pedro Garcia-del-Bario & J. James Reade, 2021. "Does Certainty on the Winner Diminish the Interest in Sport Competitions? The Case of Formula One," Economics Discussion Papers em-dp2021-18, Department of Economics, University of Reading.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Felix Pretis, 2015. "Detecting Location Shifts during Model Selection by Step-Indicator Saturation," Econometrics, MDPI, vol. 3(2), pages 1-25, April.
- Guillaume Chevillon & Takamitsu Kurita, 2023. "What Does it Take to Control Global Temperatures? A toolbox for estimating the impact of economic policies on climate," Papers 2307.05818, arXiv.org.
- Hendry, David F. & Mizon, Grayham E., 2014.
"Unpredictability in economic analysis, econometric modeling and forecasting,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 186-195.
- David F. Hendry & Grayham E. Mizon, 2013. "Unpredictability in Economic Analysis, Econometric Modeling and Forecasting," Economics Papers 2013-W04, Economics Group, Nuffield College, University of Oxford.
- David Hendry, 2011. "Unpredictability in Economic Analyis, Econometric Modelling and Forecasting," Economics Series Working Papers 551, University of Oxford, Department of Economics.
- Dooruj Rambaccussing & Andrzej Kwiatkowski, 2024. "The nexus between national and regional reporting of economic news: Evidence from the United Kingdom and Scotland," Bulletin of Economic Research, Wiley Blackwell, vol. 76(2), pages 371-393, April.
- Apergis, Nicholas & Pan, Wei-Fong & Reade, James & Wang, Shixuan, 2023. "Modelling Australian electricity prices using indicator saturation," Energy Economics, Elsevier, vol. 120(C).
- Corradi, Valentina & Swanson, Norman R., 2014.
"Testing for structural stability of factor augmented forecasting models,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 100-118.
- Valentina Corradi & Norman Swanson, 2013. "Testing for Structural Stability of Factor Augmented Forecasting Models," Departmental Working Papers 201314, Rutgers University, Department of Economics.
- Fakhri Hasanov & Fred Joutz & Muhammad Javid, 2021.
"Saudi Non-oil Exports Before and After COVID-19: Historical Impacts of Determinants and Scenario Analysis,"
Discussion Papers
ks--2021-dp09, King Abdullah Petroleum Studies and Research Center.
- Fakhri J. Hasanov & Muhammad Javid & Frederick L. Joutz, 2022. "Saudi Non-Oil Exports before and after COVID-19: Historical Impacts of Determinants and Scenario Analysis," Sustainability, MDPI, vol. 14(4), pages 1-38, February.
- André K. Anundsen & Ragnar Nymoen, 2015.
"Did US consumers ‘save for a rainy day’ before the Great Recession?,"
Working Paper
2015/08, Norges Bank.
- Anundsen, Andre K. & Nymoen, Ragnar, 2015. "Did US consumers `save for a rainy day' before the Great Recession?," Memorandum 11/2015, Oslo University, Department of Economics.
- André Kallåk Anundsen & Ragnar Nymoen, 2015. "Did US Consumers 'Save for a Rainy Day' Before the Great Recession?," CESifo Working Paper Series 5347, CESifo.
- Roman Frydman & Soren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2021. "Asset Prices Under Knightian Uncertainty," Working Papers Series inetwp172, Institute for New Economic Thinking.
- David Hendry & Jurgen A. Doornik & Felix Pretis, 2013. "Step-indicator Saturation," Economics Series Working Papers 658, University of Oxford, Department of Economics.
- Irfan Akbar Kazi & Mohamed Mehanaoui & Farhan Akbar, 2014. "The shift-contagion effect of global financial crisis and the European debt crisis on OECD Countries," Working Papers 2014-128, Department of Research, Ipag Business School.
- Camila Epprecht & Dominique Guegan & Álvaro Veiga, 2013. "Comparing variable selection techniques for linear regression: LASSO and Autometrics," Documents de travail du Centre d'Economie de la Sorbonne 13080, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021.
"Selecting a Model for Forecasting,"
Econometrics, MDPI, vol. 9(3), pages 1-35, June.
- Jennifer Castle & Jurgen Doornik & David Hendry, 2018. "Selecting a Model for Forecasting," Economics Series Working Papers 861, University of Oxford, Department of Economics.
- Carlomagno, Guillermo & Espasa, Antoni, 2015. "Forecasting a large set of disaggregates with common trends and outliers," DES - Working Papers. Statistics and Econometrics. WS ws1518, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Anh Dinh Minh Nguyen, 2017. "U.K. Monetary Policy under Inflation Targeting," Bank of Lithuania Working Paper Series 41, Bank of Lithuania.
- Neil R. Ericsson, 2017.
"How Biased Are U.S. Government Forecasts of the Federal Debt?,"
Working Papers
2017-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Ericsson, Neil R., 2017. "How biased are U.S. government forecasts of the federal debt?," International Journal of Forecasting, Elsevier, vol. 33(2), pages 543-559.
- Neil R. Ericsson, 2017. "How Biased Are U.S. Government Forecasts of the Federal Debt?," International Finance Discussion Papers 1189, Board of Governors of the Federal Reserve System (U.S.).
- Hendry, David F. & Johansen, Søren, 2015.
"Model Discovery And Trygve Haavelmo’S Legacy,"
Econometric Theory, Cambridge University Press, vol. 31(1), pages 93-114, February.
- David Hendry & Soren Johansen, 2012. "Model Discovery and Trygve Haavelmo's Legacy," Economics Series Working Papers 598, University of Oxford, Department of Economics.
- Panday, Anjan, 2015. "Impact of monetary policy on exchange market pressure: The case of Nepal," Journal of Asian Economics, Elsevier, vol. 37(C), pages 59-71.
- Marcin Błażejowski & Jacek Kwiatkowski & Paweł Kufel, 2020. "BACE and BMA Variable Selection and Forecasting for UK Money Demand and Inflation with Gretl," Econometrics, MDPI, vol. 8(2), pages 1-29, May.
- Bjørnar Karlsen Kivedal, 2023. "Long run non-linearity in CO2 emissions: the I(2) cointegration model and the environmental Kuznets curve," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 50(4), pages 899-931, November.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2013.
"Model Selection in Equations with Many ‘Small’ Effects,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(1), pages 6-22, February.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2012. "Model Selection in Equations with Many 'Small' Effects," Working Paper series 53_12, Rimini Centre for Economic Analysis.
- Jennifer Castle & David Hendry, 2011. "Model Selection in Equations with Many 'Small' Effects," Economics Series Working Papers 528, University of Oxford, Department of Economics.
- J. James Reade & Ulrich Volz, 2011. "From the General to the Specific," Discussion Papers 11-18, Department of Economics, University of Birmingham.
- Roman Frydman & Morten Nyboe Tabor, 2022. "Muth's Hypothesis Under Knightian Uncertainty: A Novel Account of Inflation Forecasts," Working Papers Series inetwp194, Institute for New Economic Thinking.
- Alexander HARIN, 2014. "Partially Unforeseen Events. Corrections and Correcting Formulae for Forecasts," Expert Journal of Economics, Sprint Investify, vol. 2(2), pages 69-79.
- Jurgen A. Doornik & David F. Hendry & Steve Cook, 2015.
"Statistical model selection with “Big Data”,"
Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1045216-104, December.
- David Hendry & Jurgen A. Doornik, 2014. "Statistical Model Selection with 'Big Data'," Economics Series Working Papers 735, University of Oxford, Department of Economics.
- David Hendry & Jennifer L. Castle, 2010.
"Model Selection in Under-specified Equations Facing Breaks,"
Economics Series Working Papers
509, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Hendry, David F., 2014. "Model selection in under-specified equations facing breaks," Journal of Econometrics, Elsevier, vol. 178(P2), pages 286-293.
- Sara Muhammadullah & Amena Urooj & Faridoon Khan, 2021. "A revisit of the unemployment rate, interest rate, GDP growth and Inflation of Pakistan: Whether Structural break or unit root?," iRASD Journal of Economics, International Research Alliance for Sustainable Development (iRASD), vol. 3(2), pages 80-92, September.
- Rocha, Jordano Vieira & Pereira, Pedro L. Valls, 2015. "Forecast comparison with nonlinear methods for Brazilian industrial production," Textos para discussão 397, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Ragnar Nymoen, 2014.
"Misspecification Testing: Non-Invariance of Expectations Models of Inflation,"
Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 553-574, August.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Ragnar Nymoen, 2012. "Mis-specification Testing: Non-Invariance of Expectations Models of Inflation," Working Paper series 50_12, Rimini Centre for Economic Analysis.
- Igor Pelipas, 2011. "Structural Breaks and Dynamic Characteristics of Inflation and Growth Rates of Monetary Aggregates," BEROC Working Paper Series 15, Belarusian Economic Research and Outreach Center (BEROC).
- László Kónya & Bekzod Abdullaev, 2015. "Does Ricardian equivalence hold in Australia? A revision based on testing super exogeneity with impulse-indicator saturation," Empirical Economics, Springer, vol. 49(2), pages 423-448, September.
- Dai, Hongyan & Xiao, Qin & Chen, Songlin & Zhou, Weihua, 2023. "Data-driven demand forecast for O2O operations: An adaptive hierarchical incremental approach," International Journal of Production Economics, Elsevier, vol. 259(C).
- Haraldsen, Kristine Wika & Ragnar, Nymoen & Sparrman, Victoria, 2019. "Labour market institutions, shocks and the employment rate," Memorandum 6/2019, Oslo University, Department of Economics.
- Igor Pelipas, 2012. "Multiple Structural Breaks and Inflation Persistance in Belarus," BEROC Working Paper Series 21, Belarusian Economic Research and Outreach Center (BEROC).
- Pollack, Adam B. & Kaufmann, Robert K., 2022. "Increasing storm risk, structural defense, and house prices in the Florida Keys," Ecological Economics, Elsevier, vol. 194(C).
- David Hendry & Felix Pretis, 2011.
"Anthropogenic Influences on Atmospheric CO2,"
Economics Series Working Papers
584, University of Oxford, Department of Economics.
- David F. Hendry & Felix Pretis, 2013. "Anthropogenic influences on atmospheric CO2," Chapters, in: Roger Fouquet (ed.), Handbook on Energy and Climate Change, chapter 12, pages 287-326, Edward Elgar Publishing.
- Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2013. "Forecasting by factors, by variables, by both or neither?," Journal of Econometrics, Elsevier, vol. 177(2), pages 305-319.
- Haug, Alfred A. & King, Ian, 2014. "In the long run, US unemployment follows inflation like a faithful dog," Journal of Macroeconomics, Elsevier, vol. 41(C), pages 42-52.
- Huang, Tao & Fildes, Robert & Soopramanien, Didier, 2014. "The value of competitive information in forecasting FMCG retail product sales and the variable selection problem," European Journal of Operational Research, Elsevier, vol. 237(2), pages 738-748.
- Huang, Tao & Fildes, Robert & Soopramanien, Didier, 2019. "Forecasting retailer product sales in the presence of structural change," European Journal of Operational Research, Elsevier, vol. 279(2), pages 459-470.
- Camila Epprecht & Dominique Guegan & Álvaro Veiga & Joel Correa da Rosa, 2017. "Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00917797, HAL.
- Guillermo Carlomagno & Antoni Espasa, 2021. "Discovering Specific Common Trends in a Large Set of Disaggregates: Statistical Procedures, their Properties and an Empirical Application," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 641-662, June.
- Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
- Kristine Wika Haraldsen & Ragnar Nymoen & Victoria Sparrman, 2019. "Labour market institutions, shocks and the employment rate," Discussion Papers 901, Statistics Norway, Research Department.
- Ryan-Collins, Josh & Werner, Richard A. & Castle, Jennifer, 2016. "A half-century diversion of monetary policy? An empirical horse-race to identify the UK variable most likely to deliver the desired nominal GDP growth rate," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 158-176.
- Ericsson Neil R., 2016. "Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 377-398, September.
- William Larson, 2015. "Forecasting an Aggregate in the Presence of Structural Breaks in the Disaggregates," Working Papers 2015-002, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Harin, Alexander, 2014. "General correcting formulae for forecasts," MPRA Paper 55283, University Library of Munich, Germany.
- Jennifer Castle & David Hendry, 2007.
"Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation,"
Economics Series Working Papers
309, University of Oxford, Department of Economics.
Cited by:
- Costas Milas, 2009.
"Does high M4 money growth trigger large increases in UK inflation? Evidence from a regime-switching model,"
Oxford Economic Papers, Oxford University Press, vol. 61(1), pages 168-182, January.
- Costas Milas, 2007. "Does high M4 money growth trigger large increases in UK inflation? Evidence from a regime-switching model," Working Paper series 25_07, Rimini Centre for Economic Analysis.
- Costas Milas, 2007. "Does high M4 money growth trigger large increases in UK inflation? Evidence from a regime-switching model," Keele Economics Research Papers KERP 2007/07, Centre for Economic Research, Keele University.
- Hendry, David F. & Martinez, Andrew B., 2017.
"Evaluating multi-step system forecasts with relatively few forecast-error observations,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 359-372.
- David Hendry & Andrew B. Martinez, 2016. "Evaluating Multi-Step System Forecasts with Relatively Few Forecast-Error Observations," Economics Series Working Papers 784, University of Oxford, Department of Economics.
- Thiago Carlomagno Carlo & Emerson Fernandes Marçal, 2016.
"Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon,"
Applied Economics, Taylor & Francis Journals, vol. 48(50), pages 4846-4860, October.
- Carlos, Thiago Carlomagno & Marçal, Emerson Fernandes, 2013. "Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon," Textos para discussão 346, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Torre Cepeda Leonardo E. & Flores Segovia Miguel A., 2020. "Private Banking Credit and Economic Growth in Mexico: A State Level Panel Data Analysis 2005-2018," Working Papers 2020-17, Banco de México.
- Jacobs, Jan P.A.M. & Wallis, Kenneth F., 2010.
"Cointegration, long-run structural modelling and weak exogeneity: Two models of the UK economy,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 108-116, September.
- Jan P.A.M. Jacobs & Kenneth F. Wallis, 2007. "Cointegration, Long-Run Structural Modelling And Weak Exogeneity: Two Models Of The Uk Economy," CAMA Working Papers 2007-12, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Christian Kascha & Francesco Ravazzolo, 2008.
"Combining inflation density forecasts,"
Working Paper
2008/22, Norges Bank.
- Christian Kascha & Francesco Ravazzolo, 2010. "Combining inflation density forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 231-250.
- Garcés Díaz Daniel, 2020. "On the Drivers of Inflation in Different Monetary Regimes," Working Papers 2020-16, Banco de México.
- Costas Milas, 2009.
"Does high M4 money growth trigger large increases in UK inflation? Evidence from a regime-switching model,"
Oxford Economic Papers, Oxford University Press, vol. 61(1), pages 168-182, January.
- Jennifer L. Castle & David F. Hendry, 2007.
"A Low-Dimension Collinearity-Robust Test for Non-linearity,"
Economics Series Working Papers
326, University of Oxford, Department of Economics.
Cited by:
- Jennifer Castle & David Hendry, 2008.
"The Long-Run Determinants of UK Wages, 1860-2004,"
Economics Series Working Papers
409, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Hendry, David F., 2009. "The long-run determinants of UK wages, 1860-2004," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 5-28, March.
- Jennifer Castle & David Hendry, 2008.
"The Long-Run Determinants of UK Wages, 1860-2004,"
Economics Series Working Papers
409, University of Oxford, Department of Economics.
Articles
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2023.
"Robust Discovery of Regression Models,"
Econometrics and Statistics, Elsevier, vol. 26(C), pages 31-51.
See citations under working paper version above.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2020. "Robust Discovery of Regression Models," Economics Papers 2020-W04, Economics Group, Nuffield College, University of Oxford.
- Doornik, Jurgen A. & Castle, Jennifer L. & Hendry, David F., 2022.
"Short-term forecasting of the coronavirus pandemic,"
International Journal of Forecasting, Elsevier, vol. 38(2), pages 453-466.
Cited by:
- Medeiros, Marcelo C. & Street, Alexandre & Valladão, Davi & Vasconcelos, Gabriel & Zilberman, Eduardo, 2022.
"Short-term Covid-19 forecast for latecomers,"
International Journal of Forecasting, Elsevier, vol. 38(2), pages 467-488.
- Marcelo Medeiros & Alexandre Street & Davi Vallad~ao & Gabriel Vasconcelos & Eduardo Zilberman, 2020. "Short-Term Covid-19 Forecast for Latecomers," Papers 2004.07977, arXiv.org, revised Sep 2021.
- Bårdsen, Gunnar & Nymoen, Ragnar, 2023. "Dynamic time series modelling and forecasting of COVID-19 in Norway," Memorandum 3/2023, Oslo University, Department of Economics.
- Evangelos Spiliotis & Fotios Petropoulos & Vassilios Assimakopoulos, 2023. "On the Disagreement of Forecasting Model Selection Criteria," Forecasting, MDPI, vol. 5(2), pages 1-12, June.
- Paul Haimerl & Tobias Hartl, 2023. "Modeling COVID-19 Infection Rates by Regime-Switching Unobserved Components Models," Econometrics, MDPI, vol. 11(2), pages 1-15, April.
- Gunnar BÃ¥rdsen & Ragnar Nymoen, 2023. "Dynamic time series modelling and forecasting of COVID-19 in Norway," Working Paper Series 19623, Department of Economics, Norwegian University of Science and Technology.
- Sen, Anindya & Baker, John David & Zhang, Qihuang & Agarwal, Rishav Raj & Lam, Jean-Paul, 2023. "Do more stringent policies reduce daily COVID-19 case counts? Evidence from Canadian provinces," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 225-242.
- Choudhury, Nishat Alam & Ramkumar, M. & Schoenherr, Tobias & Singh, Shalabh, 2023. "The role of operations and supply chain management during epidemics and pandemics: Potential and future research opportunities," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 175(C).
- Medeiros, Marcelo C. & Street, Alexandre & Valladão, Davi & Vasconcelos, Gabriel & Zilberman, Eduardo, 2022.
"Short-term Covid-19 forecast for latecomers,"
International Journal of Forecasting, Elsevier, vol. 38(2), pages 467-488.
- Jeronymo Marcondes Pinto & Jennifer L. Castle, 2022.
"Machine Learning Dynamic Switching Approach to Forecasting in the Presence of Structural Breaks,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(2), pages 129-157, July.
Cited by:
- Jeronymo Marcondes Pinto & Emerson Fernandes Marçal, 2023. "An artificial intelligence approach to forecasting when there are structural breaks: a reinforcement learning-based framework for fast switching," Empirical Economics, Springer, vol. 65(4), pages 1729-1759, October.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
See citations under working paper version above.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021.
"Selecting a Model for Forecasting,"
Econometrics, MDPI, vol. 9(3), pages 1-35, June.
See citations under working paper version above.
- Jennifer Castle & Jurgen Doornik & David Hendry, 2018. "Selecting a Model for Forecasting," Economics Series Working Papers 861, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Kurita, Takamitsu, 2021.
"A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts,"
Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
Cited by:
- Takamitsu Kurita & Patrick James, 2022. "The Canadian–US dollar exchange rate over the four decades of the post‐Bretton Woods float: An econometric study allowing for structural breaks," Metroeconomica, Wiley Blackwell, vol. 73(3), pages 856-883, July.
- Tang, Xinmeng & Zhou, Xiaoguang, 2023. "Impact of green finance on renewable energy development: A spatiotemporal consistency perspective," Renewable Energy, Elsevier, vol. 204(C), pages 320-337.
- Angela Ifeanyi Ujunwa & Augustine Ujunwa & Emmanuel Onah & Nnenna Georgina Nwonye & Onyedikachi David Chukwunwike, 2021. "Extending the determinants of currency substitution in Nigeria: Any role for financial innovation?," South African Journal of Economics, Economic Society of South Africa, vol. 89(4), pages 590-607, December.
- Jurgen A. Doornik & Jennifer L. Castle & David F. Hendry, 2021.
"Modeling and forecasting the COVID‐19 pandemic time‐series data,"
Social Science Quarterly, Southwestern Social Science Association, vol. 102(5), pages 2070-2087, September.
Cited by:
- Friedrich, Marina & Lin, Yicong, 2024. "Sieve bootstrap inference for linear time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 239(1).
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021.
"Forecasting Principles from Experience with Forecasting Competitions,"
Forecasting, MDPI, vol. 3(1), pages 1-28, February.
Cited by:
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021.
"Selecting a Model for Forecasting,"
Econometrics, MDPI, vol. 9(3), pages 1-35, June.
- Jennifer Castle & Jurgen Doornik & David Hendry, 2018. "Selecting a Model for Forecasting," Economics Series Working Papers 861, University of Oxford, Department of Economics.
- Jennifer Castle & Takamitsu Kurita, 2022. "Structural relationships between cryptocurrency prices and monetary policy indicators," Economics Series Working Papers 972, University of Oxford, Department of Economics.
- Voyant, Cyril & Notton, Gilles & Duchaud, Jean-Laurent & Gutiérrez, Luis Antonio García & Bright, Jamie M. & Yang, Dazhi, 2022. "Benchmarks for solar radiation time series forecasting," Renewable Energy, Elsevier, vol. 191(C), pages 747-762.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021. "Forecasting Facing Economic Shifts, Climate Change and Evolving Pandemics," Econometrics, MDPI, vol. 10(1), pages 1-21, December.
- Alessia Paccagnini, 2021. "Editorial for Special Issue “New Frontiers in Forecasting the Business Cycle and Financial Markets”," Forecasting, MDPI, vol. 3(3), pages 1-3, July.
- Jurgen A. Doornik & Jennifer L. Castle & David F. Hendry, 2021. "Modeling and forecasting the COVID‐19 pandemic time‐series data," Social Science Quarterly, Southwestern Social Science Association, vol. 102(5), pages 2070-2087, September.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021.
"Selecting a Model for Forecasting,"
Econometrics, MDPI, vol. 9(3), pages 1-35, June.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2021.
"Modelling non-stationary ‘Big Data’,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1556-1575.
See citations under working paper version above.
- Jennifer Castle & Jurgen Doornik & David Hendry, 2020. "Modelling Non-stationary 'Big Data'," Economics Series Working Papers 905, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2021.
"The Value Of Robust Statistical Forecasts In The Covid-19 Pandemic,"
National Institute Economic Review, National Institute of Economic and Social Research, vol. 256, pages 19-43, April.
Cited by:
- David F. Hendry & Felix Pretis, 2020.
"Analyzing Differences between Scenarios,"
Economics Papers
2020-W05, Economics Group, Nuffield College, University of Oxford.
- Hendry, David F. & Pretis, Felix, 2023. "Analysing differences between scenarios," International Journal of Forecasting, Elsevier, vol. 39(2), pages 754-771.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Castle, Jennifer L. & Hendry, David F. & Martinez, Andrew B., 2023. "The historical role of energy in UK inflation and productivity with implications for price inflation," Energy Economics, Elsevier, vol. 126(C).
- Byron Botha & Rulof Burger & Kevin Kotze & Neil Rankin & Daan Steenkamp, 2022.
"Big data forecasting of South African inflation,"
School of Economics Macroeconomic Discussion Paper Series
2022-03, School of Economics, University of Cape Town.
- Byron Botha & Rulof Burger & Kevin Kotz & Neil Rankin & Daan Steenkamp, 2022. "Big data forecasting of South African inflation," Working Papers 11022, South African Reserve Bank.
- Byron Botha & Rulof Burger & Kevin Kotzé & Neil Rankin & Daan Steenkamp, 2023. "Big data forecasting of South African inflation," Empirical Economics, Springer, vol. 65(1), pages 149-188, July.
- Byron Botha & Kevin Kotze & Neil Rankin & Rulof P. Burger, 2022. "Big data forecasting of South African inflation," Working Papers 873, Economic Research Southern Africa.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021. "Forecasting Facing Economic Shifts, Climate Change and Evolving Pandemics," Econometrics, MDPI, vol. 10(1), pages 1-21, December.
- David F. Hendry & Felix Pretis, 2020.
"Analyzing Differences between Scenarios,"
Economics Papers
2020-W05, Economics Group, Nuffield College, University of Oxford.
- Castle, Jennifer L. & Hendry, David F., 2020.
"Climate Econometrics: An Overview,"
Foundations and Trends(R) in Econometrics, now publishers, vol. 10(3-4), pages 145-322, August.
Cited by:
- Ar'anzazu de Juan & Pilar Poncela & Vladimir Rodr'iguez-Caballero & Esther Ruiz, 2022. "Economic activity and climate change," Papers 2206.03187, arXiv.org, revised Jun 2022.
- Blazsek, Szabolcs & Escribano, Álvaro, 2022.
"Score-driven threshold ice-age models: benchmark models for long-run climate forecasts,"
UC3M Working papers. Economics
34757, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Blazsek, Szabolcs & Escribano, Alvaro, 2023. "Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts," Energy Economics, Elsevier, vol. 118(C).
- Chen, Liang & Dolado, Juan José & Ramos Ramirez, Andrey David & Gonzalo, Jesús, 2023.
"Heterogeneous Predictive Association of CO2 with Global Warming,"
UC3M Working papers. Economics
36451, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Dolado, Juan J & Chen, Liang & Gonzalo, Jesus & Ramos, Andrey, 2023. "Heterogeneous Predictive Association of CO2 with Global Warming," CEPR Discussion Papers 18114, C.E.P.R. Discussion Papers.
- Liang Chen & Juan J. Dolado & Jesús Gonzalo & Andrey Ramos, 2023. "Heterogeneous predictive association of CO2 with global warming," Economica, London School of Economics and Political Science, vol. 90(360), pages 1397-1421, October.
- Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers 1311, Board of Governors of the Federal Reserve System (U.S.).
- Federico Maddanu, 2022. "A harmonically weighted filter for cyclical long memory processes," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 106(1), pages 49-78, March.
- K. Mukherjee & B. Ouattara, 2021. "Climate and monetary policy: do temperature shocks lead to inflationary pressures?," Climatic Change, Springer, vol. 167(3), pages 1-21, August.
- Blazsek, Szabolcs Istvan & Kristof, Erzsebet & Escribano, Álvaro, 2024. "Global, Arctic, and Antarctic sea ice volume predictions: using score-driven threshold climate models," UC3M Working papers. Economics 39546, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Chen, Liang & Dolado, Juan José & Gonzalo, Jesús & Ramos Ramirez, Andrey David, 2013. "Revisiting Granger Causality of CO2 on Global Warming: a Quantile Factor Approach," DES - Working Papers. Statistics and Econometrics. WS 35531, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Tommaso Proietti & Federico Maddanu, 2021.
"Modelling Cycles in Climate Series: the Fractional Sinusoidal Waveform Process,"
CEIS Research Paper
518, Tor Vergata University, CEIS, revised 19 Oct 2021.
- Proietti, Tommaso & Maddanu, Federico, 2024. "Modelling cycles in climate series: The fractional sinusoidal waveform process," Journal of Econometrics, Elsevier, vol. 239(1).
- Doornik, Jurgen A. & Castle, Jennifer L. & Hendry, David F., 2020.
"Card forecasts for M4,"
International Journal of Forecasting, Elsevier, vol. 36(1), pages 129-134.
Cited by:
- Pantelis Agathangelou & Demetris Trihinas & Ioannis Katakis, 2020. "A Multi-Factor Analysis of Forecasting Methods: A Study on the M4 Competition," Data, MDPI, vol. 5(2), pages 1-24, April.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2021.
"Modelling non-stationary ‘Big Data’,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1556-1575.
- Jennifer Castle & Jurgen Doornik & David Hendry, 2020. "Modelling Non-stationary 'Big Data'," Economics Series Working Papers 905, University of Oxford, Department of Economics.
- Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers 1311, Board of Governors of the Federal Reserve System (U.S.).
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Castle, Jennifer L. & Hendry, David F. & Martinez, Andrew B., 2023. "The historical role of energy in UK inflation and productivity with implications for price inflation," Energy Economics, Elsevier, vol. 126(C).
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021.
"Selecting a Model for Forecasting,"
Econometrics, MDPI, vol. 9(3), pages 1-35, June.
- Jennifer Castle & Jurgen Doornik & David Hendry, 2018. "Selecting a Model for Forecasting," Economics Series Working Papers 861, University of Oxford, Department of Economics.
- Ruben Loaiza-Maya & Gael M Martin & David T. Frazier, 2020.
"Focused Bayesian Prediction,"
Monash Econometrics and Business Statistics Working Papers
1/20, Monash University, Department of Econometrics and Business Statistics.
- Ruben Loaiza-Maya & Gael M. Martin & David T. Frazier, 2019. "Focused Bayesian Prediction," Papers 1912.12571, arXiv.org, revised Aug 2020.
- Ruben Loaiza‐Maya & Gael M. Martin & David T. Frazier, 2021. "Focused Bayesian prediction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(5), pages 517-543, August.
- Doornik, Jurgen A. & Castle, Jennifer L. & Hendry, David F., 2022. "Short-term forecasting of the coronavirus pandemic," International Journal of Forecasting, Elsevier, vol. 38(2), pages 453-466.
- Diogo de Prince & Emerson Fernandes Marçal & Pedro L. Valls Pereira, 2022. "Forecasting Industrial Production Using Its Aggregated and Disaggregated Series or a Combination of Both: Evidence from One Emerging Market Economy," Econometrics, MDPI, vol. 10(2), pages 1-34, June.
- Wilson, Tom & Grossman, Irina & Temple, Jeromey, 2023. "Evaluation of the best M4 competition methods for small area population forecasting," International Journal of Forecasting, Elsevier, vol. 39(1), pages 110-122.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2020. "Short-term forecasting of the Coronavirus Pandemic - 2020-04-27," Economics Papers 2020-W06, Economics Group, Nuffield College, University of Oxford.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021. "Forecasting Principles from Experience with Forecasting Competitions," Forecasting, MDPI, vol. 3(1), pages 1-28, February.
- Jennifer L. Castle & Jurgen A. Doornik & David Hendry, 2019. "Some forecasting principles from the M4 competition," Economics Papers 2019-W01, Economics Group, Nuffield College, University of Oxford.
- Jennifer L. Castle & David F. Hendry & Andrew B. Martinez, 2017.
"Evaluating Forecasts, Narratives and Policy Using a Test of Invariance,"
Econometrics, MDPI, vol. 5(3), pages 1-27, September.
Cited by:
- Jeyhun I. Mikayilov & Shahriyar Mukhtarov & Jeyhun Mammadov, 2020. "Gasoline Demand Elasticities at the Backdrop of Lower Oil Prices: Fuel-Subsidizing Country Case," Energies, MDPI, vol. 13(24), pages 1-18, December.
- Andrew B. Martinez, 2020.
"Forecast Accuracy Matters for Hurricane Damages,"
Working Papers
2020-003, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Andrew B. Martinez, 2020. "Forecast Accuracy Matters for Hurricane Damage," Econometrics, MDPI, vol. 8(2), pages 1-24, May.
- Hendry, David F., 2018.
"Deciding between alternative approaches in macroeconomics,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 119-135.
- David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
- Simionescu, Mihaela, 2022. "Econometrics of sentiments- sentometrics and machine learning: The improvement of inflation predictions in Romania using sentiment analysis," Technological Forecasting and Social Change, Elsevier, vol. 182(C).
- David F. Hendry & Felix Pretis, 2020.
"Analyzing Differences between Scenarios,"
Economics Papers
2020-W05, Economics Group, Nuffield College, University of Oxford.
- Hendry, David F. & Pretis, Felix, 2023. "Analysing differences between scenarios," International Journal of Forecasting, Elsevier, vol. 39(2), pages 754-771.
- Clements, Michael P. & Reade, J. James, 2020. "Forecasting and forecast narratives: The Bank of England Inflation Reports," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1488-1500.
- Guillaume Chevillon & Takamitsu Kurita, 2023. "What Does it Take to Control Global Temperatures? A toolbox for estimating the impact of economic policies on climate," Papers 2307.05818, arXiv.org.
- Castle, Jennifer L. & Hendry, David F. & Martinez, Andrew B., 2023. "The historical role of energy in UK inflation and productivity with implications for price inflation," Energy Economics, Elsevier, vol. 126(C).
- S. Yanki Kalfa & Jaime Marquez, 2021.
"Forecasting FOMC Forecasts,"
Econometrics, MDPI, vol. 9(3), pages 1-21, September.
- S. Yanki Kalfa & Jaime Marquez, 2018. "Forecasting FOMC Forecasts," Working Papers 2018-007, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2023.
"Robust Discovery of Regression Models,"
Econometrics and Statistics, Elsevier, vol. 26(C), pages 31-51.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2020. "Robust Discovery of Regression Models," Economics Papers 2020-W04, Economics Group, Nuffield College, University of Oxford.
- Rocco Mosconi & Paolo Paruolo, 2022. "Celebrated Econometricians: Katarina Juselius and Søren Johansen," Econometrics, MDPI, vol. 10(2), pages 1-4, May.
- David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
- Pretis, Felix, 2021. "Exogeneity in climate econometrics," Energy Economics, Elsevier, vol. 96(C).
- Jennifer L. Castle & Michael P. Clements & David F. Hendry, 2016.
"An Overview of Forecasting Facing Breaks,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 3-23, September.
See citations under working paper version above.
- Jennifer Castle & David Hendry & Michael P. Clements, 2016. "An Overview of Forecasting Facing Breaks," Economics Series Working Papers 779, University of Oxford, Department of Economics.
- Ryan-Collins, Josh & Werner, Richard A. & Castle, Jennifer, 2016.
"A half-century diversion of monetary policy? An empirical horse-race to identify the UK variable most likely to deliver the desired nominal GDP growth rate,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 158-176.
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- Alexey Ponomarenko, 2019.
"Do sterilized foreign exchange interventions create money?,"
Bank of Russia Working Paper Series
wps40, Bank of Russia.
- Ponomarenko, Alexey, 2019. "Do sterilized foreign exchange interventions create money?," Journal of Asian Economics, Elsevier, vol. 62(C), pages 1-16.
- Hillary Chijindu Ezeaku & Imo Godwin Ibe & Uche Boniface Ugwuanyi & N. J. Modebe & Emmanuel Kalu Agbaeze, 2018. "Monetary Policy Transmission and Industrial Sector Growth: Empirical Evidence From Nigeria," SAGE Open, , vol. 8(2), pages 21582440187, April.
- Wang, Ling, 2022. "The dynamics of money supply determination under asset purchase programs: A market-based versus a bank-based financial system," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
- Pawe³ Œliwiñski, 2023. "Endogenous money supply, global liquidity and financial transactions: Panel evidence from OECD countries," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 18(1), pages 121-152, March.
- Clavero, Borja, 2017. "A contribution to the Quantity Theory of Disaggregated Credit," MPRA Paper 76657, University Library of Munich, Germany.
- Setareh Katircioglu & Salih Katircioglu & Farid Irani, 2023. "Links between growth, trade and financial openness in South Africa: An empirical investigation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4324-4330, October.
- Lee, Kang-Soek & Werner, Richard A., 2018. "Reconsidering Monetary Policy: An Empirical Examination of the Relationship Between Interest Rates and Nominal GDP Growth in the U.S., U.K., Germany and Japan," Ecological Economics, Elsevier, vol. 146(C), pages 26-34.
- David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
- Alexey Ponomarenko, 2019.
"Do sterilized foreign exchange interventions create money?,"
Bank of Russia Working Paper Series
wps40, Bank of Russia.
- Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2015.
"Robust approaches to forecasting,"
International Journal of Forecasting, Elsevier, vol. 31(1), pages 99-112.
See citations under working paper version above.
- Jennifer Castle & David Hendry & Michael P. Clements, 2014. "Robust Approaches to Forecasting," Economics Series Working Papers 697, University of Oxford, Department of Economics.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Felix Pretis, 2015.
"Detecting Location Shifts during Model Selection by Step-Indicator Saturation,"
Econometrics, MDPI, vol. 3(2), pages 1-25, April.
Cited by:
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2021.
"Modelling non-stationary ‘Big Data’,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1556-1575.
- Jennifer Castle & Jurgen Doornik & David Hendry, 2020. "Modelling Non-stationary 'Big Data'," Economics Series Working Papers 905, University of Oxford, Department of Economics.
- Josh R. Stillwagon, 2014.
"Non-Linear Exchange Rate Relationships: An Automated Model Selection Approach with Indicator Saturation,"
Working Papers
1405, Trinity College, Department of Economics.
- Stillwagon, Josh R., 2016. "Non-linear exchange rate relationships: An automated model selection approach with indicator saturation," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 84-109.
- Liqian Cai & Arnab Bhattacharjee & Roger Calantone & Taps Maiti, 2019. "Variable Selection with Spatially Autoregressive Errors: A Generalized Moments LASSO Estimator," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(1), pages 146-200, September.
- Jeyhun I. Mikayilov & Shahriyar Mukhtarov & Hasan Dinçer & Serhat Yüksel & Rıdvan Aydın, 2020. "Elasticity Analysis of Fossil Energy Sources for Sustainable Economies: A Case of Gasoline Consumption in Turkey," Energies, MDPI, vol. 13(3), pages 1-15, February.
- Neil R. Ericsson, 2015.
"Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis,"
International Finance Discussion Papers
1152, Board of Governors of the Federal Reserve System (U.S.).
- Ericsson, Neil R., 2016. "Eliciting GDP forecasts from the FOMC’s minutes around the financial crisis," International Journal of Forecasting, Elsevier, vol. 32(2), pages 571-583.
- Neil R. Ericsson, 2015. "Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis," Working Papers 2015-003, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Jennifer L. Castle & Michael P. Clements & David F. Hendry, 2016.
"An Overview of Forecasting Facing Breaks,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 3-23, September.
- Jennifer Castle & David Hendry & Michael P. Clements, 2016. "An Overview of Forecasting Facing Breaks," Economics Series Working Papers 779, University of Oxford, Department of Economics.
- Wildauer, Rafael & Leitch, Stuart & Kapeller, Jakob, 2021.
"Is a €10 trillion European climate investment initiative fiscally sustainable?,"
Greenwich Papers in Political Economy
34344, University of Greenwich, Greenwich Political Economy Research Centre.
- Kapeller, Jakob & Leitch, Stuart & Wildauer, Rafae, 2021. "Is a €10 trillion European climate investment initiative fiscally sustainable?," ifso working paper series 16, University of Duisburg-Essen, Institute for Socioeconomics (ifso).
- Rafael Wildauer & Stuart Leitch & Jakob Kapeller, 2021. "Is a €10 trillion European climate investment initiative fiscally sustainable?," Working Papers PKWP2121, Post Keynesian Economics Society (PKES).
- Andrew B. Martinez, 2020.
"Forecast Accuracy Matters for Hurricane Damages,"
Working Papers
2020-003, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Andrew B. Martinez, 2020. "Forecast Accuracy Matters for Hurricane Damage," Econometrics, MDPI, vol. 8(2), pages 1-24, May.
- Hendry, David F., 2018.
"Deciding between alternative approaches in macroeconomics,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 119-135.
- David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
- Kaufmann, Robert K. & Schroer, Colter, 2023. "Social and environmental events disrupt the relation between motor gasoline prices and market fundamentals," Energy Economics, Elsevier, vol. 126(C).
- Ericsson, Neil R., 2017. "Interpreting estimates of forecast bias," International Journal of Forecasting, Elsevier, vol. 33(2), pages 563-568.
- Chuffart, Thomas & Hooper, Emma, 2019.
"An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela,"
Energy Economics, Elsevier, vol. 80(C), pages 904-916.
- Thomas Chuffart & Emma Hooper, 2019. "An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela," Post-Print hal-02194152, HAL.
- Thomas Chuffart & Emma Hooper, 2019. "An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela," Post-Print hal-03157206, HAL.
- Jennifer Castle & Takamitsu Kurita, 2019. "Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks," Economics Series Working Papers 866, University of Oxford, Department of Economics.
- John Muellbauer, 2016.
"Macroeconomics and Consumption,"
Economics Series Working Papers
Paper-811, University of Oxford, Department of Economics.
- Muellbauer, John, 2016. "Macroeconomics and Consumption," CEPR Discussion Papers 11588, C.E.P.R. Discussion Papers.
- Møller, Niels Framroze & Andersen, Laura Mørch & Hansen, Lars Gårn & Jensen, Carsten Lynge, 2019. "Can pecuniary and environmental incentives via SMS messaging make households adjust their electricity demand to a fluctuating production?," Energy Economics, Elsevier, vol. 80(C), pages 1050-1058.
- Pretis, Felix, 2020. "Econometric modelling of climate systems: The equivalence of energy balance models and cointegrated vector autoregressions," Journal of Econometrics, Elsevier, vol. 214(1), pages 256-273.
- Shahriyar Mukhtarov & Jeyhun I. Mikayilov & Sugra Humbatova & Vugar Muradov, 2020. "Do High Oil Prices Obstruct the Transition to Renewable Energy Consumption?," Sustainability, MDPI, vol. 12(11), pages 1-16, June.
- Jennifer L. Castle & David F. Hendry & Andrew B. Martinez, 2017. "Evaluating Forecasts, Narratives and Policy Using a Test of Invariance," Econometrics, MDPI, vol. 5(3), pages 1-27, September.
- Ahumada, H. & Cornejo, M., 2016. "Forecasting food prices: The case of corn, soybeans and wheat," International Journal of Forecasting, Elsevier, vol. 32(3), pages 838-848.
- Felix Pretis & Michael Mann & Robert Kaufmann, 2015. "Testing competing models of the temperature hiatus: assessing the effects of conditioning variables and temporal uncertainties through sample-wide break detection," Climatic Change, Springer, vol. 131(4), pages 705-718, August.
- Neil R. Ericsson, 2016.
"Economic Forecasting in Theory and Practice : An Interview with David F. Hendry,"
International Finance Discussion Papers
1184, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson, 2016. "Economic Forecasting in Theory and Practice: An Interview with David F. Hendry," Working Papers 2016-012, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Ericsson, Neil R., 2017. "Economic forecasting in theory and practice: An interview with David F. Hendry," International Journal of Forecasting, Elsevier, vol. 33(2), pages 523-542.
- Takamitsu Kurita & Patrick James, 2022. "The Canadian–US dollar exchange rate over the four decades of the post‐Bretton Woods float: An econometric study allowing for structural breaks," Metroeconomica, Wiley Blackwell, vol. 73(3), pages 856-883, July.
- David F. Hendry & Felix Pretis, 2020.
"Analyzing Differences between Scenarios,"
Economics Papers
2020-W05, Economics Group, Nuffield College, University of Oxford.
- Hendry, David F. & Pretis, Felix, 2023. "Analysing differences between scenarios," International Journal of Forecasting, Elsevier, vol. 39(2), pages 754-771.
- Castle, Jennifer L. & Kurita, Takamitsu, 2021. "A dynamic econometric analysis of the dollar-pound exchange rate in an era of structural breaks and policy regime shifts," Journal of Economic Dynamics and Control, Elsevier, vol. 128(C).
- Pellini, Elisabetta, 2021. "Estimating income and price elasticities of residential electricity demand with Autometrics," Energy Economics, Elsevier, vol. 101(C).
- Neil R. Ericsson & Mohammed H. I. Dore & Hassan Butt, 2022. "Detecting and Quantifying Structural Breaks in Climate," Econometrics, MDPI, vol. 10(4), pages 1-27, November.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Karsten Kohler & Engelbert Stockhammer, 2022.
"Flexible exchange rates in emerging markets: shock absorbers or drivers of endogenous cycles?,"
Working Papers
PKWP2205, Post Keynesian Economics Society (PKES).
- Karsten Kohler & Engelbert Stockhammer, 2023. "Flexible exchange rates in emerging markets: shock absorbers or drivers of endogenous cycles?," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 32(2), pages 551-572.
- David Hendry & Grayham E. Mizon, 2016.
"Improving the Teaching of Econometrics,"
Economics Series Working Papers
785, University of Oxford, Department of Economics.
- David F. Hendry & Grayham E. Mizon, 2016. "Improving the teaching of econometrics," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1170096-117, December.
- Hildegart Ahumada & Magdalena Cornejo, 2021. "Are Soybean Yields Getting a Free Ride from Climate Change? Evidence from Argentine Time Series Data," Econometrics, MDPI, vol. 9(2), pages 1-14, June.
- Apergis, Nicholas & Pan, Wei-Fong & Reade, James & Wang, Shixuan, 2023. "Modelling Australian electricity prices using indicator saturation," Energy Economics, Elsevier, vol. 120(C).
- Castle, Jennifer L. & Hendry, David F. & Martinez, Andrew B., 2023. "The historical role of energy in UK inflation and productivity with implications for price inflation," Energy Economics, Elsevier, vol. 126(C).
- Roman Frydman & Soren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2021. "Asset Prices Under Knightian Uncertainty," Working Papers Series inetwp172, Institute for New Economic Thinking.
- Sucarrat, Genaro, 2019. "User-Specified General-to-Specific and Indicator Saturation Methods," MPRA Paper 96148, University Library of Munich, Germany.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021.
"Selecting a Model for Forecasting,"
Econometrics, MDPI, vol. 9(3), pages 1-35, June.
- Jennifer Castle & Jurgen Doornik & David Hendry, 2018. "Selecting a Model for Forecasting," Economics Series Working Papers 861, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2023.
"Robust Discovery of Regression Models,"
Econometrics and Statistics, Elsevier, vol. 26(C), pages 31-51.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2020. "Robust Discovery of Regression Models," Economics Papers 2020-W04, Economics Group, Nuffield College, University of Oxford.
- Neil R. Ericsson, 2017.
"How Biased Are U.S. Government Forecasts of the Federal Debt?,"
Working Papers
2017-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Ericsson, Neil R., 2017. "How biased are U.S. government forecasts of the federal debt?," International Journal of Forecasting, Elsevier, vol. 33(2), pages 543-559.
- Neil R. Ericsson, 2017. "How Biased Are U.S. Government Forecasts of the Federal Debt?," International Finance Discussion Papers 1189, Board of Governors of the Federal Reserve System (U.S.).
- Mukanjari, Samson & Sterner, Thomas, 2018. "Do Markets Trump Politics? Evidence from Fossil Market Reactions to the Paris Agreement and the U.S. Election," Working Papers in Economics 728, University of Gothenburg, Department of Economics.
- Jennifer L. Castle & David F. Hendry & Andrew B. Martinez, 2022.
"The historical role of energy in UK inflation and productivity and implications for price inflation in 2022,"
Economics Series Working Papers
983, University of Oxford, Department of Economics.
- Jennifer L. Castle & David F. Hendry & Andrew B. Martinez, 2022. "The Historical Role of Energy in UK Inflation and Productivity and Implications for Price Inflation in 2022," Working Papers 2022-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Bjerregaard, Casper & Møller, Niels Framroze, 2022. "The influence of electricity prices on saving electricity in production: Automated multivariate time-series analyses for 99 Danish trades and industries," Energy Economics, Elsevier, vol. 107(C).
- Frydman, Roman & Stillwagon, Joshua R., 2018. "Fundamental factors and extrapolation in stock-market expectations: The central role of structural change," Journal of Economic Behavior & Organization, Elsevier, vol. 148(C), pages 189-198.
- James Reade & Genaro Sucarrat, 2016. "General-to-Specific (GETS) Modelling And Indicator Saturation With The R Package Gets," Economics Series Working Papers 794, University of Oxford, Department of Economics.
- Doornik, Jurgen A. & Castle, Jennifer L. & Hendry, David F., 2022. "Short-term forecasting of the coronavirus pandemic," International Journal of Forecasting, Elsevier, vol. 38(2), pages 453-466.
- Roman Frydman & Morten Nyboe Tabor, 2022. "Muth's Hypothesis Under Knightian Uncertainty: A Novel Account of Inflation Forecasts," Working Papers Series inetwp194, Institute for New Economic Thinking.
- Andrew B. Martinez & Jennifer L. Castle & David F. Hendry, 2022.
"Smooth Robust Multi-Horizon Forecasts,"
Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, volume 43, pages 143-165,
Emerald Group Publishing Limited.
- Andrew B. Martinez & Jennifer L. Castle & David F. Hendry, 2021. "Smooth Robust Multi-Horizon Forecasts," Economics Papers 2021-W01, Economics Group, Nuffield College, University of Oxford.
- Andrew B. Martinez & Jennifer L. Castle & David F. Hendry, 2020. "Smooth Robust Multi-Horizon Forecasts," Working Papers 2020-009, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- James A. Duffy & David F. Hendry, 2017.
"The impact of integrated measurement errors on modeling long-run macroeconomic time series,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 568-587, October.
- James Duffy & David Hendry, 2017. "The Impact of Integrated Measurement Errors on Modelling Long-run Macroeconomic Time Series," Economics Series Working Papers 818, University of Oxford, Department of Economics.
- David Hendry & Lea Schneider & Jason E. Smerdon, 2016.
"Detecting Volcanic Eruptions in Temperature Reconstructions by Designed Break-Indicator Saturation,"
Economics Series Working Papers
780, University of Oxford, Department of Economics.
- Felix Pretis & Lea Schneider & Jason E. Smerdon & David F. Hendry, 2016. "Detecting Volcanic Eruptions In Temperature Reconstructions By Designed Break-Indicator Saturation," Journal of Economic Surveys, Wiley Blackwell, vol. 30(3), pages 403-429, July.
- Sara Muhammadullah & Amena Urooj & Faridoon Khan, 2021. "A revisit of the unemployment rate, interest rate, GDP growth and Inflation of Pakistan: Whether Structural break or unit root?," iRASD Journal of Economics, International Research Alliance for Sustainable Development (iRASD), vol. 3(2), pages 80-92, September.
- David H. Bernstein & Andrew B. Martinez, 2021.
"Jointly Modeling Male and Female Labor Participation and Unemployment,"
Working Papers
2021-006, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- David H. Bernstein & Andrew B. Martinez, 2021. "Jointly Modeling Male and Female Labor Participation and Unemployment," Econometrics, MDPI, vol. 9(4), pages 1-14, December.
- Felix Pretis, 2015. "Econometric Models of Climate Systems: The Equivalence of Two-Component Energy Balance Models and Cointegrated VARs," Economics Series Working Papers 750, University of Oxford, Department of Economics.
- Leighton Vaughan Williams & J. James Reade, 2016. "Prediction Markets, Social Media and Information Efficiency," Kyklos, Wiley Blackwell, vol. 69(3), pages 518-556, August.
- Jennifer Castle & David Hendry, 2016. "Policy Analysis, Forediction, and Forecast Failure," Economics Series Working Papers 809, University of Oxford, Department of Economics.
- Scheer, Antonina & Schwarz, Moritz & Hopkins, Debbie & Caldecott, Ben, 2022. "Whose jobs face transition risk in Alberta? Understanding sectoral employment precarity in an oil-rich Canadian province," LSE Research Online Documents on Economics 115358, London School of Economics and Political Science, LSE Library.
- Jurgen A. Doornik & David F. Hendry, 2016. "Outliers and Model Selection: Discussion of the Paper by Søren Johansen and Bent Nielsen," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(2), pages 360-365, June.
- Samson Mukanjari & Thomas Sterner, 2024. "Do markets Trump politics? Fossil and renewable market reactions to major political events," Economic Inquiry, Western Economic Association International, vol. 62(2), pages 805-836, April.
- Felix Pretis, 2022. "Does a Carbon Tax Reduce CO2 Emissions? Evidence from British Columbia," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 83(1), pages 115-144, September.
- Jeronymo Marcondes Pinto & Jennifer L. Castle, 2022. "Machine Learning Dynamic Switching Approach to Forecasting in the Presence of Structural Breaks," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(2), pages 129-157, July.
- Roman Frydman & Joshua R. Stillwagon, 2016. "Stock-Market Expectations: Econometric Evidence that both REH and Behavioral Insights Matter," Working Papers Series 44, Institute for New Economic Thinking.
- Kaufmann, Robert K., 2023. "Energy price volatility affects decisions to purchase energy using capital: Motor vehicles," Energy Economics, Elsevier, vol. 126(C).
- Senra, Eva & Espasa, Antoni, 2017. "22 Years of inflation assessment and forecasting experience at the bulletin of EU & US inflation and macroeconomic analysis," DES - Working Papers. Statistics and Econometrics. WS 24678, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2020. "Short-term forecasting of the Coronavirus Pandemic - 2020-04-27," Economics Papers 2020-W06, Economics Group, Nuffield College, University of Oxford.
- David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
- Niels Framroze Møller & Laura Mørch Andersen & Lars Gårn Hansen & Carsten Lynge Jensen, 2018. "Can pecuniary and environmental incentives via SMS messaging make households adjust their intra-day electricity demand to a fluctuating production?," IFRO Working Paper 2018/06, University of Copenhagen, Department of Food and Resource Economics.
- Antoni Espasa & Eva Senra, 2017. "Twenty-Two Years of Inflation Assessment and Forecasting Experience at the Bulletin of EU & US Inflation and Macroeconomic Analysis," Econometrics, MDPI, vol. 5(4), pages 1-28, October.
- Mikayilov, Jeyhun I. & Darandary, Abdulelah & Alyamani, Ryan & Hasanov, Fakhri J. & Alatawi, Hatem, 2020. "Regional heterogeneous drivers of electricity demand in Saudi Arabia: Modeling regional residential electricity demand," Energy Policy, Elsevier, vol. 146(C).
- Philippe Goulet Coulombe, 2020. "Time-Varying Parameters as Ridge Regressions," Papers 2009.00401, arXiv.org, revised Apr 2023.
- Ryan-Collins, Josh & Werner, Richard A. & Castle, Jennifer, 2016. "A half-century diversion of monetary policy? An empirical horse-race to identify the UK variable most likely to deliver the desired nominal GDP growth rate," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 43(C), pages 158-176.
- Ericsson Neil R., 2016. "Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(4), pages 377-398, September.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2021.
"Modelling non-stationary ‘Big Data’,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1556-1575.
- Castle, Jennifer L. & Hendry, David F., 2014.
"Model selection in under-specified equations facing breaks,"
Journal of Econometrics, Elsevier, vol. 178(P2), pages 286-293.
See citations under working paper version above.
- David Hendry & Jennifer L. Castle, 2010. "Model Selection in Under-specified Equations Facing Breaks," Economics Series Working Papers 509, University of Oxford, Department of Economics.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Ragnar Nymoen, 2014.
"Misspecification Testing: Non-Invariance of Expectations Models of Inflation,"
Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 553-574, August.
See citations under working paper version above.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry & Ragnar Nymoen, 2012. "Mis-specification Testing: Non-Invariance of Expectations Models of Inflation," Working Paper series 50_12, Rimini Centre for Economic Analysis.
- Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2013.
"Forecasting by factors, by variables, by both or neither?,"
Journal of Econometrics, Elsevier, vol. 177(2), pages 305-319.
Cited by:
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2021.
"Modelling non-stationary ‘Big Data’,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1556-1575.
- Jennifer Castle & Jurgen Doornik & David Hendry, 2020. "Modelling Non-stationary 'Big Data'," Economics Series Working Papers 905, University of Oxford, Department of Economics.
- Jennifer Castle & David Hendry & Michael P. Clements, 2014.
"Robust Approaches to Forecasting,"
Economics Series Working Papers
697, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Clements, Michael P. & Hendry, David F., 2015. "Robust approaches to forecasting," International Journal of Forecasting, Elsevier, vol. 31(1), pages 99-112.
- Pinto, Jeronymo Marcondes & Marçal, Emerson Fernandes, 2019. "Cross-validation based forecasting method: a machine learning approach," Textos para discussão 498, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Emmanuel Flachaire & Gilles Hacheme & Sullivan Hu'e & S'ebastien Laurent, 2022. "GAM(L)A: An econometric model for interpretable Machine Learning," Papers 2203.11691, arXiv.org.
- Jennifer L. Castle & Michael P. Clements & David F. Hendry, 2016.
"An Overview of Forecasting Facing Breaks,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 3-23, September.
- Jennifer Castle & David Hendry & Michael P. Clements, 2016. "An Overview of Forecasting Facing Breaks," Economics Series Working Papers 779, University of Oxford, Department of Economics.
- Thiago Carlomagno Carlo & Emerson Fernandes Marçal, 2016.
"Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon,"
Applied Economics, Taylor & Francis Journals, vol. 48(50), pages 4846-4860, October.
- Carlos, Thiago Carlomagno & Marçal, Emerson Fernandes, 2013. "Forecasting Brazilian inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizon," Textos para discussão 346, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers 1311, Board of Governors of the Federal Reserve System (U.S.).
- Niu, Linlin & Xu, Xiu & Chen, Ying, 2017.
"An adaptive approach to forecasting three key macroeconomic variables for transitional China,"
Economic Modelling, Elsevier, vol. 66(C), pages 201-213.
- Linlin Niu & Xiu Xu & Ying Chen, 2015. "An Adaptive Approach to Forecasting Three Key Macroeconomic Variables for Transitional China," SFB 649 Discussion Papers SFB649DP2015-023, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Niu, Linlin & Xu, Xiu & Chen, Ying, 2015. "An adaptive approach to forecasting three key macroeconomic variables for transitional China," BOFIT Discussion Papers 12/2015, Bank of Finland Institute for Emerging Economies (BOFIT).
- Dellas, Harris & Gibson, Heather D. & Hall, Stephen G. & Tavlas, George S., 2018. "The macroeconomic and fiscal implications of inflation forecast errors," Journal of Economic Dynamics and Control, Elsevier, vol. 93(C), pages 203-217.
- Neil R. Ericsson, 2016.
"Economic Forecasting in Theory and Practice : An Interview with David F. Hendry,"
International Finance Discussion Papers
1184, Board of Governors of the Federal Reserve System (U.S.).
- Neil R. Ericsson, 2016. "Economic Forecasting in Theory and Practice: An Interview with David F. Hendry," Working Papers 2016-012, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Ericsson, Neil R., 2017. "Economic forecasting in theory and practice: An interview with David F. Hendry," International Journal of Forecasting, Elsevier, vol. 33(2), pages 523-542.
- Neil R. Ericsson & Mohammed H. I. Dore & Hassan Butt, 2022. "Detecting and Quantifying Structural Breaks in Climate," Econometrics, MDPI, vol. 10(4), pages 1-27, November.
- Corradi, Valentina & Swanson, Norman R., 2014.
"Testing for structural stability of factor augmented forecasting models,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 100-118.
- Valentina Corradi & Norman Swanson, 2013. "Testing for Structural Stability of Factor Augmented Forecasting Models," Departmental Working Papers 201314, Rutgers University, Department of Economics.
- Anh Dinh Minh Nguyen, 2017. "U.K. Monetary Policy under Inflation Targeting," Bank of Lithuania Working Paper Series 41, Bank of Lithuania.
- Neil R. Ericsson, 2017.
"How Biased Are U.S. Government Forecasts of the Federal Debt?,"
Working Papers
2017-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Ericsson, Neil R., 2017. "How biased are U.S. government forecasts of the federal debt?," International Journal of Forecasting, Elsevier, vol. 33(2), pages 543-559.
- Neil R. Ericsson, 2017. "How Biased Are U.S. Government Forecasts of the Federal Debt?," International Finance Discussion Papers 1189, Board of Governors of the Federal Reserve System (U.S.).
- Sullivan Hué, 2022. "GAM(L)A: An econometric model for interpretable machine learning," French Stata Users' Group Meetings 2022 19, Stata Users Group.
- Wang, Xiaoqian & Hyndman, Rob J. & Li, Feng & Kang, Yanfei, 2023. "Forecast combinations: An over 50-year review," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1518-1547.
- Michael P. Clements, 2014.
"Real-Time Factor Model Forecasting and the Effects of Instability,"
ICMA Centre Discussion Papers in Finance
icma-dp2014-05, Henley Business School, University of Reading.
- Clements, Michael P., 2016. "Real-time factor model forecasting and the effects of instability," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 661-675.
- Michael S. Lee-Browne, 2019. "Estimating monetary policy rules in small open economies," Working Papers 2019-002, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Charles Rahal, 2015. "Housing Market Forecasting with Factor Combinations," Discussion Papers 15-05, Department of Economics, University of Birmingham.
- Jack Fosten, 2016.
"Model selection with factors and variables,"
University of East Anglia School of Economics Working Paper Series
2016-07, School of Economics, University of East Anglia, Norwich, UK..
- Jack Fosten, 2017. "Model selection with estimated factors and idiosyncratic components," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(6), pages 1087-1106, September.
- Kitlinski, Tobias, 2015. "With or without you: Do financial data help to forecast industrial production?," Ruhr Economic Papers 558, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Jennifer Castle & David Hendry & Oleg Kitov, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
- Jack Fosten, 2016. "Forecast evaluation with factor-augmented models," University of East Anglia School of Economics Working Paper Series 2016-05, School of Economics, University of East Anglia, Norwich, UK..
- Yuxuan Huang, 2016. "Forecasting the USD/CNY Exchange Rate under Different Policy Regimes," Working Papers 2016-001, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2021.
"Modelling non-stationary ‘Big Data’,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1556-1575.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2013.
"Model Selection in Equations with Many ‘Small’ Effects,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(1), pages 6-22, February.
See citations under working paper version above.
- Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2012. "Model Selection in Equations with Many 'Small' Effects," Working Paper series 53_12, Rimini Centre for Economic Analysis.
- Jennifer Castle & David Hendry, 2011. "Model Selection in Equations with Many 'Small' Effects," Economics Series Working Papers 528, University of Oxford, Department of Economics.
- Jennifer L. Castle & Xiaochuan Qin & W. Robert Reed, 2013.
"Using Model Selection Algorithms To Obtain Reliable Coefficient Estimates,"
Journal of Economic Surveys, Wiley Blackwell, vol. 27(2), pages 269-296, April.
See citations under working paper version above.
- Jennifer Castle & Xiaochuan Qin & W. Robert Reed, 2011. "Using Model Selection Algorthims to Obtain Reliable Coefficient Estimates," Working Papers in Economics 11/03, University of Canterbury, Department of Economics and Finance.
- Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2012.
"Model selection when there are multiple breaks,"
Journal of Econometrics, Elsevier, vol. 169(2), pages 239-246.
See citations under working paper version above.
- Jennifer Castle & David Hendry & Jurgen A. Doornik, 2008. "Model Selection when there are Multiple Breaks," Economics Series Working Papers 407, University of Oxford, Department of Economics.
- Castle Jennifer L. & Doornik Jurgen A & Hendry David F., 2011.
"Evaluating Automatic Model Selection,"
Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-33, February.
See citations under working paper version above.
- Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010. "Evaluating Automatic Model Selection," Economics Series Working Papers 474, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Hendry, David F., 2010.
"A low-dimension portmanteau test for non-linearity,"
Journal of Econometrics, Elsevier, vol. 158(2), pages 231-245, October.
See citations under working paper version above.
- Jennifer Castle & David Hendry, 2010. "A Low-Dimension Portmanteau Test for Non-linearity," Economics Series Working Papers 471, University of Oxford, Department of Economics.
- Jennifer L. Castle & David F. Hendry, 2010.
"Nowcasting from disaggregates in the face of location shifts,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 200-214.
Cited by:
- Gian Luigi Mazzi & James Mitchell & Gaetana Montana, 2014. "Density Nowcasts and Model Combination: Nowcasting Euro-Area GDP Growth over the 2008–09 Recession," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 76(2), pages 233-256, April.
- Jennifer L. Castle & Michael P. Clements & David F. Hendry, 2016.
"An Overview of Forecasting Facing Breaks,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 3-23, September.
- Jennifer Castle & David Hendry & Michael P. Clements, 2016. "An Overview of Forecasting Facing Breaks," Economics Series Working Papers 779, University of Oxford, Department of Economics.
- Neil R. Ericsson & Erica L. Reisman, 2012.
"Evaluating a Global Vector Autoregression for Forecasting,"
Working Papers
2012-006, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Neil R. Ericsson & Erica L. Reisman, 2012. "Evaluating a global vector autoregression for forecasting," International Finance Discussion Papers 1056, Board of Governors of the Federal Reserve System (U.S.).
- Neil Ericsson & Erica Reisman, 2012. "Evaluating a Global Vector Autoregression for Forecasting," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 18(3), pages 247-258, August.
- Ralf Brüggemann & Helmut Lütkepohl, 2011.
"Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights,"
Working Paper Series of the Department of Economics, University of Konstanz
2011-23, Department of Economics, University of Konstanz.
- Ralf Brueggemann & Helmut Luetkepohl, 2011. "Forecasting Contemporaneous Aggregates with Stochastic Aggregation Weights," Economics Working Papers ECO2011/17, European University Institute.
- Brüggemann, Ralf & Lütkepohl, Helmut, 2013. "Forecasting contemporaneous aggregates with stochastic aggregation weights," International Journal of Forecasting, Elsevier, vol. 29(1), pages 60-68.
- Matteo Mogliani & Anna Simoni, 2020.
"Bayesian MIDAS penalized regressions: Estimation, selection, and prediction,"
Post-Print
hal-03089878, HAL.
- Matteo Mogliani, 2019. "Bayesian MIDAS penalized regressions: estimation, selection, and prediction," Working papers 713, Banque de France.
- Mogliani, Matteo & Simoni, Anna, 2021. "Bayesian MIDAS penalized regressions: Estimation, selection, and prediction," Journal of Econometrics, Elsevier, vol. 222(1), pages 833-860.
- Matteo Mogliani & Anna Simoni, 2019. "Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction," Papers 1903.08025, arXiv.org, revised Jun 2020.
- Pablo Duarte & Bernd Süssmuth, 2014. "Robust Implementation of a Parsimonious Dynamic Factor Model to Nowcast GDP," CESifo Working Paper Series 4574, CESifo.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Carlomagno, Guillermo & Espasa, Antoni, 2015. "Forecasting a large set of disaggregates with common trends and outliers," DES - Working Papers. Statistics and Econometrics. WS ws1518, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Carlomagno Real, Guillermo & Espasa, Antoni, 2017. "Discovering pervasive and non-pervasive common cycles," DES - Working Papers. Statistics and Econometrics. WS 25392, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Larson, William D. & Sinclair, Tara M., 2022.
"Nowcasting unemployment insurance claims in the time of COVID-19,"
International Journal of Forecasting, Elsevier, vol. 38(2), pages 635-647.
- William D. Larson & Tara M. Sinclair, 2020. "Nowcasting unemployment insurance claims in the time of COVID-19," CAMA Working Papers 2020-63, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- William D. Larson & Tara M. Sinclair, 2020. "Nowcasting Unemployment Insurance Claims in the Time of COVID-19," FHFA Staff Working Papers 20-02, Federal Housing Finance Agency.
- William D. Larson & Tara M. Sinclair, 2020. "Nowcasting Unemployment Insurance Claims in the Time of COVID-19," Working Papers 2020-004, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting, revised Aug 2020.
- David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.
- Cai, Charlie X. & Kyaw, Khine & Zhang, Qi, 2012. "Stock index return forecasting: The information of the constituents," Economics Letters, Elsevier, vol. 116(1), pages 72-74.
- Carlomagno, Guillermo & Espasa, Antoni, 2016. "Discovering common trends in a large set of disaggregates: statistical procedures and their properties," DES - Working Papers. Statistics and Econometrics. WS ws1519, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
- Guillermo Carlomagno & Antoni Espasa, 2021. "Discovering Specific Common Trends in a Large Set of Disaggregates: Statistical Procedures, their Properties and an Empirical Application," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 641-662, June.
- Jennifer Castle & David Hendry & Oleg Kitov, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
- Roberto Cerina & Raymond Duch, 2021. "Polling India via regression and post-stratification of non-probability online samples," PLOS ONE, Public Library of Science, vol. 16(11), pages 1-34, November.
- William Larson, 2015. "Forecasting an Aggregate in the Presence of Structural Breaks in the Disaggregates," Working Papers 2015-002, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Castle, Jennifer L. & Fawcett, Nicholas W.P. & Hendry, David F., 2010.
"Forecasting with equilibrium-correction models during structural breaks,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 25-36, September.
See citations under working paper version above.
- Jennifer Castle & David Hendry & Nicholas W.P. Fawcett, 2008. "Forecasting with Equilibrium-correction Models during Structural Breaks," Economics Series Working Papers 408, University of Oxford, Department of Economics.
- Castle, Jennifer L. & Fawcett, Nicholas W.P. & Hendry, David F., 2009.
"Nowcasting is not Just Contemporaneous Forecasting,"
National Institute Economic Review, National Institute of Economic and Social Research, vol. 210, pages 71-89, October.
- Jennifer L. Castle & Nicholas W.P. Fawcett & David F. Hendry, 2009. "Nowcasting Is Not Just Contemporaneous Forecasting," National Institute Economic Review, National Institute of Economic and Social Research, vol. 210(1), pages 71-89, October.
Cited by:
- Mioara, POPESCU, 2015. "Construction Of Economic Indicators Using Internet Searches," Annals of Spiru Haret University, Economic Series, Universitatea Spiru Haret, vol. 6(1), pages 25-31.
- Grzegorz Michal Bulczak, 2021. "Use of Google Trends to Predict the Real Estate Market: Evidence from the United Kingdom," International Real Estate Review, Global Social Science Institute, vol. 24(4), pages 613-631.
- Jennifer L. Castle & Michael P. Clements & David F. Hendry, 2016.
"An Overview of Forecasting Facing Breaks,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 3-23, September.
- Jennifer Castle & David Hendry & Michael P. Clements, 2016. "An Overview of Forecasting Facing Breaks," Economics Series Working Papers 779, University of Oxford, Department of Economics.
- David Hendry, 2011.
"Empirical Economic Model Discovery and Theory Evaluation,"
Economics Series Working Papers
529, University of Oxford, Department of Economics.
- David F. Hendry, 2011. "Empirical Economic Model Discovery and Theory Evaluation," Rationality, Markets and Morals, Frankfurt School Verlag, Frankfurt School of Finance & Management, vol. 2(46), October.
- Hendry, David F., 2018.
"Deciding between alternative approaches in macroeconomics,"
International Journal of Forecasting, Elsevier, vol. 34(1), pages 119-135.
- David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
- Neil R. Ericsson & Erica L. Reisman, 2012.
"Evaluating a Global Vector Autoregression for Forecasting,"
Working Papers
2012-006, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Neil R. Ericsson & Erica L. Reisman, 2012. "Evaluating a global vector autoregression for forecasting," International Finance Discussion Papers 1056, Board of Governors of the Federal Reserve System (U.S.).
- Neil Ericsson & Erica Reisman, 2012. "Evaluating a Global Vector Autoregression for Forecasting," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 18(3), pages 247-258, August.
- Matteo Mogliani & Anna Simoni, 2020.
"Bayesian MIDAS penalized regressions: Estimation, selection, and prediction,"
Post-Print
hal-03089878, HAL.
- Matteo Mogliani, 2019. "Bayesian MIDAS penalized regressions: estimation, selection, and prediction," Working papers 713, Banque de France.
- Mogliani, Matteo & Simoni, Anna, 2021. "Bayesian MIDAS penalized regressions: Estimation, selection, and prediction," Journal of Econometrics, Elsevier, vol. 222(1), pages 833-860.
- Matteo Mogliani & Anna Simoni, 2019. "Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction," Papers 1903.08025, arXiv.org, revised Jun 2020.
- Giacomo Caterini, 2018. "Classifying Firms with Text Mining," DEM Working Papers 2018/09, Department of Economics and Management.
- Chauvet, Marcelle & Gabriel, Stuart & Lutz, Chandler, 2016. "Mortgage default risk: New evidence from internet search queries," Journal of Urban Economics, Elsevier, vol. 96(C), pages 91-111.
- Amstad, Marlene & Fischer, Andreas M., 2010.
"Monthly pass-through ratios,"
Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1202-1213, July.
- Marlene Amstad & Andreas M. Fischer, 2009. "Monthly pass-through ratios," Globalization Institute Working Papers 26, Federal Reserve Bank of Dallas.
- Pablo Duarte & Bernd Süssmuth, 2014. "Robust Implementation of a Parsimonious Dynamic Factor Model to Nowcast GDP," CESifo Working Paper Series 4574, CESifo.
- Jennifer L. Castle & David F. Hendry, 2010. "Nowcasting from disaggregates in the face of location shifts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 200-214.
- Han Liu & Yongjing Wang & Haiyan Song & Ying Liu, 2023. "Measuring tourism demand nowcasting performance using a monotonicity test," Tourism Economics, , vol. 29(5), pages 1302-1327, August.
- Popescu Mioara, 2017. "Modelling prediction of unemployment statistics using web technologies," HOLISTICA – Journal of Business and Public Administration, Sciendo, vol. 8(3), pages 55-60, December.
- Duarte, Pablo & Süßmuth, Bernd, 2018.
"Implementing an approximate dynamic factor model to nowcast GDP using sensitivity analysis,"
Working Papers
152, University of Leipzig, Faculty of Economics and Management Science.
- Pablo Duarte & Bernd Süssmuth, 2018. "Implementing an Approximate Dynamic Factor Model to Nowcast GDP Using Sensitivity Analysis," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 14(1), pages 127-141, April.
- Christopher Adam & David Cobham, 2009.
"Using Real-Time Output Gaps To Examine Past And Future Policy Choices,"
National Institute Economic Review, National Institute of Economic and Social Research, vol. 210(1), pages 98-110, October.
- Adam, Christopher & Cobham, David, 2009. "Using Real-Time Output Gaps to Examine Past and Future Policy Choices," National Institute Economic Review, National Institute of Economic and Social Research, vol. 210, pages 98-110, October.
- Anh Dinh Minh Nguyen, 2017. "U.K. Monetary Policy under Inflation Targeting," Bank of Lithuania Working Paper Series 41, Bank of Lithuania.
- Livio Fenga, 2020. "Filtering and prediction of noisy and unstable signals: The case of Google Trends data," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 281-295, March.
- Damien Challet & Ahmed Bel Hadj Ayed, 2015.
"Do Google Trend data contain more predictability than price returns?,"
Post-Print
hal-00960875, HAL.
- Damien Challet & Ahmed Bel Hadj Ayed, 2014. "Do Google Trend data contain more predictability than price returns?," Papers 1403.1715, arXiv.org.
- Ene Andreea Bianca, 2018. "Distance Education in Romanian Higher Education," HOLISTICA – Journal of Business and Public Administration, Sciendo, vol. 9(1), pages 65-70, May.
- Maaß, Christina Heike, 2021. "Nowcast als Forecast: Neue Verfahren der BIP-Prognose in Echtzeit," Edition HWWI: Chapters, in: Straubhaar, Thomas (ed.), Neuvermessung der Datenökonomie, volume 6, pages 101-127, Hamburg Institute of International Economics (HWWI).
- Boone, Tonya & Ganeshan, Ram & Jain, Aditya & Sanders, Nada R., 2019. "Forecasting sales in the supply chain: Consumer analytics in the big data era," International Journal of Forecasting, Elsevier, vol. 35(1), pages 170-180.
- Peter A.G. van Bergeijk, 2021. "Pandemic Economics," Books, Edward Elgar Publishing, number 20401.
- Fondeur, Y. & Karamé, F., 2013.
"Can Google data help predict French youth unemployment?,"
Economic Modelling, Elsevier, vol. 30(C), pages 117-125.
- Y. Fondeur & F. Karamé, 2013. "Can Google data help predict French youth unemployment?," Post-Print hal-02297071, HAL.
- Frédéric Karamé & Yannick Fondeur, 2012. "Can Google Data Help Predict French Youth Unemployment?," Documents de recherche 12-03, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
- Sayag, Doron & Ben-hur, Dano & Pfeffermann, Danny, 2022. "Reducing revisions in hedonic house price indices by the use of nowcasts," International Journal of Forecasting, Elsevier, vol. 38(1), pages 253-266.
- Boriss Siliverstovs, 2017.
"Short-term forecasting with mixed-frequency data: a MIDASSO approach,"
Applied Economics, Taylor & Francis Journals, vol. 49(13), pages 1326-1343, March.
- Boriss Siliverstovs, 2015. "Short-term forecasting with mixed-frequency data: A MIDASSO approach," KOF Working papers 15-375, KOF Swiss Economic Institute, ETH Zurich.
- David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.
- Ulrich Gunter & Irem Önder & Stefan Gindl, 2019. "Exploring the predictive ability of LIKES of posts on the Facebook pages of four major city DMOs in Austria," Tourism Economics, , vol. 25(3), pages 375-401, May.
- Jennifer Castle & David Hendry & Oleg Kitov, 2013. "Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview," Economics Series Working Papers 674, University of Oxford, Department of Economics.
- William Larson, 2015. "Forecasting an Aggregate in the Presence of Structural Breaks in the Disaggregates," Working Papers 2015-002, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
- Castle, Jennifer L. & Hendry, David F., 2009.
"The long-run determinants of UK wages, 1860-2004,"
Journal of Macroeconomics, Elsevier, vol. 31(1), pages 5-28, March.
See citations under working paper version above.
- Jennifer Castle & David Hendry, 2008. "The Long-Run Determinants of UK Wages, 1860-2004," Economics Series Working Papers 409, University of Oxford, Department of Economics.
- Jennifer L. Castle, 2005.
"Evaluating PcGets and RETINA as Automatic Model Selection Algorithms,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 837-880, December.
Cited by:
- Olivier Darne & Amelie Charles, 2020.
"Nowcasting GDP growth using data reduction methods: Evidence for the French economy,"
Economics Bulletin, AccessEcon, vol. 40(3), pages 2431-2439.
- Olivier Darné & Amelie Charles, 2020. "Nowcasting GDP growth using data reduction methods: Evidence for the French economy," Post-Print hal-02948802, HAL.
- Amélie Charles & Olivier Darné, 2022. "Backcasting world trade growth using data reduction methods," The World Economy, Wiley Blackwell, vol. 45(10), pages 3169-3191, October.
- Camila Epprecht & Dominique Guegan & Álvaro Veiga, 2013. "Comparing variable selection techniques for linear regression: LASSO and Autometrics," Documents de travail du Centre d'Economie de la Sorbonne 13080, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- David F. Hendry & Hans-Martin Krolzig, 2004.
"We Ran One Regression,"
Economics Papers
2004-W17, Economics Group, Nuffield College, University of Oxford.
- David F. Hendry & Hans‐Martin Krolzig, 2004. "We Ran One Regression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(5), pages 799-810, December.
- Darné, O. & Brunhes-Lesage, V., 2007.
"L’Indicateur Synthétique Mensuel d’Activité (ISMA) : une révision,"
Working papers
171, Banque de France.
- Darné, O. & Brunhes-Lesage, V., 2007. "L’indicateur synthétique mensuel d’activité (ISMA) : une révision," Bulletin de la Banque de France, Banque de France, issue 162, pages 21-36.
- Santos, Carlos, 2008. "Impulse saturation break tests," Economics Letters, Elsevier, vol. 98(2), pages 136-143, February.
- Amélie Charles & Olivier Darné, 2022. "Backcasting world trade growth using data reduction methods," Post-Print hal-04027843, HAL.
- Brunhes-Lesage, Véronique & Darné, Olivier, 2012. "Nowcasting the French index of industrial production: A comparison from bridge and factor models," Economic Modelling, Elsevier, vol. 29(6), pages 2174-2182.
- Antipa, Pamfili & Barhoumi, Karim & Brunhes-Lesage, Véronique & Darné, Olivier, 2012.
"Nowcasting German GDP: A comparison of bridge and factor models,"
Journal of Policy Modeling, Elsevier, vol. 34(6), pages 864-878.
- Antipa, P. & Barhoumi, K. & Brunhes-Lesage, V. & Darné, O., 2012. "Nowcasting German GDP: A comparison of bridge and factor models," Working papers 401, Banque de France.
- Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
- Golinelli, Roberto & Parigi, Giuseppe, 2008. "Real-time squared: A real-time data set for real-time GDP forecasting," International Journal of Forecasting, Elsevier, vol. 24(3), pages 368-385.
- Camila Epprecht & Dominique Guegan & Álvaro Veiga & Joel Correa da Rosa, 2017. "Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00917797, HAL.
- Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
- Barhoumi, K. & Brunhes-Lesage, V. & Darné, O. & Ferrara, L. & Pluyaud, B. & Rouvreau, B., 2008. "Monthly forecasting of French GDP: A revised version of the OPTIM model," Working papers 222, Banque de France.
- Olivier Darne & Amelie Charles, 2020.
"Nowcasting GDP growth using data reduction methods: Evidence for the French economy,"
Economics Bulletin, AccessEcon, vol. 40(3), pages 2431-2439.
Chapters
- Andrew B. Martinez & Jennifer L. Castle & David F. Hendry, 2022.
"Smooth Robust Multi-Horizon Forecasts,"
Advances in Econometrics, in: Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, volume 43, pages 143-165,
Emerald Group Publishing Limited.
See citations under working paper version above.Sorry, no citations of chapters recorded.
- Andrew B. Martinez & Jennifer L. Castle & David F. Hendry, 2021. "Smooth Robust Multi-Horizon Forecasts," Economics Papers 2021-W01, Economics Group, Nuffield College, University of Oxford.
- Andrew B. Martinez & Jennifer L. Castle & David F. Hendry, 2020. "Smooth Robust Multi-Horizon Forecasts," Working Papers 2020-009, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
Books
- Castle, Jennifer & Shephard, Neil (ed.), 2009.
"The Methodology and Practice of Econometrics: A Festschrift in Honour of David F. Hendry,"
OUP Catalogue,
Oxford University Press, number 9780199237197.
Cited by:
- Yukai Yang & Luc Bauwens, 2018.
"State-Space Models on the Stiefel Manifold with a New Approach to Nonlinear Filtering,"
Econometrics, MDPI, vol. 6(4), pages 1-22, December.
- Yukai Yang & Luc Bauwens, 2018. "State-Space Models on the Stiefel Manifold with A New Approach to Nonlinear Filtering," CREATES Research Papers 2018-30, Department of Economics and Business Economics, Aarhus University.
- Yukai Yang & Luc Bauwens, 2018. "State-space models on the Stiefel Manifold with a new approach to nonlinear filtering," LIDAM Reprints CORE 2985, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Josh R. Stillwagon, 2014.
"Non-Linear Exchange Rate Relationships: An Automated Model Selection Approach with Indicator Saturation,"
Working Papers
1405, Trinity College, Department of Economics.
- Stillwagon, Josh R., 2016. "Non-linear exchange rate relationships: An automated model selection approach with indicator saturation," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 84-109.
- Hecq, Alain & Jacobs, Jan P.A.M. & Stamatogiannis, Michalis P., 2019.
"Testing for news and noise in non-stationary time series subject to multiple historical revisions,"
Journal of Macroeconomics, Elsevier, vol. 60(C), pages 396-407.
- Hecq, A.W. & Jacobs, J.P.A.M. & Stamatogiannis, M., 2016. "Testing for news and noise in non-stationary time series subject to multiple historical revisions," Research Memorandum 004, Maastricht University, Graduate School of Business and Economics (GSBE).
- Alain Hecq & Jan P.A.M. Jacobs & Michalis P. Stamatogiannis, 2016. "Testing for News and Noise in Non-Stationary Time Series Subject to Multiple Historical Revisions," CIRANO Working Papers 2016s-01, CIRANO.
- Laurent Callot & Johannes Tang Kristensen, 2016.
"Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation,"
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