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David F. Hendry

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:
  1. David Hendry, 2011. "Empirical Economic Model Discovery and Theory Evaluation," Economics Series Working Papers 529, University of Oxford, Department of Economics.

    Mentioned in:

    1. Economic Logician Displaying Precisely No Logic
      by James Reade in Christianity and Econometrics on 2011-03-25 01:58:00
    2. Modelling without theory
      by Economic Logician in Economic Logic on 2011-03-23 18:59:00
  2. 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:

    1. Money growth & inflation
      by chris dillow in Stumbling and Mumbling on 2009-03-26 19:31:34
  3. Clements, Michael P & Hendry, David F, 1996. "Intercept Corrections and Structural Change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 475-494, Sept.-Oct.

    Mentioned in:

    1. Forecasting GDP in the presence of breaks: when is the past is a good guide to the future?
      by bankunderground in Bank Underground on 2015-08-20 11:30:00
    2. Forecasting GDP in the presence of breaks: when is the past a good guide to the future?
      by Guest Author in The Big Picture on 2015-09-01 14:00:11
  4. David Hendry & Grayham E. Mizon, 2010. "On the Mathematical Basis of Inter-temporal Optimization," Economics Series Working Papers 497, University of Oxford, Department of Economics.

    Mentioned in:

    1. Elsewhere
      by Robert Vienneau in Thoughts on Economics on 2010-09-18 17:05:00
  5. Jennifer Castle & David Hendry & Michael P. Clements, 2014. "Robust Approaches to Forecasting," Economics Series Working Papers 697, University of Oxford, Department of Economics.

    Mentioned in:

    1. 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
  6. David Hendry & Felix Pretis, 2013. "Some Fallacies in Econometric Modelling of Climate Change," Economics Series Working Papers 643, University of Oxford, Department of Economics.

    Mentioned in:

    1. Papers I've Been Reading
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2013-03-16 03:10:00
  7. Author Profile
    1. Top Forecasting Institutions and Researchers According to IDEAS!
      by Clive Jones in Business Forecasting on 2013-06-28 01:43:46

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. Clements, Michael P & Hendry, David F, 1996. "Intercept Corrections and Structural Change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 475-494, Sept.-Oct.

    Mentioned in:

    1. Intercept corrections and structural change (Journal of Applied Econometrics 1996) in ReplicationWiki ()
  2. Clements, Michael P & Hendry, David F, 1995. "Forecasting in Cointegration Systems," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(2), pages 127-146, April-Jun.

    Mentioned in:

    1. Forecasting in cointegrated systems (Journal of Applied Econometrics 1995) in ReplicationWiki ()
  3. David F. Hendry, 2001. "Modelling UK inflation, 1875-1991," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 255-275.

    Mentioned in:

    1. Modelling UK inflation, 1875-1991 (Journal of Applied Econometrics 2001) in ReplicationWiki ()

Working papers

  1. 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.

    Cited by:

    1. Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2024. "Improving models and forecasts after equilibrium-mean shifts," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1085-1100.

  2. 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:

    1. 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.

  3. 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.

    Cited by:

    1. 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.
    2. Gransaull, Gareth & Rhodes, Ekaterina & Fairbrother, Malcolm, 2023. "Institutions for effective climate policymaking: Lessons from the case of the United Kingdom," Energy Policy, Elsevier, vol. 175(C).

  4. 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:

    1. 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.).
    2. 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.
    3. 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.
    4. 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.
    5. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021. "Selecting a Model for Forecasting," Econometrics, MDPI, vol. 9(3), pages 1-35, June.
    6. 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.
    7. 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.

  5. David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.

    Cited by:

    1. Davide Golinelli, 2022. "Revisiting the Porter Hypothesis: A Nonparametric Analysis on the impact of Pollution Abatement Technologies on firms' performances," SEEDS Working Papers 0622, SEEDS, Sustainability Environmental Economics and Dynamics Studies, revised Jul 2022.

  6. 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.

    Cited by:

    1. 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).
    2. Simon Hirsch & Jonathan Berrisch & Florian Ziel, 2024. "Online Distributional Regression," Papers 2407.08750, arXiv.org, revised Aug 2024.
    3. 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).
    4. 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).
    5. Cakici, Nusret & Shahzad, Syed Jawad Hussain & Będowska-Sójka, Barbara & Zaremba, Adam, 2024. "Machine learning and the cross-section of cryptocurrency returns," International Review of Financial Analysis, Elsevier, vol. 94(C).
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. 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.
    12. Shanshan Wang & Shih‐Chih Chen & Mohd Helmi Ali & Ming‐Lang Tseng, 2024. "Nexus of environmental, social, and governance performance in China‐listed companies: Disclosure and green bond issuance," Business Strategy and the Environment, Wiley Blackwell, vol. 33(3), pages 1647-1660, March.
    13. 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.
    14. 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).
    15. Paul Ghelasi & Florian Ziel, 2023. "Hierarchical forecasting for aggregated curves with an application to day-ahead electricity price auctions," Papers 2305.16255, arXiv.org.
    16. Augusto Cerqua & Marco Letta & Gabriele Pinto, 2024. "On the (Mis)Use of Machine Learning with Panel Data," Papers 2411.09218, arXiv.org.
    17. 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).
    18. 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.
    19. 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).
    20. Ghelasi, Paul & Ziel, Florian, 2024. "Hierarchical forecasting for aggregated curves with an application to day-ahead electricity price auctions," International Journal of Forecasting, Elsevier, vol. 40(2), pages 581-596.
    21. Jacek Batóg & Barbara Batóg & Magdalena Mojsiewicz & Przemysław Pluskota, 2024. "Electrification of Public Urban Transport: Funding Opportunities, Bus Fleet, and Energy Use Forecasts for Poland," Energies, MDPI, vol. 17(23), pages 1-20, December.
    22. 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.
    23. Katarzyna Maciejowska & Weronika Nitka, 2024. "Multiple split approach -- multidimensional probabilistic forecasting of electricity markets," Papers 2407.07795, arXiv.org.
    24. 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.
    25. Pan Tang & Yuwei Zhang, 2024. "China's business cycle forecasting: a machine learning approach," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 2783-2811, November.
    26. 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.
    27. 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.
    28. 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.
    29. 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).
    30. 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.
    31. Swaminathan, Kritika & Venkitasubramony, Rakesh, 2024. "Demand forecasting for fashion products: A systematic review," International Journal of Forecasting, Elsevier, vol. 40(1), pages 247-267.
    32. Said Rosli & Sulaimi Mardhiati & Majid Rohayu Ab & Aini Ainoriza Mohd & Olanrele Olusegun Olaopin & Akinsomi Omokolade, 2024. "Evaluating Market Attributes and Housing Affordability: Gaining Perspective on Future Value Trends," Real Estate Management and Valuation, Sciendo, vol. 32(3), pages 87-100.
    33. Martin McCarthy, Stephen Snudden, 2024. "Forecasts of Period-Average Exchange Rates: New Insights from Real-Time Daily Data," LCERPA Working Papers jc0148, Laurier Centre for Economic Research and Policy Analysis, revised Oct 2024.
    34. 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.
    35. 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.
    36. Jozef Barunik & Lubos Hanus, 2023. "Learning Probability Distributions of Day-Ahead Electricity Prices," Papers 2310.02867, arXiv.org, revised Oct 2023.
    37. 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.
    38. 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.
    39. Jeroen Rombouts & Marie Ternes & Ines Wilms, 2024. "Cross-Temporal Forecast Reconciliation at Digital Platforms with Machine Learning," Papers 2402.09033, arXiv.org, revised May 2024.
    40. 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.
    41. 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).
    42. 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.
    43. 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).
    44. 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.
    45. Li, Xin & Xu, Yechi & Law, Rob & Wang, Shouyang, 2024. "Enhancing tourism demand forecasting with a transformer-based framework," Annals of Tourism Research, Elsevier, vol. 107(C).
    46. Katarzyna Maciejowska & Bartosz Uniejewski & Rafa{l} Weron, 2022. "Forecasting Electricity Prices," Papers 2204.11735, arXiv.org.
    47. Allen, Sam & Koh, Jonathan & Segers, Johan & Ziegel, Johanna, 2024. "Tail calibration of probabilistic forecasts," LIDAM Discussion Papers ISBA 2024018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    48. 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).
    49. 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).
    50. Mutele, Litshedzani & Carranza, Emmanuel John M., 2024. "Statistical analysis of gold production in South Africa using ARIMA, VAR and ARNN modelling techniques: Extrapolating future gold production, Resources–Reserves depletion, and Implication on South Afr," Resources Policy, Elsevier, vol. 93(C).
    51. 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).
    52. 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).
    53. Richard Bean, 2023. "Forecasting the Monash Microgrid for the IEEE-CIS Technical Challenge," Energies, MDPI, vol. 16(3), pages 1-23, January.
    54. 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.
    55. 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.
    56. Michael Pedersen, 2024. "Judgment in macroeconomic output growth predictions: Efficiency, accuracy and persistence," Papers 2404.04105, arXiv.org.
    57. 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.
    58. 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.
    59. Niklas Valentin Lehmann, 2023. "Forecasting skill of a crowd-prediction platform: A comparison of exchange rate forecasts," Papers 2312.09081, arXiv.org.
    60. 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.
    61. 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.
    62. 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.

  7. 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.

    Cited by:

    1. 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.).
    2. 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.
    3. Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2024. "Improving models and forecasts after equilibrium-mean shifts," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1085-1100.
    4. 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.

  8. 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:

    1. 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.).
    2. 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.
    3. 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.

  9. Jennifer Castle & Jurgen Doornik & David Hendry, 2020. "Modelling Non-stationary 'Big Data'," Economics Series Working Papers 905, University of Oxford, Department of Economics.

    Cited by:

    1. Katalin Varga & Tibor Szendrei, 2024. "Non-stationary Financial Risk Factors and Macroeconomic Vulnerability for the UK," Papers 2404.01451, arXiv.org.
    2. 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.

  10. 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.

    Cited by:

    1. 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.
    2. Emmanuel Flachaire & Sullivan Hué & Sébastien Laurent & Gilles Hacheme, 2024. "Interpretable Machine Learning Using Partial Linear Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(3), pages 519-540, June.
    3. 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.
    4. 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).
    5. Aurelia Rybak & Aleksandra Rybak & Jarosław Joostberens & Spas D. Kolev, 2024. "Key SDG7 Factors Shaping the Future of Clean Coal Technologies: Analysis of Trends and Prospects in Poland," Energies, MDPI, vol. 17(16), pages 1-15, August.

  11. 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:

    1. 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.
    2. 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.
    3. 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.

  12. Jennifer Castle & Jurgen Doornik & David Hendry, 2018. "Selecting a Model for Forecasting," Economics Series Working Papers 861, University of Oxford, Department of Economics.

    Cited by:

    1. 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.
    2. 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).
    3. 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.).

  13. 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.

    Cited by:

    1. Paul J. J. Welfens, 2019. "Lack of international risk management in BREXIT?," International Economics and Economic Policy, Springer, vol. 16(1), pages 103-160, March.
    2. Gulan, Adam, 2018. "Paradise lost? A brief history of DSGE macroeconomics," Bank of Finland Research Discussion Papers 22/2018, Bank of Finland.
    3. Anette Borge & Gunnar Bårdsen & Junior Maih, 2019. "Expectations switching in a DSGE model for the UK," Working Paper Series 18119, Department of Economics, Norwegian University of Science and Technology.
    4. Andrew Martinez, 2017. "Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter," Working Papers (Old Series) 1717, Federal Reserve Bank of Cleveland.
    5. Cars Hommes & Sebastian Poledna, 2023. "Analyzing and forecasting economic crises with an agent-based model of the euro area," Tinbergen Institute Discussion Papers 23-013/II, Tinbergen Institute.
    6. Dieppe, Alistair & Georgiadis, Georgios & Ricci, Martino & Van Robays, Ine & van Roye, Björn, 2018. "ECB-Global: Introducing the ECB's global macroeconomic model for spillover analysis," Economic Modelling, Elsevier, vol. 72(C), pages 78-98.
    7. Eugenio Caverzasi & Alberto Russo, 2018. "Toward a New Microfounded Macroeconomics in the Wake of the Crisis," LEM Papers Series 2018/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    8. Georgios Georgiadis & Saskia Mösle, 2020. "Introducing dominant‐currency pricing in the ECB's global macroeconomic model," International Finance, Wiley Blackwell, vol. 23(2), pages 234-256, August.
    9. Martin Feldkircher & Nico Hauzenberger, 2019. "How useful are time-varying parameter models for forecasting economic growth in CESEE?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q1/19, pages 29-48.
    10. Roberto Artoni, 2021. "Passo d'addio (Final recital)," Moneta e Credito, Economia civile, vol. 74(295), pages 213-227.
    11. Schoder, Christian, 2020. "A Keynesian Dynamic Stochastic Disequilibrium model for business cycle analysis," Economic Modelling, Elsevier, vol. 86(C), pages 117-132.
    12. George Judge, 2018. "Micro-Macro Connected Stochastic Dynamic Economic Behavior Systems," Econometrics, MDPI, vol. 6(4), pages 1-14, December.
    13. 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.
    14. Martin Guzman & Joseph E Stiglitz, 2020. "Towards a dynamic disequilibrium theory with randomness," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 36(3), pages 621-674.
    15. John Muellbauer, 2019. "A Tale of Two Cities: is Overvaluation a Capital Issue?," Economics Series Working Papers 872, University of Oxford, Department of Economics.
    16. Kang‐Soek Lee & Richard A. Werner, 2023. "Are lower interest rates really associated with higher growth? New empirical evidence on the interest rate thesis from 19 countries," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 3960-3975, October.
    17. Jesper Lindé, 2018. "DSGE models: still useful in policy analysis?," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 34(1-2), pages 269-286.
    18. M. Yu. Andreyev & A. V. Polbin, 2019. "Trends of Macroeconomic Models," Administrative Consulting, Russian Presidential Academy of National Economy and Public Administration. North-West Institute of Management., issue 2.
    19. John Komlos, 2021. "Macroeconomic Inequality from Reagan to Trump. Market Power, Wage Repression, Asset Price Inflation, and Industrial Decline," The Economic Record, The Economic Society of Australia, vol. 97(318), pages 450-453, September.
    20. Warwick J. McKibbin & Andrew Stoeckel, 2017. "Modelling a complex world: Improving macro-models," CAMA Working Papers 2017-56, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    21. Judge, George, 2023. "Information Recovery in Complex Economic Systems," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt4jj70102, Department of Agricultural & Resource Economics, UC Berkeley.
    22. 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.
    23. Ray C. Fair, 2019. "Some Important Macro Points," Cowles Foundation Discussion Papers 2165, Cowles Foundation for Research in Economics, Yale University.
    24. Ray C. Fair, 2019. "Some Important Macro Points," Cowles Foundation Discussion Papers 2165R, Cowles Foundation for Research in Economics, Yale University, revised Jul 2019.
    25. Mariam Tchanturia & Jared Laxton & Douglas Laxton & Shalva Mkhatrishvili, 2024. "Covid-19 and the Return of the 3-Star Consumption Functions in the US," NBG Working Papers 03/2024, National Bank of Georgia.
    26. David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
    27. Marta Boczoń & Jean-François Richard, 2020. "Balanced Growth Approach to Tracking Recessions," Econometrics, MDPI, vol. 8(2), pages 1-35, April.
    28. Aurélien Goutsmedt & Francesco Sergi & Béatrice Cherrier & François Claveau & Clément Fontan & Juan Acosta, 2024. "To change or not to change The evolution of forecasting models at the Bank of England," Post-Print hal-04181871, HAL.
    29. Francesco Sergi, 2020. "The Standard Narrative about DSGE Models in Central Banks’ Technical Reports," The European Journal of the History of Economic Thought, Taylor & Francis Journals, vol. 27(2), pages 163-193, March.
    30. Pål Boug & Thomas von Brasch & Ådne Cappelen & Roger Hammersland & Håvard Hungnes & Dag Kolsrud & Julia Skretting & Birger Strøm & Trond C. Vigtel, 2022. "Fiscal policy, macroeconomic performance and industry structure in a small open economy," Discussion Papers 984, Statistics Norway, Research Department.
    31. Aivazian, Sergei & Bereznyatsky, Aleksandr & Brodsky, Boris, 2018. "Modeling Russian social indicators," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 51, pages 5-32.
    32. Leon Podkaminer, 2021. "Dynamic Stochastic General Equilibrium: macroeconomics at a dead end," Bank i Kredyt, Narodowy Bank Polski, vol. 52(2), pages 97-122.
    33. Georgiadis, Georgios & Hildebrand, Sebastian & Ricci, Martino & Schumann, Ben & van Roye, Björn, 2021. "ECB-Global 2.0: a global macroeconomic model with dominant-currency pricing, tariffs and trade diversion," Working Paper Series 2530, European Central Bank.
    34. Fakhri J. Hasanov & Noha Razek, 2023. "Oil and Non-Oil Determinants of Saudi Arabia’s International Competitiveness: Historical Analysis and Policy Simulations," Sustainability, MDPI, vol. 15(11), pages 1-39, June.
    35. Sheila Dow, 2020. "Gender and the future of macroeconomics: an evolutionary approach," Review of Evolutionary Political Economy, Springer, vol. 1(1), pages 55-66, May.
    36. Joseph E. Stiglitz, 2017. "Where Modern Macroeconomics Went Wrong," NBER Working Papers 23795, National Bureau of Economic Research, Inc.
    37. Francesco Zezza & Gennaro Zezza, 2020. "A Stock-Flow Consistent Quarterly Model of the Italian Economy," Economics Working Paper Archive wp_958, Levy Economics Institute.
    38. Mikael Randrup Byrialsen & Hamid Raza, "undated". "An Empirical Stock-Flow Consistent Macroeconomic Model for Denmark," Economics Working Paper Archive wp_942, Levy Economics Institute.
    39. Riccardo De Bonis & Danilo Liberati & John Muellbauer & Concetta Rondinelli, 2020. "Consumption and wealth: new evidence from Italy," Temi di discussione (Economic working papers) 1304, Bank of Italy, Economic Research and International Relations Area.
    40. David F. Hendry, 2024. "A Brief History of General‐to‐specific Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 1-20, February.
    41. Douglas Laxton & Haykaz Igityan & Shalva Mkhatrishvili, 2024. "Endogenous Credibility and Economic Modeling: Adapting the Forecasting and Policy Analysis System to Modern Challenges," NBG Working Papers 04/2024, National Bank of Georgia.
    42. Dia, Enzo & Bartolomeo, Giovanni Di, 2019. "Macroeconomics, rationality, and institutions," Journal of Macroeconomics, Elsevier, vol. 60(C), pages 46-49.
    43. Francisco Louçã & Alexandre Abreu & Gonçalo Pessa Costa, 2021. "Disarray at the headquarters: Economists and Central bankers tested by the subprime and the COVID recessions [Forward guidance without common knowledge]," Industrial and Corporate Change, Oxford University Press and the Associazione ICC, vol. 30(2), pages 273-296.
    44. Elshurafa, Amro M. & Alatawi, Hatem & Hasanov, Fakhri J. & Algahtani, Goblan J. & Felder, Frank A., 2022. "Cost, emission, and macroeconomic implications of diesel displacement in the Saudi agricultural sector: Options and policy insights," Energy Policy, Elsevier, vol. 168(C).
    45. Valérie Chauvin & John Muellbauer, 2018. "Consumption, household portfolios and the housing market in France," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 500-501-5, pages 157-178.
    46. Anthony Brassil & Mike Major & Peter Rickards, 2022. "MARTIN Gets a Bank Account: Adding a Banking Sector to the RBA's Macroeconometric Model," RBA Research Discussion Papers rdp2022-01, Reserve Bank of Australia.

  14. 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.

    Cited by:

    1. Santiago J. Gahn & Alejandro González, 2018. "On the “utilisation controversy”: a comment," Working Papers PKWP1814, Post Keynesian Economics Society (PKES).
    2. 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.
    3. 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.
    4. David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
    5. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
    6. 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.
    7. Stephan B. Bruns & Zsuzsanna Csereklyei & David I. Stern, 2018. "A Multicointegration Model of Global Climate Change," CCEP Working Papers 1801, Centre for Climate & Energy Policy, Crawford School of Public Policy, The Australian National University.
    8. Eric Hillebrand & Søren Johansen & Torben Schmith, 2020. "Data Revisions and the Statistical Relation of Global Mean Sea Level and Surface Temperature," Econometrics, MDPI, vol. 8(4), pages 1-19, November.

  15. 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.

    Cited by:

    1. 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.
    2. 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.).
    3. 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.
    4. 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.).
    5. 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.
    6. 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.
    7. 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.
    8. Søren Johansen & Morten Ørregaard Nielsen, 2016. "The cointegrated vector autoregressive model with general deterministic terms," Discussion Papers 16-07, University of Copenhagen. Department of Economics.
    9. 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.
    10. 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.
    11. 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.
    12. Shaher Al-Gounmeein Remal & Ismail Mohd Tahir, 2021. "Modelling and forecasting monthly Brent crude oil prices: a long memory and volatility approach," Statistics in Transition New Series, Statistics Poland, vol. 22(1), pages 29-54, March.
    13. 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.
    14. Ericsson, Neil R., 2017. "Interpreting estimates of forecast bias," International Journal of Forecasting, Elsevier, vol. 33(2), pages 563-568.
    15. 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).
    16. 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.
    17. Friedrich, Marina & Lin, Yicong, 2024. "Sieve bootstrap inference for linear time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 239(1).
    18. David F. Hendry, 2024. "A Brief History of General‐to‐specific Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 1-20, February.
    19. 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.
    20. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2024. "Forecasting the UK top 1% income share in a shifting world," Economica, London School of Economics and Political Science, vol. 91(363), pages 1047-1074, July.

  16. 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.

    Cited by:

    1. 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.
    2. Michael P. Clements, 2022. "Forecaster Efficiency, Accuracy, and Disagreement: Evidence Using Individual‐Level Survey Data," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 54(2-3), pages 537-568, March.
    3. 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.).
    4. 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.
    5. Andrew Martinez, 2017. "Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter," Working Papers (Old Series) 1717, Federal Reserve Bank of Cleveland.
    6. 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.).
    7. Budnik, Katarzyna & Ponte Marques, Aurea & Giglio, Carla & Grassi, Alberto & Durrani, Agha & Figueres, Juan Manuel & Konietschke, Paul & Le Grand, Catherine & Metzler, Julian & Población García, Franc, 2024. "Advancements in stress-testing methodologies for financial stability applications," Occasional Paper Series 348, European Central Bank.
    8. Håvard Hungnes, 2020. "Equal predictability test for multi-step-ahead system forecasts invariant to linear transformations," Discussion Papers 931, Statistics Norway, Research Department.
    9. Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore, 2020. "A Scoring Rule for Factor and Autoregressive Models Under Misspecification," Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
    10. Håvard Hungnes, 2020. "Predicting the exchange rate path. The importance of using up-to-date observations in the forecasts," Discussion Papers 934, Statistics Norway, Research Department.
    11. Håvard Hungnes, 2018. "Encompassing tests for evaluating multi-step system forecasts invariant to linear transformations," Discussion Papers 871, Statistics Norway, Research Department.
    12. 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).
    13. Michael Clements, 2016. "Are Macro-Forecasters Essentially The Same? An Analysis of Disagreement, Accuracy and Efficiency," ICMA Centre Discussion Papers in Finance icma-dp2016-08, Henley Business School, University of Reading.
    14. Chevillon, Guillaume, 2017. "Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons," ESSEC Working Papers WP1710, ESSEC Research Center, ESSEC Business School.
    15. Michael P. Clements, 2020. "Are Some Forecasters’ Probability Assessments of Macro Variables Better Than Those of Others?," Econometrics, MDPI, vol. 8(2), pages 1-16, May.

  17. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.

    Cited by:

    1. Marta Boczon, 2018. "Balanced Growth Approach to Forecasting Recessions," Working Paper 6487, Department of Economics, University of Pittsburgh.
    2. 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.
    3. Fakhri J. Hasanov & Jeyhun I. Mikayilov, 2020. "Revisiting Energy Demand Relationship: Theory and Empirical Application," Sustainability, MDPI, vol. 12(7), pages 1-15, April.
    4. 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.).
    5. Roman Frydman & Soren Johansen & Anders Rahbek & Morten Tabor, 2019. "The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth`s Consistency Constraint in Modeling Aggregate Outcomes," Working Papers Series 92, Institute for New Economic Thinking.
    6. 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.
    7. 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.
    8. 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).
    9. 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.
    10. Zhonghua Cheng & Qingfei Xu & Ian Fraser Sanderson, 2021. "China's economic growth and haze pollution control," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 107(3), pages 2653-2669, July.
    11. David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
    12. Fakhri J. Hasanov & Moayad H. Al Rasasi & Salah S. Alsayaary & Ziyadh Alfawzan, 2022. "Money demand under a fixed exchange rate regime: the case of Saudi Arabia," Journal of Applied Economics, Taylor & Francis Journals, vol. 25(1), pages 385-411, December.
    13. 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.
    14. Roman Frydman & Soeren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2019. "The Knightian Uncertainty Hypothesis: Unforeseeable Change and Muth�s Consistency Constraint in Modeling Aggregate Outcomes," Discussion Papers 19-02, University of Copenhagen. Department of Economics.
    15. Fakhri J. Hasanov & Noha Razek, 2023. "Oil and Non-Oil Determinants of Saudi Arabia’s International Competitiveness: Historical Analysis and Policy Simulations," Sustainability, MDPI, vol. 15(11), pages 1-39, June.
    16. 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.
    17. 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.
    18. Pawel Dlotko & Simon Rudkin & Wanling Qiu, 2019. "Topologically Mapping the Macroeconomy," Papers 1911.10476, arXiv.org.
    19. Elshurafa, Amro M. & Alatawi, Hatem & Hasanov, Fakhri J. & Algahtani, Goblan J. & Felder, Frank A., 2022. "Cost, emission, and macroeconomic implications of diesel displacement in the Saudi agricultural sector: Options and policy insights," Energy Policy, Elsevier, vol. 168(C).
    20. 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.

  18. Jennifer Castle & David Hendry, 2016. "Policy Analysis, Forediction, and Forecast Failure," Economics Series Working Papers 809, University of Oxford, Department of Economics.

    Cited by:

    1. 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.

  19. 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.

    Cited by:

    1. Marta Boczon, 2018. "Balanced Growth Approach to Forecasting Recessions," Working Paper 6487, Department of Economics, University of Pittsburgh.
    2. 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.
    3. 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.
    4. 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).
    5. 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.
    6. 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.
    7. 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.
    8. Celia Rangel-Pérez & Belen López & Manuel Fernández, 2024. "A strategic sustainability model for global luxury companies in the management of CO2 emissions," International Entrepreneurship and Management Journal, Springer, vol. 20(3), pages 1597-1615, September.
    9. 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.
    10. Marta Boczoń & Jean-François Richard, 2020. "Balanced Growth Approach to Tracking Recessions," Econometrics, MDPI, vol. 8(2), pages 1-35, April.
    11. 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.
    12. 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.
    13. 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.
    14. 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).
    15. 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).
    16. 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.
    17. igescu, iulia, 2020. "Describing Location Shifts with One Class Support Vector Machines," MPRA Paper 100984, University Library of Munich, Germany.
    18. 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.
    19. 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.

  20. Jennifer Castle & David Hendry & Michael P. Clements, 2014. "Robust Approaches to Forecasting," Economics Series Working Papers 697, University of Oxford, Department of Economics.

    Cited by:

    1. 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).
    2. 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.).
    3. 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.
    4. 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.
    5. 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.).
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. 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.
    12. 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.
    13. Michael Clements, 2016. "Are Macroeconomic Density Forecasts Informative?," ICMA Centre Discussion Papers in Finance icma-dp2016-02, Henley Business School, University of Reading.
    14. 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.
    15. 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.
    16. 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.
    17. Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2024. "Improving models and forecasts after equilibrium-mean shifts," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1085-1100.
    18. 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.
    19. David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
    20. 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.
    21. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
    22. 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.
    23. 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).
    24. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021. "Selecting a Model for Forecasting," Econometrics, MDPI, vol. 9(3), pages 1-35, June.
    25. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2024. "Forecasting the UK top 1% income share in a shifting world," Economica, London School of Economics and Political Science, vol. 91(363), pages 1047-1074, July.
    26. 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.
    27. 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.
    28. 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.

  21. David Hendry & Jurgen A. Doornik, 2014. "Statistical Model Selection with 'Big Data'," Economics Series Working Papers 735, University of Oxford, Department of Economics.

    Cited by:

    1. 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.
    2. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    3. 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.
    4. Verhagen, Mark D., 2021. "Identifying and Improving Functional Form Complexity: A Machine Learning Framework," SocArXiv bka76, Center for Open Science.
    5. Bennedsen, Mikkel & Hillebrand, Eric & Koopman, Siem Jan, 2021. "Modeling, forecasting, and nowcasting U.S. CO2 emissions using many macroeconomic predictors," Energy Economics, Elsevier, vol. 96(C).
    6. 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.
    7. 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.
    8. Iregui, Ana María & Núñez, Héctor M. & Otero, Jesús, 2021. "Testing the efficiency of inflation and exchange rate forecast revisions in a changing economic environment," Journal of Economic Behavior & Organization, Elsevier, vol. 187(C), pages 290-314.
    9. Cai, Zhengzheng & Zhu, Yanli & Han, Xiaoyi, 2022. "Bayesian analysis of spatial dynamic panel data model with convex combinations of different spatial weight matrices: A reparameterized approach," Economics Letters, Elsevier, vol. 217(C).
    10. Omar A. Guerrero & Gonzalo Casta~neda & Florian Ch'avez-Ju'arez, 2019. "How do governments determine policy priorities? Studying development strategies through spillover networks," Papers 1902.00432, arXiv.org.
    11. 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.
    12. Schintler, Laurie A. & Fischer, Manfred M., 2018. "Big Data and Regional Science: Opportunities, Challenges, and Directions for Future Research," Working Papers in Regional Science 2018/02, WU Vienna University of Economics and Business.
    13. Bantis, Evripidis & Clements, Michael P. & Urquhart, Andrew, 2023. "Forecasting GDP growth rates in the United States and Brazil using Google Trends," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1909-1924.
    14. Xiaoyi Han & Lung-Fei Lee, 2016. "Bayesian Analysis of Spatial Panel Autoregressive Models With Time-Varying Endogenous Spatial Weight Matrices, Common Factors, and Random Coefficients," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 642-660, October.
    15. Sabyasachi Kar & Amaani Bashir & Mayank Jain, 2021. "New Approaches to Forecasting Growth and Inflation: Big Data and Machine Learning," IEG Working Papers 446, Institute of Economic Growth.

  22. David Hendry & Jurgen A. Doornik & Felix Pretis, 2013. "Step-indicator Saturation," Economics Series Working Papers 658, University of Oxford, Department of Economics.

    Cited by:

    1. Alexander Chudik & George Kapetanios & M. Hashem Pesaran, 2016. "Big Data Analytics: A New Perspective," CESifo Working Paper Series 5824, CESifo.
    2. 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.
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. Brian Chi-ang Lin & Siqi Zheng & 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.
    10. Jennifer Castle & David Hendry, 2016. "Policy Analysis, Forediction, and Forecast Failure," Economics Series Working Papers 809, University of Oxford, Department of Economics.
    11. 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.
    12. Haile, Fiseha, 2017. "Global shocks and their impact on the Tanzanian economy," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 11, pages 1-38.
    13. Łukasz Goczek & Dagmara Mycielska, 2019. "Actual monetary policy independence in a small open economy: the Polish perspective," Empirical Economics, Springer, vol. 56(2), pages 499-522, February.
    14. Haile, Fiseha, 2016. "Global shocks and their impact on the Tanzanian Economy," Economics Discussion Papers 2016-47, Kiel Institute for the World Economy (IfW Kiel).
    15. Jennifer Castle & David Hendry & Michael P. Clements, 2014. "Robust Approaches to Forecasting," Economics Series Working Papers 697, University of Oxford, Department of Economics.
    16. 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.
    17. 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.
    18. Carlomagno, Guillermo, 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 Estadística.
    19. 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.
    20. Leighton Vaughan Williams & J. James Reade, 2016. "Prediction Markets, Social Media and Information Efficiency," Kyklos, Wiley Blackwell, vol. 69(3), pages 518-556, August.

  23. 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.

    Cited by:

    1. Jun, Bogang & Kim, Tai-Yoo, 2015. "A neo-Schumpeterian perspective on the analytical macroeconomic framework: The expanded reproduction system," Hohenheim Discussion Papers in Business, Economics and Social Sciences 11-2015, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
    2. Andrew Martinez, 2017. "Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter," Working Papers (Old Series) 1717, Federal Reserve Bank of Cleveland.
    3. Emilian DOBRESCU, 2017. "Modelling an Emergent Economy and Parameter Instability Problem," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 5-28, June.
    4. 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.).
    5. Vugar Ahmadov & Shaig Adigozalov & Salman Huseynov & Fuad Mammadov & Vugar Rahimov, 2016. "Forecasting inflation in post-oil boom years: A case for non-linear models?," Working Papers 1601, Central Bank of Azerbaijan Republic.
    6. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    7. Katarina Juselius, 2022. "A Theory-Consistent CVAR Scenario for a Monetary Model with Forward-Looking Expectations," Econometrics, MDPI, vol. 10(2), pages 1-15, April.
    8. 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.
    9. 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.
    10. Alberto Bagnai & Christian Alexander Mongeau Ospina, 2014. "The a/simmetrie annual macroeconometric model of the Italian economy: structure and properties," a/ Working Papers Series 1405, Italian Association for the Study of Economic Asymmetries, Rome (Italy).
    11. 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.
    12. Hendry, David F. & Pretis, Felix, 2023. "Analysing differences between scenarios," International Journal of Forecasting, Elsevier, vol. 39(2), pages 754-771.
    13. Jose J. Canals-Cerda, 2024. "CECL Implementation and Model Risk in Uncertain Times: An Application to Consumer Finance," Working Papers 24-03, Federal Reserve Bank of Philadelphia.
    14. Schulz, Jan & Mayerhoffer, Daniel M., 2021. "A network approach to consumption," BERG Working Paper Series 173, Bamberg University, Bamberg Economic Research Group.
    15. Jennifer Castle & David Hendry, 2016. "Policy Analysis, Forediction, and Forecast Failure," Economics Series Working Papers 809, University of Oxford, Department of Economics.
    16. 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.
    17. Nicola Giocoli, 2016. "Truth or precision? Some reflections on the economists’ failure to predict the financial crisis," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, vol. 29(4), pages 371-386, December.
    18. Huseynov, Salman & Ahmadov, Vugar & Adigozalov, Shaig, 2014. "Beating a Random Walk: “Hard Times” for Forecasting Inflation in Post-Oil Boom Years?," MPRA Paper 63515, University Library of Munich, Germany.
    19. 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.
    20. 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.
    21. Zhonghua Cheng & Qingfei Xu & Ian Fraser Sanderson, 2021. "China's economic growth and haze pollution control," Natural Hazards: Journal of the International Society for the Prevention and Mitigation of Natural Hazards, Springer;International Society for the Prevention and Mitigation of Natural Hazards, vol. 107(3), pages 2653-2669, July.
    22. 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.
    23. David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
    24. 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.
    25. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
    26. Leon Podkaminer, 2021. "Dynamic Stochastic General Equilibrium: macroeconomics at a dead end," Bank i Kredyt, Narodowy Bank Polski, vol. 52(2), pages 97-122.
    27. 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.
    28. 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.
    29. Vugar Ahmadov & Salman Huseynov & Shaig Adigozalov & Fuad Mammadov & Vugar Rahimov, 2018. "Forecasting inflation in post-oil boom years: A case for regime switches?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 42(2), pages 369-385, April.
    30. J. James Reade & Sachiko Akie, 2013. "Using Forecasting to Detect Corruption in International Football," Working Papers 2013-005, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    31. Bing Chen & Frank P. Stafford, 2019. "A Farewell to ARMs or Ever Changing Market Segments?," The Journal of Real Estate Finance and Economics, Springer, vol. 59(4), pages 649-672, November.
    32. Cheng, Fenfen & Yang, Shanlin & Zhou, Kaile, 2020. "Quantile partial adjustment model with application to predicting energy demand in China," Energy, Elsevier, vol. 191(C).
    33. David F. Hendry, 2024. "A Brief History of General‐to‐specific Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 1-20, February.
    34. Alexander HARIN, 2014. "Partially Unforeseen Events. Corrections and Correcting Formulae for Forecasts," Expert Journal of Economics, Sprint Investify, vol. 2(2), pages 69-79.
    35. Hoang‐Phuong Do & Aris Spanos, 2024. "Revisiting the Phillips Curve: The Empirical Relationship Yet to be Validated," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(4), pages 761-793, August.

  24. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.

    Cited by:

    1. 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).

  25. 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:

    1. 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.).
    2. 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.
    3. 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.
    4. 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.
    5. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
    6. Balcombe, Kelvin & Fraser, Iain, 2017. "Do bubbles have an explosive signature in markov switching models?," Economic Modelling, Elsevier, vol. 66(C), pages 81-100.

  26. David Hendry & Felix Pretis, 2013. "Some Fallacies in Econometric Modelling of Climate Change," Economics Series Working Papers 643, University of Oxford, Department of Economics.

    Cited by:

    1. Brian Chi-ang Lin & Siqi Zheng & 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.
    2. Gadea Rivas, María Dolores & Gonzalo, Jesús, 2020. "Trends in distributional characteristics: Existence of global warming," Journal of Econometrics, Elsevier, vol. 214(1), pages 153-174.
    3. Guillaume Chevillon, 2013. "Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming," Working Papers hal-00914830, HAL.
    4. Stephan B. Bruns & Zsuzsanna Csereklyei & David I. Stern, 2018. "A Multicointegration Model of Global Climate Change," CCEP Working Papers 1801, Centre for Climate & Energy Policy, Crawford School of Public Policy, The Australian National University.

  27. David Hendry & Soren Johansen, 2012. "Model Discovery and Trygve Haavelmo's Legacy," Economics Series Working Papers 598, University of Oxford, Department of Economics.

    Cited by:

    1. 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.).
    2. 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.).
    3. John Muellbauer, 2016. "Macroeconomics and Consumption," Economics Series Working Papers Paper-811, University of Oxford, Department of Economics.
    4. 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.).
    5. 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.
    6. Biørn, Erik, 2017. "Identification, Instruments, Omitted Variables, and Rudimentary Models: Fallacies in the ‘Experimental Approach’ to Econometrics," Memorandum 13/2017, Oslo University, Department of Economics.
    7. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    8. Emmanuel Flachaire & Sullivan Hué & Sébastien Laurent & Gilles Hacheme, 2024. "Interpretable Machine Learning Using Partial Linear Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(3), pages 519-540, June.
    9. 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.
    10. 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.
    11. Marçal, Emerson Fernandes, 2024. "Testing rational expectations in a cointegrated VAR with structural change," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    12. 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.
    13. Brian Chi-ang Lin & Siqi Zheng & 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.
    14. Jennifer Castle & David Hendry, 2016. "Policy Analysis, Forediction, and Forecast Failure," Economics Series Working Papers 809, University of Oxford, Department of Economics.
    15. 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.
    16. 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.
    17. David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
    18. Fakhri J. Hasanov & Moayad H. Al Rasasi & Salah S. Alsayaary & Ziyadh Alfawzan, 2022. "Money demand under a fixed exchange rate regime: the case of Saudi Arabia," Journal of Applied Economics, Taylor & Francis Journals, vol. 25(1), pages 385-411, December.
    19. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
    20. 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.
    21. 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.
    22. 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.
    23. 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.
    24. 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).
    25. 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.
    26. David F. Hendry, 2024. "A Brief History of General‐to‐specific Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 1-20, February.
    27. 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.
    28. 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).
    29. 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.
    30. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2024. "Forecasting the UK top 1% income share in a shifting world," Economica, London School of Economics and Political Science, vol. 91(363), pages 1047-1074, July.
    31. 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.

  28. 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.

    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
    5. David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
    6. Kristine Wika Haraldsen & Ragnar Nymoen & Victoria Sparrman, 2019. "Labour market institutions, shocks and the employment rate," Discussion Papers 901, Statistics Norway, Research Department.
    7. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
    8. 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.
    9. 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.
    10. Haraldsen, Kristine Wika & Ragnar, Nymoen & Sparrman, Victoria, 2019. "Labour market institutions, shocks and the employment rate," Memorandum 6/2019, Oslo University, Department of Economics.
    11. 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.

  29. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.

    Cited by:

    1. Wolfgang Nierhaus, 2013. "Konjunkturprognosen heute – Möglichkeiten und Probleme," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 66(01), pages 25-32, January.
    2. Bell, Venetia & Co, Lai Wah & Stone, Sophie & Wallis, gavin`, 2014. "Nowcasting UK GDP growth," Bank of England Quarterly Bulletin, Bank of England, vol. 54(1), pages 58-68.

  30. 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:

    1. 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.
    2. 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.
    3. Valentina Corradi & Norman Swanson, 2013. "Testing for Structural Stability of Factor Augmented Forecasting Models," Departmental Working Papers 201314, Rutgers University, Department of Economics.
    4. 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.

  31. 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:

    1. 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.
    2. 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.).
    3. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
    4. 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.
    5. 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.
    6. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    7. 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.
    8. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
    9. 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.
    10. 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.
    11. 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.
    12. 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.
    13. 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.
    14. Wickens, Michael R., 2012. "How Useful are DSGE Macroeconomic Models for Forecasting?," CEPR Discussion Papers 9049, C.E.P.R. Discussion Papers.
    15. 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.
    16. 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).
    17. Jennifer Castle & David Hendry & Michael P. Clements, 2014. "Robust Approaches to Forecasting," Economics Series Working Papers 697, University of Oxford, Department of Economics.
    18. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
    19. 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).
    20. 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.
    21. 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.

  32. David Hendry & Felix Pretis, 2011. "Anthropogenic Influences on Atmospheric CO2," Economics Series Working Papers 584, University of Oxford, Department of Economics.

    Cited by:

    1. 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.).
    2. 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.).
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. Brian Chi-ang Lin & Siqi Zheng & 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.
    8. David Hendry & Felix Pretis, 2011. "Anthropogenic Influences on Atmospheric CO2," Economics Series Working Papers 584, University of Oxford, Department of Economics.
    9. 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.
    10. Pretis, Felix, 2021. "Exogeneity in climate econometrics," Energy Economics, Elsevier, vol. 96(C).
    11. 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.
    12. Brown, Alasdair & Reade, J. James & Vaughan Williams, Leighton, 2019. "When are prediction market prices most informative?," International Journal of Forecasting, Elsevier, vol. 35(1), pages 420-428.

  33. 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.

    Cited by:

    1. Emmanuel Flachaire & Sullivan Hué & Sébastien Laurent & Gilles Hacheme, 2024. "Interpretable Machine Learning Using Partial Linear Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(3), pages 519-540, June.
    2. Sullivan Hué, 2022. "GAM(L)A: An econometric model for interpretable machine learning," French Stata Users' Group Meetings 2022 19, Stata Users Group.
    3. David Hendry & Felix Pretis, 2011. "Anthropogenic Influences on Atmospheric CO2," Economics Series Working Papers 584, University of Oxford, Department of Economics.
    4. 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.

  34. 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:

    1. 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.
    2. Jennifer Castle & David Hendry, 2016. "Policy Analysis, Forediction, and Forecast Failure," Economics Series Working Papers 809, University of Oxford, Department of Economics.
    3. 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.
    4. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2024. "Forecasting the UK top 1% income share in a shifting world," Economica, London School of Economics and Political Science, vol. 91(363), pages 1047-1074, July.

  35. Jennifer Castle & David Hendry, 2011. "Model Selection in Equations with Many 'Small' Effects," Economics Series Working Papers 528, University of Oxford, Department of Economics.

    Cited by:

    1. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
    2. David Hendry & Felix Pretis, 2011. "Anthropogenic Influences on Atmospheric CO2," Economics Series Working Papers 584, University of Oxford, Department of Economics.
    3. 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.
    4. 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.
    5. 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.
    6. 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.

  36. David Hendry, 2011. "Empirical Economic Model Discovery and Theory Evaluation," Economics Series Working Papers 529, University of Oxford, Department of Economics.

    Cited by:

    1. Marçal, Emerson Fernandes & Cunha, Ronan & Merlin, Giovanni Tondin & Simões, Oscar, 2017. "The aftermath of 2008 turmoil on Brazilian economy: Tsunami or “Marolinha”?," Textos para discussão 459, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    2. Qin, Duo & Xu, Zhong & Zhang, Xuechun, 2014. "How much informal credit lending responded to monetary policy in China? The case of Wenzhou," Journal of Asian Economics, Elsevier, vol. 31, pages 22-31.
    3. Subhadeep Mukhopadhyay & Emanuel Parzen, 2018. "Nonlinear Time Series Modeling: A Unified Perspective, Algorithm and Application," JRFM, MDPI, vol. 11(3), pages 1-17, July.
    4. Burridge, Peter, 2011. "A research agenda on general-to-specific spatial model search," INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH, Asociación Española de Ciencia Regional, issue 21, pages 71-90.
    5. 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.
    6. Marçal, Emerson Fernandes & Zimmermann, Beatrice Aline & Mendonça, Diogo de Prince & Merlin, Giovanni Tondin & Simões, Oscar Rodrigues, 2016. "Assessing global economic activity linkages: an empirical exercise based on global autoregressive regression," Textos para discussão 416, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).

  37. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.

    Cited by:

    1. 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.
    2. Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010. "Evaluating Automatic Model Selection," Economics Series Working Papers 474, University of Oxford, Department of Economics.
    3. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
    4. 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.
    5. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
    6. David Hendry & Felix Pretis, 2011. "Anthropogenic Influences on Atmospheric CO2," Economics Series Working Papers 584, University of Oxford, Department of Economics.
    7. 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.
    8. 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.
    9. John Goddard & Peter Sloane (ed.), 2014. "Handbook on the Economics of Professional Football," Books, Edward Elgar Publishing, number 14821.

  38. David Hendry, 2010. "Climate Change: Lessons for our Future from the Distant Past," Economics Series Working Papers 485, University of Oxford, Department of Economics.

    Cited by:

    1. Thomas K.J. McDermott & Frank Barry & Richard S.J. Tol, 2013. "Disasters and Development: Natural Disasters, Credit Constraints and Economic Growth," CEDI Discussion Paper Series 13-03, Centre for Economic Development and Institutions(CEDI), Brunel University.

  39. David Hendry & Grayham E. Mizon, 2010. "On the Mathematical Basis of Inter-temporal Optimization," Economics Series Working Papers 497, University of Oxford, Department of Economics.

    Cited by:

    1. Alan Kirman, 2014. "Is it rational to have rational expectations?," Mind & Society: Cognitive Studies in Economics and Social Sciences, Springer;Fondazione Rosselli, vol. 13(1), pages 29-48, June.
    2. David Hendry, 2010. "Climate Change: Lessons for our Future from the Distant Past," Economics Series Working Papers 485, University of Oxford, Department of Economics.
    3. Eugenio Caverzasi & Alberto Russo, 2018. "Toward a New Microfounded Macroeconomics in the Wake of the Crisis," LEM Papers Series 2018/23, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    4. Giovanni Dosi & Mauro Napoletano & Andrea Roventini & Joseph Stiglitz & Tania Treibich, 2020. "Rational heuristics? Expectations and behaviors in evolving economies with heterogeneous interacting agents," SciencePo Working papers Main halshs-03046977, HAL.
    5. André K. Anundsen & Ragnar Nymoen & Tord S. Krogh & Jon Vislie, 2012. "The macroeconomics of Trygve Haavelmo," Nordic Journal of Political Economy, Nordic Journal of Political Economy, vol. 37, pages 1-2.
    6. Ermanno Catullo & Mauro Gallegati & Alberto Russo, 2020. "Forecasting in a complex environment: Machine learning sales expectations in a Stock Flow Consistent Agent-Based simulation model," Working Papers 2020/17, Economics Department, Universitat Jaume I, Castellón (Spain).
    7. Davide Bazzana, 2020. "Ageing population and pension system sustainability: reforms and redistributive implications," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 37(3), pages 971-992, October.
    8. 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.
    9. Kukacka, Jiri & Sacht, Stephen, 2023. "Estimation of heuristic switching in behavioral macroeconomic models," Journal of Economic Dynamics and Control, Elsevier, vol. 146(C).
    10. Giovanni Dosi & Andrea Roventini, 2019. "More is different ... and complex! the case for agent-based macroeconomics," Journal of Evolutionary Economics, Springer, vol. 29(1), pages 1-37, March.
    11. De Grauwe, Paul & Macchiarelli, Corrado, 2015. "Animal spirits and credit cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 59(C), pages 95-117.
    12. 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.
    13. Adriana Cornea & Cars Hommes & Domenico Massaro, 2013. "Behavioral Heterogeneity in U.S. Inflation Dynamics," Tinbergen Institute Discussion Papers 13-015/II, Tinbergen Institute.
    14. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
    15. Kevin Hoover & Katarina Juselius, 2012. "Experiments, Passive Observation and Scenario Analysis: Trygve Haavelmo and the Cointegrated Vector Autoregression," Discussion Papers 12-16, University of Copenhagen. Department of Economics.
    16. Alan Kirman, 2016. "Complexity and Economic Policy: A Paradigm Shift or a Change in Perspective? A Review Essay on David Colander and Roland Kupers's Complexity and the Art of Public Policy," Journal of Economic Literature, American Economic Association, vol. 54(2), pages 534-572, June.

  40. Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010. "Evaluating Automatic Model Selection," Economics Series Working Papers 474, University of Oxford, Department of Economics.

    Cited by:

    1. 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 Estadística.
    2. 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.
    3. 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.
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    5. 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.
    6. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
    7. 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.
    8. 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.
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    11. 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).
    12. Emmanuel Flachaire & Sullivan Hué & Sébastien Laurent & Gilles Hacheme, 2024. "Interpretable Machine Learning Using Partial Linear Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(3), pages 519-540, June.
    13. Alain Galli & Christian Hepenstrick & Rolf Scheufele, 2017. "Mixed-frequency models for tracking short-term economic developments in Switzerland," Working Papers 2017-02, Swiss National Bank.
    14. 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.
    15. 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.
    16. 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.
    17. Sullivan Hué, 2022. "GAM(L)A: An econometric model for interpretable machine learning," French Stata Users' Group Meetings 2022 19, Stata Users Group.
    18. 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.
    19. 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.
    20. 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.
    21. Lukasz Gatarek & Søren Johansen, 2014. "Optimal hedging with the cointegrated vector autoregressive model," Discussion Papers 14-22, University of Copenhagen. Department of Economics.
    22. 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.
    23. Loann David Denis Desboulets, 2018. "A Review on Variable Selection in Regression Analysis," Econometrics, MDPI, vol. 6(4), pages 1-27, November.
    24. 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.
    25. 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.
    26. 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.
    27. Brian Chi-ang Lin & Siqi Zheng & 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.
    28. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
    29. Kornstad, Tom & Nymoen, Ragnar & Skjerpen, Terje, 2013. "Macroeconomic shocks and the probability of being employed," Economic Modelling, Elsevier, vol. 33(C), pages 572-587.
    30. Benedictow, Andreas & Hammersland, Roger, 2023. "Transition risk of a petroleum currency," Economic Modelling, Elsevier, vol. 128(C).
    31. David Hendry & Felix Pretis, 2011. "Anthropogenic Influences on Atmospheric CO2," Economics Series Working Papers 584, University of Oxford, Department of Economics.
    32. 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.
    33. 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.
    34. 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.
    35. 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.
    36. 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.
    37. 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.
    38. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
    39. 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.
    40. 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.
    41. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
    42. Mukhtarov, Shahriyar & Mikayilov, Jeyhun I., 2023. "Could financial development eliminate energy poverty through renewable energy in Poland?," Energy Policy, Elsevier, vol. 182(C).
    43. Anundsen, André Kallåk, 2013. "Economic Regime Shifts and the US Subprime Bubble," Memorandum 05/2013, Oslo University, Department of Economics.
    44. 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.
    45. 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.
    46. 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.
    47. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
    48. Pellini, Elisabetta, 2021. "Estimating income and price elasticities of residential electricity demand with Autometrics," Energy Economics, Elsevier, vol. 101(C).
    49. 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.
    50. 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.).
    51. 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.
    52. David Hendry & Jurgen A. Doornik & Felix Pretis, 2013. "Step-indicator Saturation," Economics Series Working Papers 658, University of Oxford, Department of Economics.
    53. 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.
    54. 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.
    55. Carlomagno, Guillermo, 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 Estadística.
    56. 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.
    57. 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.
    58. 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.
    59. 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.
    60. 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.
    61. 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.
    62. 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.
    63. 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.
    64. 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.
    65. 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.
    66. Carlomagno, Guillermo, 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 Estadística.

  41. Hendry, David F. & Hubrich, Kirstin, 2010. "Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate," Working Paper Series 1155, European Central Bank.

    Cited by:

    1. C. Thubin & T. Ferrière & E. Monnet & M. Marx & V. Oung, 2016. "The PRISME model: can disaggregation on the production side help to forecast GDP?," Working papers 596, Banque de France.
    2. Lütkepohl Helmut, 2011. "Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 107-133, February.
    3. Francesco Ravazzolo & Shaun P. Vahey, 2010. "Forecast densities for economic aggregates from disaggregate ensembles," Working Paper 2010/02, Norges Bank.
    4. 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 Estadística.
    5. Kitov, Ivan & KItov, Oleg, 2013. "Does Banque de France control inflation and unemployment?," MPRA Paper 50239, University Library of Munich, Germany.
    6. 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.
    7. Katarzyna Maciejowska & Rafal Weron, 2013. "Forecasting of daily electricity spot prices by incorporating intra-day relationships: Evidence form the UK power market," HSC Research Reports HSC/13/01, Hugo Steinhaus Center, Wroclaw University of Science and Technology, revised 15 Apr 2013.
    8. 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.
    9. Andrejs Bessonovs, 2015. "Suite of Latvia's GDP forecasting models," Working Papers 2015/01, Latvijas Banka.
    10. 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.).
    11. Lorenzo Bencivelli & Massimiliano Marcellino & Gianluca Moretti, 2017. "Forecasting economic activity by Bayesian bridge model averaging," Empirical Economics, Springer, vol. 53(1), pages 21-40, August.
    12. Joseph, Andreas & Potjagailo, Galina & Chakraborty, Chiranjit & Kapetanios, George, 2024. "Forecasting UK inflation bottom up," International Journal of Forecasting, Elsevier, vol. 40(4), pages 1521-1538.
    13. 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.).
    14. Oleksiy Kryvtsov & James (Jim) C. MacGee & Luis Uzeda, 2023. "The 2021–22 Surge in Inflation," Discussion Papers 2023-3, Bank of Canada.
    15. Byeongdeuk Jang & Young Se Kim, 2017. "Driving Forces of Inflation Expectations," Korean Economic Review, Korean Economic Association, vol. 33, pages 207-237.
    16. Jing Zeng, 2015. "Combining Country-Specific Forecasts when Forecasting Euro Area Macroeconomic Aggregates," Working Paper Series of the Department of Economics, University of Konstanz 2015-11, Department of Economics, University of Konstanz.
    17. Katja Heinisch & Rolf Scheufele, 2018. "Bottom-up or direct? Forecasting German GDP in a data-rich environment," Empirical Economics, Springer, vol. 54(2), pages 705-745, March.
    18. Giancarlo Lutero & Marco Marini, 2010. "Direct vs Indirect Forecasts of Foreign Trade Unit Value Indices," Rivista di statistica ufficiale, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), vol. 12(2-3), pages 73-96, October.
    19. Kenneth Sæterhagen Paulsen & Tuva Marie Fastbø & Tobias Ingebrigtsen, 2022. "Aggregate density forecast of models using disaggregate data - A copula approach," Working Paper 2022/5, Norges Bank.
    20. Gabe de Bondt & Arne Gieseck & Pablo Herrero & Zivile Zekaite, 2021. "Euro Area Income and Wealth Effects: Aggregation Issues," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(6), pages 1454-1474, December.
    21. Nikolay P. Pilnik & Igor Pospelov & Ivan P. Stankevich, 2015. "Multiproduct Model Decomposition of Components of Russian GDP," HSE Working papers WP BRP 111/EC/2015, National Research University Higher School of Economics.
    22. Knotek, Edward S. & Zaman, Saeed, 2023. "Real-time density nowcasts of US inflation: A model combination approach," International Journal of Forecasting, Elsevier, vol. 39(4), pages 1736-1760.
    23. Martin Feldkircher & Nico Hauzenberger, 2019. "How useful are time-varying parameter models for forecasting economic growth in CESEE?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q1/19, pages 29-48.
    24. Angela Capolongo & Claudia Pacella, 2019. "Forecasting inflation in the euro area: countries matter!," Temi di discussione (Economic working papers) 1224, Bank of Italy, Economic Research and International Relations Area.
    25. Mihaela Bratu, 2011. "The Assessement Of Uncertainty In Predictions Determined By The Variables Aggregation," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 2(13), pages 1-31.
    26. Hubrich, Kirstin & Granziera, Eleonora & Moon, Hyungsik Roger, 2013. "A predictability test for a small number of nested models," Working Paper Series 1580, European Central Bank.
    27. Carson, Richard T. & Cenesizoglu, Tolga & Parker, Roger, 2011. "Forecasting (aggregate) demand for US commercial air travel," International Journal of Forecasting, Elsevier, vol. 27(3), pages 923-941, July.
    28. Bermingham, Colin & D'Agostino, Antonello, 2011. "Understanding and forecasting aggregate and disaggregate price dynamics," Working Paper Series 1365, European Central Bank.
    29. Espasa, Antoni & Mayo-Burgos, Iván, 2013. "Forecasting aggregates and disaggregates with common features," International Journal of Forecasting, Elsevier, vol. 29(4), pages 718-732.
    30. Beck, Günter W. & Carstensen, Kai & Menz, Jan-Oliver & Schnorrenberger, Richard & Wieland, Elisabeth, 2023. "Nowcasting consumer price inflation using high-frequency scanner data: Evidence from Germany," Discussion Papers 34/2023, Deutsche Bundesbank.
    31. Christiane Baumeister & Lutz Kilian & Thomas K. Lee, 2017. "Inside the Crystal Ball: New Approaches to Predicting the Gasoline Price at the Pump," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 275-295, March.
    32. 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.
    33. Ahumada, Hildegart A. & Garegnani, Maria Lorena, 2012. "Forecasting a monetary aggregate under instability: Argentina after 2001," International Journal of Forecasting, Elsevier, vol. 28(2), pages 412-427.
    34. Weron, Rafał, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
    35. Gregor Bäurle & Elizabeth Steiner & Gabriel Züllig, 2018. "Forecasting the production side of GDP," Working Papers 2018-16, Swiss National Bank.
    36. Hyun Hak Kim, 2013. "Forecasting Macroeconomic Variables Using Data Dimension Reduction Methods: The Case of Korea," Working Papers 2013-26, Economic Research Institute, Bank of Korea.
    37. Cobb, Marcus P A, 2017. "Forecasting Economic Aggregates Using Dynamic Component Grouping," MPRA Paper 81585, University Library of Munich, Germany.
    38. den Reijer, Ard H.J., 2011. "Regional and sectoral dynamics of the Dutch staffing labor cycle," Economic Modelling, Elsevier, vol. 28(4), pages 1826-1837, July.
    39. Dmytro Krukovets & Olesia Verchenko, 2019. "Short-Run Forecasting of Core Inflation in Ukraine: a Combined ARMA Approach," Visnyk of the National Bank of Ukraine, National Bank of Ukraine, issue 248, pages 11-20.
    40. Julius Stakenas, 2015. "Forecasting Lithuanian Inflation," Bank of Lithuania Working Paper Series 17, Bank of Lithuania.
    41. Edward S. Knotek & Saeed Zaman, 2017. "Nowcasting U.S. Headline and Core Inflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 49(5), pages 931-968, August.
    42. Kang, Wensheng & Ratti, Ronald A. & Vespignani, Joaquin, 2016. "The impact of oil price shocks on the U.S. stock market: A note on the roles of U.S. and non-U.S. oil production," Economics Letters, Elsevier, vol. 145(C), pages 176-181.
    43. Dées, Stéphane & Güntner, Jochen, 2014. "Analysing and forecasting price dynamics across euro area countries and sectors: a panel VAR approach," Working Paper Series 1724, European Central Bank.
    44. Yunjong Eo & Luis Uzeda & Benjamin Wong, 2022. "Understanding trend inflation through the lens of the goods and services sectors," CAMA Working Papers 2022-28, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    45. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    46. Camila Figueroa S. & Michael Pedersen, 2019. "A system for forecasting Chilean cash demand – the role of forecast combinations," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 22(2), pages 040-068, August.
    47. Katarzyna Maciejowska & Rafał Weron, 2015. "Forecasting of daily electricity prices with factor models: utilizing intra-day and inter-zone relationships," Computational Statistics, Springer, vol. 30(3), pages 805-819, September.
    48. Luis J. Álvarez & Isabel Sánchez, 2017. "A suite of inflation forecasting models," Occasional Papers 1703, Banco de España.
    49. Alessandro Girardi & Roberto Golinelli & Carmine Pappalardo, 2017. "The role of indicator selection in nowcasting euro-area GDP in pseudo-real time," Empirical Economics, Springer, vol. 53(1), pages 79-99, August.
    50. Monterrey Mayoral, Juan & Sánchez Segura, Amparo, 2017. "Una evaluación empírica de los métodos de predicción de la rentabilidad y su relación con las características corporativas," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 20(1), pages 95-106.
    51. Michael Zhemkov, 2021. "Nowcasting Russian GDP using forecast combination approach," International Economics, CEPII research center, issue 168, pages 10-24.
    52. Tallman, Ellis W. & Zaman, Saeed, 2017. "Forecasting inflation: Phillips curve effects on services price measures," International Journal of Forecasting, Elsevier, vol. 33(2), pages 442-457.
    53. 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.
    54. Viacheslav Kramkov, 2023. "Does CPI disaggregation improve inflation forecast accuracy?," Bank of Russia Working Paper Series wps112, Bank of Russia.
    55. Khalaf, Lynda & Saunders, Charles J., 2017. "Monte Carlo forecast evaluation with persistent data," International Journal of Forecasting, Elsevier, vol. 33(1), pages 1-10.
    56. Katarzyna Maciejowska & Rafal Weron, 2015. "Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals," HSC Research Reports HSC/15/04, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    57. Andrejs Bessonovs & Olegs Krasnopjorovs, 2020. "Short-Term Inflation Projections Model and Its Assessment in Latvia," Working Papers 2020/01, Latvijas Banka.
    58. 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.
    59. 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.
    60. Lan Bai & Xiafei Li & Yu Wei & Guiwu Wei, 2022. "Does crude oil futures price really help to predict spot oil price? New evidence from density forecasting," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(3), pages 3694-3712, July.
    61. Marcus Cobb, 2014. "GDP Forecasting Bias due to Aggregation Inaccuracy in a Chain- Linking Framework," Working Papers Central Bank of Chile 721, Central Bank of Chile.
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    64. Anjara Lalaina Jocelyn Rakotoarisoa, 2024. "Modélisations Univariées de l’Inflation Mensuelle à Madagascar : l’Atout du Modèle LSTM, un Réseau de Neurones Récurrents," Post-Print hal-04766563, HAL.
    65. Blazej Mazur, 2015. "Density forecasts based on disaggregate data: nowcasting Polish inflation," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 15, pages 71-87.
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    70. Cobb, Marcus P A, 2017. "Joint Forecast Combination of Macroeconomic Aggregates and Their Components," MPRA Paper 76556, University Library of Munich, Germany.
    71. Guillermo Carlomagno & Nicolas Eterovic & L. G. Hernández-Román, 2023. "Disentangling Demand and Supply Inflation Shocks from Chilean Electronic Payment Data," Working Papers Central Bank of Chile 986, Central Bank of Chile.
    72. Todd E. Clark & Michael W. McCracken, 2010. "Reality checks and nested forecast model comparisons," Working Papers 2010-032, Federal Reserve Bank of St. Louis.
    73. Aron, Janine & Muellbauer, John, 2012. "Improving forecasting in an emerging economy, South Africa: Changing trends, long run restrictions and disaggregation," International Journal of Forecasting, Elsevier, vol. 28(2), pages 456-476.
    74. Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 2-56, Elsevier.
    75. Ewing, Bradley T. & Kang, Wensheng & Ratti, Ronald A., 2018. "The dynamic effects of oil supply shocks on the US stock market returns of upstream oil and gas companies," Energy Economics, Elsevier, vol. 72(C), pages 505-516.
    76. 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.).
    77. Shoesmith, Gary L., 2013. "Space–time autoregressive models and forecasting national, regional and state crime rates," International Journal of Forecasting, Elsevier, vol. 29(1), pages 191-201.
    78. Nicholson, William B. & Matteson, David S. & Bien, Jacob, 2017. "VARX-L: Structured regularization for large vector autoregressions with exogenous variables," International Journal of Forecasting, Elsevier, vol. 33(3), pages 627-651.
    79. Kirstin Hubrich & Frauke Skudelny, 2016. "Forecast Combination for Euro Area Inflation - A Cure in Times of Crisis?," Finance and Economics Discussion Series 2016-104, Board of Governors of the Federal Reserve System (U.S.).
    80. Carlomagno, Guillermo, 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 Estadística.
    81. Anh Dinh Minh Nguyen, 2017. "U.K. Monetary Policy under Inflation Targeting," Bank of Lithuania Working Paper Series 41, Bank of Lithuania.
    82. Garciga, Christian & Knotek II, Edward S., 2019. "Forecasting GDP growth with NIPA aggregates: In search of core GDP," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1814-1828.
    83. Proietti, Tommaso & Giovannelli, Alessandro & Ricchi, Ottavio & Citton, Ambra & Tegami, Christían & Tinti, Cristina, 2021. "Nowcasting GDP and its components in a data-rich environment: The merits of the indirect approach," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1376-1398.
    84. 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.
    85. Weber, Enzo & Zika, Gerd, 2013. "Labour market forecasting : is disaggregation useful?," IAB-Discussion Paper 201314, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    86. Shang, Han Lin & Haberman, Steven, 2017. "Grouped multivariate and functional time series forecasting:An application to annuity pricing," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 166-179.
    87. Pino, Gabriel, 2013. "Forecasting disaggregates by sectors and regions : the case of inflation in the euro area and Spain," DES - Working Papers. Statistics and Econometrics. WS ws130807, Universidad Carlos III de Madrid. Departamento de Estadística.
    88. Cobb, Marcus P A, 2018. "Improving Underlying Scenarios for Aggregate Forecasts: A Multi-level Combination Approach," MPRA Paper 88593, University Library of Munich, Germany.
    89. Laurent L. Pauwels & Andrey L. Vasnev, 2017. "Forecast combination for discrete choice models: predicting FOMC monetary policy decisions," Empirical Economics, Springer, vol. 52(1), pages 229-254, February.
    90. Kausik Chaudhuri & Saumitra N. Bhaduri, 2019. "Inflation Forecast: Just use the Disaggregate or Combine it with the Aggregate," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 331-343, June.
    91. Yaojie Zhang & Yudong Wang & Feng Ma, 2021. "Forecasting US stock market volatility: How to use international volatility information," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(5), pages 733-768, August.
    92. César Castro & Rebeca Jiménez-Rodríguez & Pilar Poncela & Eva Senra, 2017. "A new look at oil price pass-through into inflation: evidence from disaggregated European data," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 34(1), pages 55-82, April.
    93. Gilberto Boaretto & Marcelo C. Medeiros, 2023. "Forecasting inflation using disaggregates and machine learning," Papers 2308.11173, arXiv.org.
    94. 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.
    95. Gabriel Pino & J. D. Tena & Antoni Espasa, 2016. "Geographical disaggregation of sectoral inflation. Econometric modelling of the Euro area and Spanish economies," Applied Economics, Taylor & Francis Journals, vol. 48(9), pages 799-815, February.
    96. Edward N. Gamber & Julie K. Smith, 2016. "Time-series measures of core inflation," Working Papers 2016-008, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    97. 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.
    98. Nicoletta Pashourtidou & Christos Papamichael & Charalampos Karagiannakis, 2018. "Forecasting economic activity in sectors of the Cypriot economy," Cyprus Economic Policy Review, University of Cyprus, Economics Research Centre, vol. 12(2), pages 24-66, December.
    99. Mossfeldt, Marcus & Stockhammar, Pär, 2016. "Forecasting Goods and Services Inflation in Sweden," Working Papers 146, National Institute of Economic Research.
    100. Carlomagno, Guillermo, 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 Estadística.
    101. Reade, J. James & Vaughan Williams, Leighton, 2019. "Polls to probabilities: Comparing prediction markets and opinion polls," International Journal of Forecasting, Elsevier, vol. 35(1), pages 336-350.
    102. Barakchian , Seyed Mahdi & Bayat , Saeed & Karami , Hooman, 2013. "Common Factors of CPI Sub-aggregates and Forecast of Inflation," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 8(4), pages 1-17, October.
    103. Liew, Freddy, 2012. "Forecasting inflation in Asian economies," MPRA Paper 36781, University Library of Munich, Germany.
    104. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.
    105. Zeng, Jing, 2014. "Forecasting Aggregates with Disaggregate Variables: Does boosting help to select the most informative predictors?," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100310, Verein für Socialpolitik / German Economic Association.
    106. Jing Zeng, 2014. "Forecasting Aggregates with Disaggregate Variables: Does Boosting Help to Select the Most Relevant Predictors?," Working Paper Series of the Department of Economics, University of Konstanz 2014-20, Department of Economics, University of Konstanz.
    107. 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.
    108. Jing Zeng, 2016. "Combining country-specific forecasts when forecasting Euro area macroeconomic aggregates," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(2), pages 415-444, May.
    109. Cobb, Marcus P A, 2017. "Aggregate Density Forecasting from Disaggregate Components Using Large VARs," MPRA Paper 76849, University Library of Munich, Germany.
    110. 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.

  42. 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.

    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. J. James Reade & Ulrich Volz, 2011. "From the General to the Specific," Discussion Papers 11-18, Department of Economics, University of Birmingham.
    5. 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.
    6. 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.
    7. 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.
    8. De Grauwe, Paul & Macchiarelli, Corrado, 2015. "Animal spirits and credit cycles," Journal of Economic Dynamics and Control, Elsevier, vol. 59(C), pages 95-117.
    9. Adriana Cornea & Cars Hommes & Domenico Massaro, 2013. "Behavioral Heterogeneity in U.S. Inflation Dynamics," Tinbergen Institute Discussion Papers 13-015/II, Tinbergen Institute.
    10. Hendry, David F., 2011. "On adding over-identifying instrumental variables to simultaneous equations," Economics Letters, Elsevier, vol. 111(1), pages 68-70, April.
    11. 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.

  43. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.

    Cited by:

    1. 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.).
    2. 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.
    3. 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.
    4. 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.
    5. 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.).
    6. Andrew B. Martinez, 2011. "Comparing Government Forecasts of the United States’ Gross Federal Debt," Working Papers 2011-002, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    7. 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.
    8. Guillaume Chevillon & Takamitsu Kurita, 2023. "What Does it Take to Control Global Temperatures? A toolbox for testing and estimating the impact of economic policies on climate," Papers 2307.05818, arXiv.org, revised Jul 2024.
    9. 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.
    10. Nicholas Apergis & Arusha Cooray, 2013. "Forecasting fiscal variables: Only a strong growth plan can sustain the Greek austerity programs - Evidence from simultaneous and structural models," CAMA Working Papers 2013-25, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    11. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    12. Hildegart Ahumada & Magdalena Cornejo, 2015. "Explaining commodity prices by a cointegrated time series-cross section model," Empirical Economics, Springer, vol. 48(4), pages 1667-1690, June.
    13. 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.
    14. 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.
    15. 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.
    16. Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019. "Uniform Consistency of Marked and Weighted Empirical Distributions of Residuals," Economics Papers 2019-W04, Economics Group, Nuffield College, University of Oxford.
    17. Lukasz Gatarek & Søren Johansen, 2014. "Optimal hedging with the cointegrated vector autoregressive model," Discussion Papers 14-22, University of Copenhagen. Department of Economics.
    18. 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.
    19. 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.
    20. Hendry, David F. & Pretis, Felix, 2023. "Analysing differences between scenarios," International Journal of Forecasting, Elsevier, vol. 39(2), pages 754-771.
    21. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
    22. Jennifer Castle & David Hendry, 2016. "Policy Analysis, Forediction, and Forecast Failure," Economics Series Working Papers 809, University of Oxford, Department of Economics.
    23. Gamber, Edward N. & Liebner, Jeffrey P., 2017. "Comment on “How Biased are US Government Forecasts of the Federal Debt?”," International Journal of Forecasting, Elsevier, vol. 33(2), pages 560-562.
    24. Igor Pelipas, 2012. "Multiple Structural Breaks and Inflation Persistance in Belarus," BEROC Working Paper Series 21, Belarusian Economic Research and Outreach Center (BEROC).
    25. David Hendry & Felix Pretis, 2011. "Anthropogenic Influences on Atmospheric CO2," Economics Series Working Papers 584, University of Oxford, Department of Economics.
    26. 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.
    27. Vassili Bazinas & Bent Nielsen, 2015. "Causal transmission in reduced-form models," Economics Papers 2015-W07, Economics Group, Nuffield College, University of Oxford.
    28. 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.
    29. 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.
    30. 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.
    31. Jennifer L. Castle & David F. Hendry, 2024. "What a Puzzle! Unravelling Why UK Phillips Curves were Unstable," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(4), pages 743-760, August.
    32. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Business School, revised Sep 2013.
    33. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
    34. Pretis, Felix, 2021. "Exogeneity in climate econometrics," Energy Economics, Elsevier, vol. 96(C).
    35. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
    36. Xiyu Jiao & Felix Pretis, 2022. "Testing the Presence of Outliers in Regression Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(6), pages 1452-1484, December.
    37. Dzmitry Kruk, 2011. "The Impact of Directed Lending on Long-run Growth in Belarus," BEROC Working Paper Series 14, Belarusian Economic Research and Outreach Center (BEROC).
    38. 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.
    39. Hendry David F & Mizon Grayham E, 2011. "Econometric Modelling of Time Series with Outlying Observations," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-26, February.
    40. Ericsson, Neil R., 2017. "Interpreting estimates of forecast bias," International Journal of Forecasting, Elsevier, vol. 33(2), pages 563-568.
    41. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
    42. 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.
    43. Hendry, David F., 2011. "On adding over-identifying instrumental variables to simultaneous equations," Economics Letters, Elsevier, vol. 111(1), pages 68-70, April.
    44. 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).
    45. 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).
    46. David Hendry & Jurgen A. Doornik & Felix Pretis, 2013. "Step-indicator Saturation," Economics Series Working Papers 658, University of Oxford, Department of Economics.
    47. 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.
    48. 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.
    49. David F. Hendry, 2024. "A Brief History of General‐to‐specific Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 1-20, February.
    50. 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.
    51. Bent Nielsen & Xiyu Jiao, 2016. "Asymptotic Analysis of Iterated 1-step Huber-skip M-estimators with Varying Cut-offs," Economics Papers 2016-W08, Economics Group, Nuffield College, University of Oxford.
    52. Kurita, Takamitsu, 2011. "An empirical model for Japan's business fixed investment," Journal of Economics and Business, Elsevier, vol. 63(2), pages 107-120, March.
    53. 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).
    54. 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.
    55. Povilas Lastauskas & Julius Stakenas, 2016. "Openness and Structural Labour Market Reforms: Counterfactuals for Lithuania," Bank of Lithuania Discussion Paper Series 1, Bank of Lithuania.
    56. Kurita, Takamitsu, 2011. "An empirical model for Japan’s business fixed investment," Journal of Economics and Business, Elsevier, vol. 63(2), pages 107-120.
    57. 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.

  44. 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.

    Cited by:

    1. 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.
    2. 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).
    3. 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.
    4. James J. Forest & Ben S. Branch & Brian T. Berry, 2024. "Trading Activity in the Corporate Bond Market: A SAD Tale of Macro-Announcements and Behavioral Seasonality?," Risks, MDPI, vol. 12(5), pages 1-25, May.
    5. 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.
    6. 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.
    7. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    8. Marçal, Emerson Fernandes, 2024. "Testing rational expectations in a cointegrated VAR with structural change," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    9. 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.
    10. Hendry, David F. & Pretis, Felix, 2023. "Analysing differences between scenarios," International Journal of Forecasting, Elsevier, vol. 39(2), pages 754-771.
    11. 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.
    12. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
    13. Jennifer Castle & David Hendry & Michael P. Clements, 2014. "Robust Approaches to Forecasting," Economics Series Working Papers 697, University of Oxford, Department of Economics.
    14. 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.

  45. Jennifer Castle & David Hendry, 2010. "A Low-Dimension Portmanteau Test for Non-linearity," Economics Series Working Papers 471, University of Oxford, Department of Economics.

    Cited by:

    1. 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.
    2. Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010. "Evaluating Automatic Model Selection," Economics Series Working Papers 474, University of Oxford, Department of Economics.
    3. 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.
    4. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    5. 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.
    6. 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.
    7. Sullivan Hué, 2022. "GAM(L)A: An econometric model for interpretable machine learning," French Stata Users' Group Meetings 2022 19, Stata Users Group.
    8. 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.
    9. 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.
    10. Loann David Denis Desboulets, 2018. "A Review on Variable Selection in Regression Analysis," Econometrics, MDPI, vol. 6(4), pages 1-27, November.
    11. 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.
    12. 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).
    13. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
    14. 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.
    15. 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.
    16. 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.
    17. 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.
    18. 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.
    19. 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.
    20. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
    21. 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.
    22. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
    23. 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.
    24. 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.
    25. 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.
    26. 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).
    27. 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.
    28. 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.
    29. 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.
    30. Mahalia Jackman & Roland Craigwell & Michelle Doyle-Lowe, 2013. "Nonlinearity in the reaction of the foreign exchange market to interest rate differentials: evidence from a small open economy with a long-term peg," Applied Financial Economics, Taylor & Francis Journals, vol. 23(4), pages 287-296, February.
    31. 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.
    32. 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.

  46. David Hendry & Grayham E. Mizon, 2010. "Econometric Modelling of Changing Time Series," Economics Series Working Papers 475, University of Oxford, Department of Economics.

    Cited by:

    1. Yulia Tyumeneva & Yulia Kuzmina, 2012. "The Effect of One Extra Year of Schooling on Pisa Results: a Case of Countries with Different Tracking Systems," HSE Working papers WP BRP 08/EDU/2012, National Research University Higher School of Economics.
    2. Paul Plummer & Matthew Tonts, 2013. "Do History and Geography Matter? Regional Unemployment Dynamics in a Resource-Dependent Economy: Evidence from Western Australia, 1984–2011," Environment and Planning A, , vol. 45(12), pages 2919-2938, December.
    3. Pinto, Hugo, 2011. "The role of econometrics in economic science: An essay about the monopolization of economic methodology by econometric methods," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 40(4), pages 436-443, August.

  47. 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.

    Cited by:

    1. Mihaela Bratu, 2011. "The Assessement Of Uncertainty In Predictions Determined By The Variables Aggregation," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 2(13), pages 1-31.
    2. Bratu Simionescu Mihaela, 2012. "Variables Aggregation-Source of Uncertainty in Forecasting," Scientific Annals of Economics and Business, Sciendo, vol. 59(2), pages 1-13, December.

  48. 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.

    Cited by:

    1. 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.
    2. 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).
    3. 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 Estadística.
    4. 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.
    5. 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.
    6. 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.).
    7. 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.
    8. Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010. "Evaluating Automatic Model Selection," Economics Series Working Papers 474, University of Oxford, Department of Economics.
    9. 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.
    10. 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).
    11. 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.).
    12. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
    13. 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.
    14. Guillaume Chevillon & Takamitsu Kurita, 2023. "What Does it Take to Control Global Temperatures? A toolbox for testing and estimating the impact of economic policies on climate," Papers 2307.05818, arXiv.org, revised Jul 2024.
    15. 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.
    16. Apergis, Nicholas & Pan, Wei-Fong & Reade, James & Wang, Shixuan, 2023. "Modelling Australian electricity prices using indicator saturation," Energy Economics, Elsevier, vol. 120(C).
    17. 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.
    18. 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.
    19. 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.
    20. 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.
    21. Marçal, Emerson Fernandes, 2024. "Testing rational expectations in a cointegrated VAR with structural change," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    22. 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.
    23. 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.
    24. 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.
    25. 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.
    26. J. James Reade & Ulrich Volz, 2011. "From the General to the Specific," Discussion Papers 11-18, Department of Economics, University of Birmingham.
    27. Valentina Corradi & Norman Swanson, 2013. "Testing for Structural Stability of Factor Augmented Forecasting Models," Departmental Working Papers 201314, Rutgers University, Department of Economics.
    28. 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.
    29. 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.
    30. 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.
    31. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
    32. 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).
    33. Igor Pelipas, 2012. "Multiple Structural Breaks and Inflation Persistance in Belarus," BEROC Working Paper Series 21, Belarusian Economic Research and Outreach Center (BEROC).
    34. 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).
    35. David Hendry & Felix Pretis, 2011. "Anthropogenic Influences on Atmospheric CO2," Economics Series Working Papers 584, University of Oxford, Department of Economics.
    36. 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.
    37. 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.
    38. 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.
    39. 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.
    40. 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.
    41. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
    42. Kristine Wika Haraldsen & Ragnar Nymoen & Victoria Sparrman, 2019. "Labour market institutions, shocks and the employment rate," Discussion Papers 901, Statistics Norway, Research Department.
    43. 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.
    44. Jennifer Castle & David Hendry & Michael P. Clements, 2014. "Robust Approaches to Forecasting," Economics Series Working Papers 697, University of Oxford, Department of Economics.
    45. 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.
    46. Bucacos, Elizabeth, 2017. "Financial Conditions and Monetary Policy in Uruguay: An MS-VAR Approach," IDB Publications (Working Papers) 8275, Inter-American Development Bank.
    47. Ericsson, Neil R., 2017. "Interpreting estimates of forecast bias," International Journal of Forecasting, Elsevier, vol. 33(2), pages 563-568.
    48. 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.
    49. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
    50. Pellini, Elisabetta, 2021. "Estimating income and price elasticities of residential electricity demand with Autometrics," Energy Economics, Elsevier, vol. 101(C).
    51. 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.
    52. 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.
    53. Roman Frydman & Soren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2021. "Asset Prices Under Knightian Uncertainty," Working Papers Series inetwp172, Institute for New Economic Thinking.
    54. David Hendry & Jurgen A. Doornik & Felix Pretis, 2013. "Step-indicator Saturation," Economics Series Working Papers 658, University of Oxford, Department of Economics.
    55. 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.
    56. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021. "Selecting a Model for Forecasting," Econometrics, MDPI, vol. 9(3), pages 1-35, June.
    57. Carlomagno, Guillermo, 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 Estadística.
    58. Anh Dinh Minh Nguyen, 2017. "U.K. Monetary Policy under Inflation Targeting," Bank of Lithuania Working Paper Series 41, Bank of Lithuania.
    59. 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.
    60. David F. Hendry, 2024. "A Brief History of General‐to‐specific Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 1-20, February.
    61. 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.
    62. Alexander HARIN, 2014. "Partially Unforeseen Events. Corrections and Correcting Formulae for Forecasts," Expert Journal of Economics, Sprint Investify, vol. 2(2), pages 69-79.
    63. 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.
    64. 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).
    65. 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).
    66. 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.
    67. Haraldsen, Kristine Wika & Ragnar, Nymoen & Sparrman, Victoria, 2019. "Labour market institutions, shocks and the employment rate," Memorandum 6/2019, Oslo University, Department of Economics.
    68. 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.
    69. 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.
    70. 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.
    71. 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.
    72. Harin, Alexander, 2014. "General correcting formulae for forecasts," MPRA Paper 55283, University Library of Munich, Germany.

  49. 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.

    Cited by:

    1. 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.).
    2. 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.
    3. 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.
    4. Chihwa Kao & Lorenzo Trapani & Giovanni Urga, 2016. "Testing for Instability in Covariance Structures," Working papers 2016-33, University of Connecticut, Department of Economics.
    5. 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.).
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    11. 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.
    12. 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.
    13. 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.
    14. 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.
    15. Marta Boczoń & Jean-François Richard, 2020. "Balanced Growth Approach to Tracking Recessions," Econometrics, MDPI, vol. 8(2), pages 1-35, April.
    16. Wickens, Michael R., 2012. "How Useful are DSGE Macroeconomic Models for Forecasting?," CEPR Discussion Papers 9049, C.E.P.R. Discussion Papers.
    17. 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.
    18. 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.
    19. Jennifer Castle & David Hendry & Michael P. Clements, 2014. "Robust Approaches to Forecasting," Economics Series Working Papers 697, University of Oxford, Department of Economics.
    20. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
    21. 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.
    22. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
    23. 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.
    24. 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).
    25. Jitendra Sharma & Subrata Kumar Mitra, 2021. "Asymmetric relationship between tourist arrivals and employment," Tourism Economics, , vol. 27(5), pages 952-970, August.
    26. 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.
    27. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2024. "Forecasting the UK top 1% income share in a shifting world," Economica, London School of Economics and Political Science, vol. 91(363), pages 1047-1074, July.

  50. 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.

    Cited by:

    1. 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.
    2. 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).
    3. 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.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. Neil Shephard, 2010. "Deferred fees for universities," Economics Papers 2010-W03, Economics Group, Nuffield College, University of Oxford.
    9. 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).
    10. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
    11. 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.
    12. 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.
    13. 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.
    14. 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.
    15. 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.
    16. 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.
    17. 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).
    18. 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.
    19. 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.
    20. Ragnar Nymoen, 2017. "Between Institutions and Global Forces: Norwegian Wage Formation Since Industrialisation," Econometrics, MDPI, vol. 5(1), pages 1-54, January.

  51. David Hendry & Carlos Santos, 2007. "AUTOMATIC TESTS for SUPER EXOGENEITY," Working Papers de Economia (Economics Working Papers) 11, Católica Porto Business School, Universidade Católica Portuguesa.

    Cited by:

    1. Carlos Santos & Maria Alberta Oliveira, 2007. "Assessing French Inflation Persistence with Impulse Saturation Break Tests and Automatic General-to-Specific Modelling," Working Papers de Economia (Economics Working Papers) 10, Católica Porto Business School, Universidade Católica Portuguesa.
    2. Hildegart Ahumada & Magdalena Cornejo, 2015. "Explaining commodity prices by a cointegrated time series-cross section model," Empirical Economics, Springer, vol. 48(4), pages 1667-1690, June.
    3. Neil R. Ericsson, 2008. "The fragility of sensitivity analysis: an encompassing perspective," International Finance Discussion Papers 959, Board of Governors of the Federal Reserve System (U.S.).
    4. Zorica Mladenovic & Bent Nielsen, 2009. "The role of income in money demand during hyper-inflation: the case of Yugoslavia," Economics Papers 2009-W02, Economics Group, Nuffield College, University of Oxford.
    5. David F. Hendry & Søren Johansen & Carlos Santos, 2007. "Selecting a Regression Saturated by Indicators," Discussion Papers 07-26, University of Copenhagen. Department of Economics.
    6. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
    7. Santos, Carlos, 2008. "Impulse saturation break tests," Economics Letters, Elsevier, vol. 98(2), pages 136-143, February.

  52. 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:

    1. 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.
    2. 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.
    3. 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.
    4. Christian Kascha & Francesco Ravazzolo, 2008. "Combining inflation density forecasts," Working Paper 2008/22, Norges Bank.
    5. Garcés Díaz Daniel, 2020. "On the Drivers of Inflation in Different Monetary Regimes," Working Papers 2020-16, Banco de México.
    6. 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.
    7. 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.

  53. 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:

    1. 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.

  54. Søren Johansen & David F. Hendry & Carlos Santos, 2007. "Selecting a Regression Saturated by Indicators," CREATES Research Papers 2007-36, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Collier, Paul & Hoeffler, Anke, 2009. "Testing the neocon agenda: Democracy in resource-rich societies," European Economic Review, Elsevier, vol. 53(3), pages 293-308, April.
    2. Bhattacharyya, Sambit & Hodler, Roland, 2010. "Natural resources, democracy and corruption," European Economic Review, Elsevier, vol. 54(4), pages 608-621, May.

  55. Hendry, David & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers.

    Cited by:

    1. Mr. Emil Stavrev, 2006. "Measures of Underlying Inflation in the Euro Area: Assessment and Role for Informing Monetary Policy," IMF Working Papers 2006/197, International Monetary Fund.
    2. Leon, Jorge, 2012. "A Disaggregate Model and Second Round Effects for the CPI Inflation in Costa Rica," MPRA Paper 44484, University Library of Munich, Germany, revised 2012.
    3. Hubrich, Kirstin & Marcellino, Massimiliano & Beck, Günter W., 2006. "Regional inflation dynamics within and across euro area countries and a comparison with the US," Working Paper Series 681, European Central Bank.
    4. Bloom, David E. & Canning, David & Fink, Gunther & Finlay, Jocelyn E., 2007. "Does age structure forecast economic growth?," International Journal of Forecasting, Elsevier, vol. 23(4), pages 569-585.
    5. Andrejs Bessonovs, 2015. "Suite of Latvia's GDP forecasting models," Working Papers 2015/01, Latvijas Banka.
    6. Vitale, Paolo, 2006. "A market microstructure analysis of foreign exchange intervention," Working Paper Series 629, European Central Bank.
    7. Joseph P. Byrne & Alexandros Kontonikas & Alberto Montagnoli, 2010. "The Time‐Series Properties Of Uk Inflation: Evidence From Aggregate And Disaggregate Data," Scottish Journal of Political Economy, Scottish Economic Society, vol. 57(1), pages 33-47, February.
    8. Jing Zeng, 2015. "Combining Country-Specific Forecasts when Forecasting Euro Area Macroeconomic Aggregates," Working Paper Series of the Department of Economics, University of Konstanz 2015-11, Department of Economics, University of Konstanz.
    9. Martin Feldkircher & Nico Hauzenberger, 2019. "How useful are time-varying parameter models for forecasting economic growth in CESEE?," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue Q1/19, pages 29-48.
    10. Baltagi, Badi H., 2013. "Panel Data Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 995-1024, Elsevier.
    11. Mihaela Bratu, 2011. "The Assessement Of Uncertainty In Predictions Determined By The Variables Aggregation," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, vol. 2(13), pages 1-31.
    12. Eliana González & Miguel I. Gómez & Luis F. Melo & José Luis Torres, 2006. "Forecasting Food Price Inflation in Developing Countries with Inflation Targeting Regimes: the Colombian Case," Borradores de Economia 2735, Banco de la Republica.
    13. Baltagi, Badi H., 2006. "Forecasting with panel data," Discussion Paper Series 1: Economic Studies 2006,25, Deutsche Bundesbank.
    14. Espasa, Antoni & Mayo-Burgos, Iván, 2013. "Forecasting aggregates and disaggregates with common features," International Journal of Forecasting, Elsevier, vol. 29(4), pages 718-732.
    15. Raffaella Giacomini, 2014. "Economic theory and forecasting: lessons from the literature," CeMMAP working papers 41/14, Institute for Fiscal Studies.
    16. Emil Stavrev, 2010. "Measures of underlying inflation in the euro area: assessment and role for informing monetary policy," Empirical Economics, Springer, vol. 38(1), pages 217-239, February.
    17. Dées, Stéphane & Burgert, Matthias, 2008. "Forecasting world trade: direct versus "bottom-up" approaches," Working Paper Series 882, European Central Bank.
    18. Muellbauer, John & Aron, Janine, 2010. "Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?," CEPR Discussion Papers 7895, C.E.P.R. Discussion Papers.
    19. Giacomini, Raffaella, 2014. "Economic theory and forecasting: lessons from the literature," CEPR Discussion Papers 10201, C.E.P.R. Discussion Papers.
    20. Janine Aron & John Muellbauer, 2008. "New methods for forecasting inflation and its sub-components: application to the USA," Economics Series Working Papers 406, University of Oxford, Department of Economics.
    21. Reade, J. James & Volz, Ulrich, 2011. "Leader of the pack? German monetary dominance in Europe prior to EMU," Economic Modelling, Elsevier, vol. 28(1-2), pages 239-250, January.
    22. Tallman, Ellis W. & Zaman, Saeed, 2017. "Forecasting inflation: Phillips curve effects on services price measures," International Journal of Forecasting, Elsevier, vol. 33(2), pages 442-457.
    23. Katarzyna Maciejowska & Rafal Weron, 2015. "Short- and mid-term forecasting of baseload electricity prices in the UK: The impact of intra-day price relationships and market fundamentals," HSC Research Reports HSC/15/04, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
    24. Bratu Simionescu Mihaela, 2012. "Variables Aggregation-Source of Uncertainty in Forecasting," Scientific Annals of Economics and Business, Sciendo, vol. 59(2), pages 1-13, December.
    25. Kristie M. Engemann & Ruben Hernandez-Murillo & Michael T. Owyang, 2008. "Regional aggregation in forecasting: an application to the Federal Reserve's Eighth District," Regional Economic Development, Federal Reserve Bank of St. Louis, issue Oct, pages 15-29.
    26. Matteo Ciccarelli & Carlo Altavilla, 2007. "Inflation Forecasts, Monetary Policy and Unemployment Dynamics: Evidence from the US and the Euro area," 2007 Meeting Papers 315, Society for Economic Dynamics.
    27. Barrera, Carlos, 2013. "El sistema de predicción desagregada: Una evaluación de las proyecciones de inflación 2006-2011," Working Papers 2013-009, Banco Central de Reserva del Perú.
    28. Aron, Janine & Muellbauer, John, 2012. "Improving forecasting in an emerging economy, South Africa: Changing trends, long run restrictions and disaggregation," International Journal of Forecasting, Elsevier, vol. 28(2), pages 456-476.
    29. Chalmovianský, Jakub & Porqueddu, Mario & Sokol, Andrej, 2020. "Weigh(t)ing the basket: aggregate and component-based inflation forecasts for the euro area," Working Paper Series 2501, European Central Bank.
    30. Daniel Dias, 2006. "Measuring the Importance of the Uniform Nonsynchronization Hypothesis," Working Papers w200603, Banco de Portugal, Economics and Research Department.
    31. Juan de Dios Tena & Antoni Espasa & Gabriel Pino, 2010. "Forecasting Spanish Inflation Using the Maximum Disaggregation Level by Sectors and Geographical Areas," International Regional Science Review, , vol. 33(2), pages 181-204, April.
    32. Marcus Cobb, 2009. "Forecasting Chilean Inflation From Disaggregate Components," Working Papers Central Bank of Chile 545, Central Bank of Chile.
    33. Stéphanie Guichard & Elena Rusticelli, 2011. "A Dynamic Factor Model for World Trade Growth," OECD Economics Department Working Papers 874, OECD Publishing.
    34. Guenter Beck & Massimiliano Marcellino, 2006. "Regional Inflation Dynamics within and across Euro Area and a Comparison with the US," Computing in Economics and Finance 2006 338, Society for Computational Economics.
    35. 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.
    36. Gomez, Miguel I. & Gonzalez, Eliana & Melo, Luis F. & Torres, Jose L., 2006. "Forecasting Food Price Inflation, Challenges for Central Banks in Developing Countries using an Inflation Targeting Framework: the Case of Colombia," 2006 Annual meeting, July 23-26, Long Beach, CA 21181, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    37. Mossfeldt, Marcus & Stockhammar, Pär, 2016. "Forecasting Goods and Services Inflation in Sweden," Working Papers 146, National Institute of Economic Research.
    38. Barakchian , Seyed Mahdi & Bayat , Saeed & Karami , Hooman, 2013. "Common Factors of CPI Sub-aggregates and Forecast of Inflation," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 8(4), pages 1-17, October.
    39. Zeng, Jing, 2014. "Forecasting Aggregates with Disaggregate Variables: Does boosting help to select the most informative predictors?," VfS Annual Conference 2014 (Hamburg): Evidence-based Economic Policy 100310, Verein für Socialpolitik / German Economic Association.
    40. Jing Zeng, 2014. "Forecasting Aggregates with Disaggregate Variables: Does Boosting Help to Select the Most Relevant Predictors?," Working Paper Series of the Department of Economics, University of Konstanz 2014-20, Department of Economics, University of Konstanz.
    41. Jing Zeng, 2016. "Combining country-specific forecasts when forecasting Euro area macroeconomic aggregates," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(2), pages 415-444, May.
    42. Amankwah, Ernest & Atta Sarfo, Prince, 2019. "The causal linkages among money growth, inflaion and interest rates in Ghana," MPRA Paper 96485, University Library of Munich, Germany.

  56. Kirstin Hubrich & David F. Hendry, 2005. "Forecasting Aggregates by Disaggregates," Computing in Economics and Finance 2005 270, Society for Computational Economics.

    Cited by:

    1. 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 Estadística.
    2. Kholodilin Konstantin Arkadievich & Siliverstovs Boriss, 2006. "On the Forecasting Properties of the Alternative Leading Indicators for the German GDP: Recent Evidence," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 226(3), pages 234-259, June.
    3. Guillaume Chevillon, 2007. "Direct Multi‐Step Estimation And Forecasting," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 746-785, September.
    4. Bermingham, Colin & D'Agostino, Antonello, 2011. "Understanding and forecasting aggregate and disaggregate price dynamics," Working Paper Series 1365, European Central Bank.
    5. Pino, Gabriel, 2008. "Forecasting Spanish inflation using information from different sectors and geographical areas," DES - Working Papers. Statistics and Econometrics. WS ws080101, Universidad Carlos III de Madrid. Departamento de Estadística.
    6. Hendry, David F. & Hubrich, Kirstin, 2011. "Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 216-227.
    7. Moosa, Imad A. & Vaz, John, 2018. "Direct and Indirect Forecasting of Cross Exchange Rates," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 71(2), pages 173-190.
    8. Kirstin Hubrich & Kenneth D. West, 2010. "Forecast evaluation of small nested model sets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 574-594.
    9. Carlomagno, Guillermo, 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 Estadística.
    10. Giacomo Sbrana, 2007. "Testing for Model Selection in Predicting Aggregate Variables," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 66(1), pages 3-28, March.
    11. 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.
    12. Michael P. Clements & David F. Hendry, 2005. "Guest Editors’ Introduction: Information in Economic Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 713-753, December.
    13. Carlomagno, Guillermo, 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 Estadística.
    14. Helmut Luetkepohl, 2009. "Forecasting Aggregated Time Series Variables: A Survey," Economics Working Papers ECO2009/17, European University Institute.
    15. Mahmut Gunay, 2016. "Forecasting Turkish GDP Growth : Bottom-Up vs Direct?," CBT Research Notes in Economics 1622, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.

  57. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Cairns, Andrew J.G. & Blake, David & Dowd, Kevin & Coughlan, Guy D. & Epstein, David & Khalaf-Allah, Marwa, 2011. "Mortality density forecasts: An analysis of six stochastic mortality models," Insurance: Mathematics and Economics, Elsevier, vol. 48(3), pages 355-367, May.
    2. Joseph P. Hughes & Loretta J. Mester & Choon-Geol Moon, 2017. "Measuring agency costs and the value of investment opportunities of US bank holding companies with stochastic frontier estimation," Chapters, in: Jacob A. Bikker & Laura Spierdijk (ed.), Handbook of Competition in Banking and Finance, chapter 11, pages 205-229, Edward Elgar Publishing.
    3. Fakhri J. Hasanov & Jeyhun I. Mikayilov, 2020. "Revisiting Energy Demand Relationship: Theory and Empirical Application," Sustainability, MDPI, vol. 12(7), pages 1-15, April.
    4. Sucarrat, Genaro, 2009. "Forecast Evaluation of Explanatory Models of Financial Variability," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 3, pages 1-33.
    5. Jan-Egbert Sturm & Barry Williams, 2005. "What Determines Differences in Foreign Bank Efficiency? Australian Evidence," CESifo Working Paper Series 1587, CESifo.
    6. Churchill, Sefa Awaworyi & Ugur, Mehmet & Yew, Siew Ling, 2016. "Does government size affect per-capita income growth? A Hierarchical meta-regression analysis," Greenwich Papers in Political Economy 16016, University of Greenwich, Greenwich Political Economy Research Centre.
    7. Misagh Mottaghi & Jonas Nordström & Salar Haghighatafshar & Karin Jönsson & Mattias Kärrholm & Catharina Sternudd, 2023. "Caring for Blue-Green Solutions (BGS) in Everyday Life: An Investigation of Recreational Use, Neighborhood Preferences and Willingness to Pay in Augustenborg, Malmö," Land, MDPI, vol. 12(2), pages 1-18, January.
    8. Shi, Song & Yang, Zan & Tripe, David & Zhang, Huan, 2015. "Uncertainty and new apartment price setting: A real options approach," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 574-591.
    9. Daniele Tori & Özlem Onaran, 2016. "The effects of financialization on investment: Evidence from firm-level data for the UK," Working Papers PKWP1601, Post Keynesian Economics Society (PKES).
    10. Bauwens, Luc & Sucarrat, Genaro, 2010. "General-to-specific modelling of exchange rate volatility: A forecast evaluation," International Journal of Forecasting, Elsevier, vol. 26(4), pages 885-907, October.
    11. Sarkodie, Samuel Asumadu & Ahmed, Maruf Yakubu & Leirvik, Thomas, 2022. "Trade volume affects bitcoin energy consumption and carbon footprint," Finance Research Letters, Elsevier, vol. 48(C).
    12. Li, Xiao-Ming & Qiu, Mei, 2021. "The joint effects of economic policy uncertainty and firm characteristics on capital structure: Evidence from US firms," Journal of International Money and Finance, Elsevier, vol. 110(C).
    13. J. James Reade & Ulrich Volz, 2011. "From the General to the Specific," Discussion Papers 11-18, Department of Economics, University of Birmingham.
    14. Awaworyi, Sefa & Yew, Siew Ling & Ugur, Mehmet, 2015. "Effects of Government Education and Health Expenditures on Economic Growth: A Meta-analysis," MPRA Paper 68007, University Library of Munich, Germany, revised 17 May 2015.
    15. Valentino Dardanoni & Salvatore Modica & Franco Peracchi, 2011. "Regression with imputed covariates: A generalized missing-indicator approach," Post-Print hal-00815561, HAL.
    16. van Huellen, Sophie, 2020. "Too much of a good thing? Speculative effects on commodity futures curves," Journal of Financial Markets, Elsevier, vol. 47(C).
    17. Rafaty, R. & Dolphin, G. & Pretis, F., 2020. "Carbon pricing and the elasticity of CO2 emissions," Cambridge Working Papers in Economics 20116, Faculty of Economics, University of Cambridge.
    18. Massimiliano Kaucic, 2009. "Predicting EU Energy Industry Excess Returns on EU Market Index via a Constrained Genetic Algorithm," Computational Economics, Springer;Society for Computational Economics, vol. 34(2), pages 173-193, September.
    19. Fratzscher, Marcel & Rime, Dagfinn & Sarno, Lucio & Zinna, Gabriele, 2015. "The scapegoat theory of exchange rates: the first tests," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 1-21.
    20. Lutkepohl, Helmut, 2007. "General-to-specific or specific-to-general modelling? An opinion on current econometric terminology," Journal of Econometrics, Elsevier, vol. 136(1), pages 319-324, January.
    21. Carlos Guerrero de Lizardi, 2022. "Teorías del crecimiento cara a cara (Englobamiento estadístico: hacia una especificación general)," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 17(3), pages 1-24, Julio - S.
    22. Sucarrat, Genaro, 2009. "Econometric reduction theory and philosophy," UC3M Working papers. Economics we091005, Universidad Carlos III de Madrid. Departamento de Economía.
    23. Dave Colander, 2008. "Economists, Incentives, Judgement and Empirical Work," Middlebury College Working Paper Series 0806, Middlebury College, Department of Economics.
    24. Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2012. "A General to Specific Approach for Constructing Composite Business Cycle Indicators," CEIS Research Paper 224, Tor Vergata University, CEIS, revised 27 Feb 2012.
    25. Awaworyi Churchill, S. & Yew, S.L., 2017. "Are government transfers harmful to economic growth? A meta-analysis," Economic Modelling, Elsevier, vol. 64(C), pages 270-287.
    26. Hasanov, Fakhri J. & Shannak, Sa'd, 2020. "Electricity incentives for agriculture in Saudi Arabia. Is that relevant to remove them?," Energy Policy, Elsevier, vol. 144(C).
    27. Wolf, Christian, 2009. "Does ownership matter? The performance and efficiency of State Oil vs. Private Oil (1987-2006)," Energy Policy, Elsevier, vol. 37(7), pages 2642-2652, July.
    28. Sefa Awaworyi & Siew Ling Yew, 2014. "Government Transfers and Growth: Is there Evidence of Genuine Effect?," Monash Economics Working Papers 40-14, Monash University, Department of Economics.
    29. Wolf, C, 2008. "Does Ownership Matter? The Performance and Efficiency of State Oil vs. Private Oil (1987-2006)," Cambridge Working Papers in Economics 0828, Faculty of Economics, University of Cambridge.
    30. Woo, Kai-Yin & Lee, Shu-Kam & Chan, Alan, 2014. "Non-linear adjustments to intranational PPP," Journal of Macroeconomics, Elsevier, vol. 40(C), pages 360-371.
    31. Daniel Santabarbara & Alicia Garcia-Herrero, 2005. "Does China have an impact on foreign direct investment to Latin America?," International Finance 0508008, University Library of Munich, Germany.
    32. Jeyhun Mikayilov & Fred Joutz & Fakhri Hasanov, 2019. "Gasoline Demand in Saudi Arabia: Are the Price and Income Elasticities Constant?," Discussion Papers ks--2019-dp81, King Abdullah Petroleum Studies and Research Center.
    33. Parida, Meenakshi & Madheswaran, S., 2021. "Does ownership matter? Empirical evidence from the performance of Indian state and private coal mining companies," Resources Policy, Elsevier, vol. 74(C).
    34. Armah, Stephen E., 2008. "Establishing the Presence of a Risk Premium in the Cocoa Futures Market: An Econometric Analysis," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6778, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    35. Jung, Alexander, 2020. "An empirical analysis of loan supply and demand in the euro area," International Review of Economics & Finance, Elsevier, vol. 70(C), pages 187-201.
    36. Huseynov, Salman & Mammadov, Fuad, 2016. "A small scale forecasting and simulation model for Azerbaijan (FORSAZ)," MPRA Paper 76348, University Library of Munich, Germany.
    37. Carolina Ulloa-Suárez, 2023. "Determinants of compliance with fiscal rules: Misplaced efforts or hidden motivations?," Post-Print hal-04171829, HAL.
    38. Belman, Dale. & Wolfson, Paul J., 2016. "What does the minimum wage do in developing countries? : A review of studies and methodologies," ILO Working Papers 994893283402676, International Labour Organization.
    39. Ugur, Mehmet, 2013. "Corruption’s direct effects on per-capita income growth: a meta-analysis," Greenwich Papers in Political Economy 10180, University of Greenwich, Greenwich Political Economy Research Centre.
    40. Lan Nguyen, Thi Mai & Papyrakis, Elissaios & van Bergeijk, Peter A.G., 2021. "Publication bias in the price effects of monetary policy: A meta-regression analysis for emerging and developing economies," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 567-583.
    41. McQuinn, Kieran, 2020. "Property prices and Covid-19 related administrative closures: What are the implications?," Papers WP661, Economic and Social Research Institute (ESRI).
    42. Tomasz Piotr Wisniewski & Brendan John Lambe & Keshab Shrestha, 2020. "Do Stock Market Fluctuations Affect Suicide Rates?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 43(4), pages 737-765, December.
    43. Wojciech Charemza & Svetlana Makarova & Krzysztof Rybiński, 2023. "Anti-pandemic restrictions, uncertainty and sentiment in seven countries," Economic Change and Restructuring, Springer, vol. 56(1), pages 1-27, February.
    44. Tennant, David, 2011. "Why do people risk exposure to Ponzi schemes? Econometric evidence from Jamaica," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(3), pages 328-346, July.
    45. Sam Jones, 2020. "Testing the Technology of Human Capital Production: A General‐to‐Restricted Framework," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1429-1455, December.
    46. Mateusz Kijewski & Szymon Lis & Michał Woźniak & Maciej Wysocki, 2021. "Don’t Worry, Be Happy – But Only Seasonally," Working Papers 2021-12, Faculty of Economic Sciences, University of Warsaw.
    47. Muhammad Aftab & Karim Bux Shah Syed & Rubi Ahmad & Izlin Ismail, 2016. "Exchange-rate variability and industry trade flows between Malaysia and Japan," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 25(4), pages 453-478, June.
    48. David Colander, 2009. "Economists, Incentives, Judgment, and the European CVAR Approach to Macroeconometrics," Middlebury College Working Paper Series 0912, Middlebury College, Department of Economics.
    49. Furuoka, Fumitaka, 2015. "The CO2 emissions–development nexus revisited," Renewable and Sustainable Energy Reviews, Elsevier, vol. 51(C), pages 1256-1275.
    50. Carlos Gustavo Machicado Salas, 2018. "De Las Causas Próximas A Las Causas Profundas Del Crecimiento Económico De Bolivia Entre 1950 Y 2015," Development Research Working Paper Series 09/2018, Institute for Advanced Development Studies.
    51. Proaño, Christian R. & Theobald, Thomas, 2014. "Predicting recessions with a composite real-time dynamic probit model," International Journal of Forecasting, Elsevier, vol. 30(4), pages 898-917.
    52. Leschinski, Christian & Sibbertsen, Philipp, 2019. "Model order selection in periodic long memory models," Econometrics and Statistics, Elsevier, vol. 9(C), pages 78-94.
    53. Cui, Jin & In, Francis & Maharaj, Elizabeth Ann, 2016. "What drives the Libor–OIS spread? Evidence from five major currency Libor–OIS spreads," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 358-375.

  58. Guillaume Chevillon & David F. Hendry, 2004. "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Papers 2004-W12, Economics Group, Nuffield College, University of Oxford.

    Cited by:

    1. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should macroeconomic forecasters use daily financial data and how?," University of Cyprus Working Papers in Economics 09-2010, University of Cyprus Department of Economics.
    2. Bauwens, Luc & Chevillon, Guillaume & Laurent, Sébastien, 2023. "We modeled long memory with just one lag!," Journal of Econometrics, Elsevier, vol. 236(1).
    3. Guillaume Chevillon, 2004. ""Weak" trends for inference and forecasting in finite samples," Documents de Travail de l'OFCE 2004-12, Observatoire Francais des Conjonctures Economiques (OFCE).
    4. Alfred A. Haug & Christie Smith, 2007. "Local linear impulse responses for a small open economy," Working Papers 0707, University of Otago, Department of Economics, revised Apr 2007.
    5. Peng, Bo & Song, Haiyan & Crouch, Geoffrey I., 2014. "A meta-analysis of international tourism demand forecasting and implications for practice," Tourism Management, Elsevier, vol. 45(C), pages 181-193.
    6. Marie Bessec & Othman Bouabdallah, 2015. "Forecasting GDP over the Business Cycle in a Multi-Frequency and Data-Rich Environment," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(3), pages 360-384, June.
    7. 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.).
    8. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
    9. Kuzin, Vladimir N. & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: an application to German GDP," Discussion Paper Series 1: Economic Studies 2009,03, Deutsche Bundesbank.
    10. A Clements & D Preve, 2019. "A Practical Guide to Harnessing the HAR Volatility Model," NCER Working Paper Series 120, National Centre for Econometric Research.
    11. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1," Working Papers 333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    12. Guillaume Chevillon, 2007. "Direct Multi‐Step Estimation And Forecasting," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 746-785, September.
    13. Gür Ali, Özden & Gürlek, Ragıp, 2020. "Automatic Interpretable Retail forecasting with promotional scenarios," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1389-1406.
    14. Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP," Economics Working Papers ECO2008/16, European University Institute.
    15. Buncic, Daniel & Moretto, Carlo, 2014. "Forecasting Copper Prices with Dynamic Averaging and Selection Models," Economics Working Paper Series 1430, University of St. Gallen, School of Economics and Political Science.
    16. Kuzin, Vladimir N. & Marcellino, Massimiliano & Schumacher, Christian, 2009. "MIDAS versus mixed-frequency VAR: nowcasting GDP in the euro area," Discussion Paper Series 1: Economic Studies 2009,07, Deutsche Bundesbank.
    17. Massimiliano Marcellino & James Stock & Mark Watson, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," Working Papers 285, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    18. Eliana González Molano & Luis Fernando Melo Velandia & Anderson Grajales Olarte, 2007. "Pronósticos directos de la inflación colombiana," Borradores de Economia 458, Banco de la Republica de Colombia.
    19. Hendry, David F. & Pretis, Felix, 2023. "Analysing differences between scenarios," International Journal of Forecasting, Elsevier, vol. 39(2), pages 754-771.
    20. Kisi, Ozgur & Shiri, Jalal & Karimi, Sepideh & Shamshirband, Shahaboddin & Motamedi, Shervin & Petković, Dalibor & Hashim, Roslan, 2015. "A survey of water level fluctuation predicting in Urmia Lake using support vector machine with firefly algorithm," Applied Mathematics and Computation, Elsevier, vol. 270(C), pages 731-743.
    21. Buncic, Daniel & Gisler, Katja I. M., 2015. "Global Equity Market Volatility Spillovers: A Broader Role for the United States," Economics Working Paper Series 1508, University of St. Gallen, School of Economics and Political Science.
    22. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
    23. Taewoon Kong & Dongguen Choi & Geonseok Lee & Kichun Lee, 2021. "Air Pollution Prediction Using an Ensemble of Dynamic Transfer Models for Multivariate Time Series," Sustainability, MDPI, vol. 13(3), pages 1-17, January.
    24. 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.
    25. Schumacher, Christian & Breitung, Jörg, 2008. "Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data," International Journal of Forecasting, Elsevier, vol. 24(3), pages 386-398.
    26. Protić, Milan & Shamshirband, Shahaboddin & Petković, Dalibor & Abbasi, Almas & Mat Kiah, Miss Laiha & Unar, Jawed Akhtar & Živković, Ljiljana & Raos, Miomir, 2015. "Forecasting of consumers heat load in district heating systems using the support vector machine with a discrete wavelet transform algorithm," Energy, Elsevier, vol. 87(C), pages 343-351.
    27. Chevillon, Guillaume, 2009. "Multi-step forecasting in emerging economies: An investigation of the South African GDP," International Journal of Forecasting, Elsevier, vol. 25(3), pages 602-628, July.
    28. Marcellino, Massimiliano, 2011. "Markov-switching MIDAS models," CEPR Discussion Papers 8234, C.E.P.R. Discussion Papers.
    29. Hendry, David F., 2006. "Robustifying forecasts from equilibrium-correction systems," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 399-426.
    30. Massimiliano Marcellino & Christian Schumacher, 2010. "Factor MIDAS for Nowcasting and Forecasting with Ragged‐Edge Data: A Model Comparison for German GDP," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(4), pages 518-550, August.
    31. Hendry, David & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers.
    32. Meenakshi Narayan & Ann Majewicz Fey, 2020. "Developing a novel force forecasting technique for early prediction of critical events in robotics," PLOS ONE, Public Library of Science, vol. 15(5), pages 1-34, May.
    33. Schumacher, Christian, 2005. "Forecasting German GDP using alternative factor models based on large datasets," Discussion Paper Series 1: Economic Studies 2005,24, Deutsche Bundesbank.
    34. Edda Claus, 2011. "Seven Leading Indexes of New Zealand Employment," The Economic Record, The Economic Society of Australia, vol. 87(276), pages 76-89, March.
    35. Jana Eklund & Sune Karlsson, 2007. "Forecast Combination and Model Averaging Using Predictive Measures," Econometric Reviews, Taylor & Francis Journals, vol. 26(2-4), pages 329-363.
    36. Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
    37. Galvao Jr., Antonio F., 2011. "Quantile regression for dynamic panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 164(1), pages 142-157, September.
    38. 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.
    39. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City.
    40. Schumacher, Christian & Marcellino, Massimiliano & Kuzin, Vladimir, 2009. "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area," CEPR Discussion Papers 7445, C.E.P.R. Discussion Papers.
    41. Nikolay Robinzonov & Klaus Wohlrabe, 2008. "Freedom of Choice in Macroeconomic Forecasting: An Illustration with German Industrial Production and Linear Models," ifo Working Paper Series 57, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    42. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    43. Buncic, Daniel & Piras, Gion Donat, 2016. "Heterogeneous agents, the financial crisis and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 313-359.
    44. Nikolay Robinzonov & Gerhard Tutz & Torsten Hothorn, 2012. "Boosting techniques for nonlinear time series models," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 96(1), pages 99-122, January.
    45. Schumacher, Christian, 2016. "A comparison of MIDAS and bridge equations," International Journal of Forecasting, Elsevier, vol. 32(2), pages 257-270.
    46. Jan G. De Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Monash Econometrics and Business Statistics Working Papers 12/05, Monash University, Department of Econometrics and Business Statistics.
    47. Souhaib Ben Taieb & Rob J Hyndman, 2012. "Recursive and direct multi-step forecasting: the best of both worlds," Monash Econometrics and Business Statistics Working Papers 19/12, Monash University, Department of Econometrics and Business Statistics.
    48. Jalal Shiri & Shahaboddin Shamshirband & Ozgur Kisi & Sepideh Karimi & Seyyed M Bateni & Seyed Hossein Hosseini Nezhad & Arsalan Hashemi, 2016. "Prediction of Water-Level in the Urmia Lake Using the Extreme Learning Machine Approach," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 30(14), pages 5217-5229, November.
    49. Michael P. Clements & David F. Hendry, 2005. "Guest Editors’ Introduction: Information in Economic Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 713-753, December.
    50. Schumacher Christian, 2011. "Forecasting with Factor Models Estimated on Large Datasets: A Review of the Recent Literature and Evidence for German GDP," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 28-49, February.
    51. Bjørn Eraker & Ching Wai (Jeremy) Chiu & Andrew T. Foerster & Tae Bong Kim & Hernán D. Seoane, 2015. "Bayesian Mixed Frequency VARs," Journal of Financial Econometrics, Oxford University Press, vol. 13(3), pages 698-721.
    52. Gur Ali, Ozden & Pinar, Efe, 2016. "Multi-period-ahead forecasting with residual extrapolation and information sharing — Utilizing a multitude of retail series," International Journal of Forecasting, Elsevier, vol. 32(2), pages 502-517.
    53. Chevillon, Guillaume, 2017. "Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons," ESSEC Working Papers WP1710, ESSEC Research Center, ESSEC Business School.
    54. Marcellino, Massimiliano & Foroni, Claudia, 2014. "Markov-Switching Mixed-Frequency VAR Models," CEPR Discussion Papers 9815, C.E.P.R. Discussion Papers.
    55. Johannes Mayr & Dirk Ulbricht, 2007. "VAR Model Averaging for Multi-Step Forecasting," ifo Working Paper Series 48, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    56. Kirstin Hubrich & David F. Hendry, 2005. "Forecasting Aggregates by Disaggregates," Computing in Economics and Finance 2005 270, Society for Computational Economics.
    57. Guillaume Chevillon, 2004. "A Comparison of Multi-step GDP Forecasts for South Africa," Documents de Travail de l'OFCE 2004-13, Observatoire Francais des Conjonctures Economiques (OFCE).
    58. John Haywood & Granville Tunnicliffe Wilson, 2009. "A test for improved multi‐step forecasting," Journal of Time Series Analysis, Wiley Blackwell, vol. 30(6), pages 682-707, November.

  59. David F. Hendry, 2004. "Unpredictability and the Foundations of Economic Forecasting," Econometric Society 2004 Australasian Meetings 27, Econometric Society.

    Cited by:

    1. J. M. Kargbo, 2007. "Forecasting agricultural exports and imports in South Africa," Applied Economics, Taylor & Francis Journals, vol. 39(16), pages 2069-2084.
    2. Qin, Duo & Cagas, Marie Anne & Ducanes, Geoffrey & Magtibay-Ramos, Nedelyn & Quising, Pilipinas, 2008. "Automatic leading indicators versus macroeconometric structural models: A comparison of inflation and GDP growth forecasting," International Journal of Forecasting, Elsevier, vol. 24(3), pages 399-413.
    3. Hendry, David & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers.
    4. WAN, Shui-Ki & WANG, Shin-Huei & WOO, Chi-Keung, 2012. "Total tourist arrival forecast: aggregation vs. disaggregation," LIDAM Discussion Papers CORE 2012039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers (Old Series) 1120, Federal Reserve Bank of Cleveland.
    6. Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas Quising, 2007. "Automatic Leading Indicators (ALIs) versus Macro Econometric Structural Models (MESMs): Comparison of Inflation and GDP growth Forecasting," EcoMod2007 23900072, EcoMod.
    7. Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas Quising, 2006. "Forecasting Inflation and GDP growth: Comparison of Automatic Leading Indicator (ALI) Method with Macro Econometric Structural Models (MESMs)," Working Papers 554, Queen Mary University of London, School of Economics and Finance.
    8. Kirstin Hubrich & David F. Hendry, 2005. "Forecasting Aggregates by Disaggregates," Computing in Economics and Finance 2005 270, Society for Computational Economics.

  60. David F. Hendry & Hans-Martin Krolzig, 2004. "We Ran One Regression," Economics Papers 2004-W17, Economics Group, Nuffield College, University of Oxford.

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    1. Alfranca, Óscar & Diaz-Balteiro, Luis & Herruzo, A. Casimiro, 2009. "Technical innovation in Spain's wood-based industry: The role of environmental and quality strategies," Forest Policy and Economics, Elsevier, vol. 11(3), pages 161-168, May.
    2. Geert Bekaert & Campbell R. Harvey & Christian Lundblad & Stephan Siegel, 2009. "What Segments Equity Markets?," NBER Working Papers 14802, National Bureau of Economic Research, Inc.
    3. Antonio Ciccone & Marek Jarocinski, 2010. "Determinants of Economic Growth: Will Data Tell?," Working Papers 1009, BBVA Bank, Economic Research Department.
    4. Abel Brodeur & Mathias Lé & Marc Sangnier & Yanos Zylberberg, 2016. "Star Wars: The Empirics Strike Back," Post-Print hal-01447851, HAL.
    5. Sai Ding & John Knight, 2011. "Why has China Grown So Fast? The Role of Physical and Human Capital Formation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 73(2), pages 141-174, April.
    6. Peter Jensen, 2010. "Testing the null of a low dimensional growth model," Empirical Economics, Springer, vol. 38(1), pages 193-215, February.
    7. Blaise Gnimassoun, Joseph Keneck Massil, 2019. "Determinants of corruption: can we put all countries in the same basket?," European Journal of Comparative Economics, Cattaneo University (LIUC), vol. 16(2), pages 239-276, December.
    8. Stan du Plessis & Ronelle Burger, 2006. "Examining the Robustness of Competing Explanations of Slow Growth in African Countries," Working Papers 03/2006, Stellenbosch University, Department of Economics.
    9. Steven N. Durlauf & Andros Kourtellos & Chih Ming Tan, 2008. "Empirics of Growth and Development," Chapters, in: Amitava Krishna Dutt & Jaime Ros (ed.), International Handbook of Development Economics, Volumes 1 & 2, volume 0, chapter 3, Edward Elgar Publishing.
    10. J Korosteleva & Colin Lawson, 2009. "The Belarusian Case of Transition: Whither Financial Repression?," Department of Economics Working Papers 4/09, University of Bath, Department of Economics.
    11. W. Robert Reed, 2006. "The Determinants of U. S. State Economic Growth: A Less Extreme Bounds Analysis," Working Papers in Economics 06/05, University of Canterbury, Department of Economics and Finance.
    12. Wagner Martin & Hlouskova Jaroslava, 2015. "Growth Regressions, Principal Components Augmented Regressions and Frequentist Model Averaging," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 235(6), pages 642-662, December.
    13. Sachs, Andreas & Schleer, Frauke, 2019. "Labor Market Performance in OECD Countries: The Role of Institutional Interdependencies," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 33(3), pages 431-454.
    14. Blaise Gnimassoun & Joseph Keneck Massil, 2016. "Determinants of corruption: Can we put all countries in the same basket?," Working Papers hal-04141599, HAL.
    15. Berg, Andrew & Ostry, Jonathan D. & Zettelmeyer, Jeromin, 2012. "What makes growth sustained?," Journal of Development Economics, Elsevier, vol. 98(2), pages 149-166.
    16. Gassebner, Martin & Gutmann, Jerg & Voigt, Stefan, 2016. "When to expect a coup d’état? An extreme bounds analysis of coup determinants," ILE Working Paper Series 3, University of Hamburg, Institute of Law and Economics.
    17. Gnimassoun, Blaise, 2015. "The importance of the exchange rate regime in limiting current account imbalances in sub-Saharan African countries," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 36-74.
    18. Stefano Magrini & Paul Cheshire, 2006. "European Urban Growth: now for some problems of spaceless and weightless econometrics," Working Papers 2006_23, Department of Economics, University of Venice "Ca' Foscari".
    19. Mark F. J. Steel, 2020. "Model Averaging and Its Use in Economics," Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.
    20. Derek Headey, 2008. "The Principal Components of Growth in the Less Developed Countries," Kyklos, Wiley Blackwell, vol. 61(4), pages 568-598, November.
    21. Peter Sandholt Jensen & Allan H. Würtz, 2006. "On determining the importance of a regressor with small and undersized samples," Economics Working Papers 2006-08, Department of Economics and Business Economics, Aarhus University.
    22. Gilles Dufrenot & Valerie Mignon & Charalambos Tsangarides, 2010. "The trade-growth nexus in the developing countries: a quantile regression approach," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 146(4), pages 731-761, December.
    23. Bauwens, Luc & Sucarrat, Genaro, 2010. "General-to-specific modelling of exchange rate volatility: A forecast evaluation," International Journal of Forecasting, Elsevier, vol. 26(4), pages 885-907, October.
    24. Daniel Cohen & Marcelo Soto, 2001. "Growth and Human Capital: Good Data, Good Results," OECD Development Centre Working Papers 179, OECD Publishing.
    25. Schneider, Ulrike & Wagner, Martin, 2008. "Catching Growth Determinants with the Adaptive LASSO," Economics Series 232, Institute for Advanced Studies.
    26. Ahmad, Munir & Nawaz, Muhammad & Iqbal, Muhammad & Javed, Sajid, 2014. "Analysing the Impact of Climate Change on Rice Productivity in Pakistan," MPRA Paper 72861, University Library of Munich, Germany.
    27. 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.
    28. Christian Mueller & Eva M. Koeberl, 2008. "Business Cycle Measurement with Semantic Filtering: A Micro Data Approach," KOF Working papers 08-212, KOF Swiss Economic Institute, ETH Zurich.
    29. David R. Hineline, 2007. "Examining the Robustness of the Inflation and Growth Relationship," Southern Economic Journal, John Wiley & Sons, vol. 73(4), pages 1020-1037, April.
    30. Próchniak Mariusz, 2013. "An Attempt to Assess the Quantitative Impact of Institutions on Economic Growth and Economic Development," International Journal of Management and Economics, Warsaw School of Economics, Collegium of World Economy, vol. 38(1), pages 7-30, June.
    31. Ding, Sai & Knight, John, 2009. "Can the augmented Solow model explain China's remarkable economic growth? A cross-country panel data analysis," Journal of Comparative Economics, Elsevier, vol. 37(3), pages 432-452, September.
    32. Rockey, James & Temple, Jonathan, 2016. "Growth econometrics for agnostics and true believers," European Economic Review, Elsevier, vol. 81(C), pages 86-102.
    33. 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.
    34. Ulaşan, Bülent, 2011. "Cross-country growth empirics and model uncertainty: An overview," Economics Discussion Papers 2011-37, Kiel Institute for the World Economy (IfW Kiel).
    35. Joerg Scheibe & David Vines, 2005. "A Phillips Curve For China," CAMA Working Papers 2005-02, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    36. Christoph Hanck, 2016. "I just ran two trillion regressions," Economics Bulletin, AccessEcon, vol. 36(4), pages 2037-2042.
    37. 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.
    38. Stefano Magrini & Paul Cheshire, 2006. "Raising Urban Productivity or Attracting People? Different Causes, Different Consequences," Working Papers 2006_24, Department of Economics, University of Venice "Ca' Foscari".
    39. Grabowski, Wojciech & Janus, Jakub & Stawasz-Grabowska, Ewa, 2023. "The COVID-19 pandemic and financial markets in Central Europe: Macroeconomic measures and international policy spillovers," Emerging Markets Review, Elsevier, vol. 54(C).
    40. De Nicola,Francesca & Chen,Pinyi, 2022. "The Returns to Innovation in East Asia : The Role of the Business Environment and Firms' Characteristics," Policy Research Working Paper Series 9921, The World Bank.
    41. 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.
    42. Mohsin S. Khan & Axel Schimmelpfennig, 2006. "Inflation in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 45(2), pages 185-202.
    43. Helder Ferreira de Mendonça & Iven Silva Valpassos, 2022. "Combination of economic policies: how the perfect storm wrecked the Brazilian economic growth," Empirical Economics, Springer, vol. 63(3), pages 1135-1157, September.
    44. Deckers, Thomas & Hanck, Christoph, 2009. "Multiple Testing Techniques in Growth Econometrics," MPRA Paper 17843, University Library of Munich, Germany.
    45. John Knight & Sai Ding, 2008. "Why has China Grown so Fast? The Role of Structural Change," Economics Series Working Papers 415, University of Oxford, Department of Economics.
    46. Carlisle E. Moody & Thomas B. Marvell, 2010. "On the Choice of Control Variables in the Crime Equation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(5), pages 696-715, October.
    47. Blaise Gnimassoun, 2015. "Exchange rate misalignments and the external balance under a pegged currency system," Working Papers hal-04141421, HAL.
    48. Chanegriha, Melisa & Stewart, Chris & Tsoukis, Chris, 2014. "Identifying the robust economic, geographical and political determinants of FDI: An extreme bounds analysis," Economics Discussion Papers 2014-4, School of Economics, Kingston University London.
    49. International Monetary Fund, 2005. "Three Attempts at Inflation Forecasting in Pakistan," IMF Working Papers 2005/105, International Monetary Fund.
    50. Ahmed, Walid M.A., 2022. "Robust drivers of Bitcoin price movements: An extreme bounds analysis," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    51. Alan Martina, 2007. "A Class of Poverty Traps: A Theory and Empirical Tests," ANU Working Papers in Economics and Econometrics 2007-482, Australian National University, College of Business and Economics, School of Economics.
    52. Helder Ferreira de Mendonça & Igor da Silva Veiga, 2017. "The open economy trilemma in Latin America: A three-decade analysis," International Finance, Wiley Blackwell, vol. 20(2), pages 135-154, June.
    53. Markus Eberhardt & Francis Teal, 2009. "Econometrics for Grumblers: A New Look at the Literature on Cross-Country Growth Empirics," CSAE Working Paper Series 2009-07, Centre for the Study of African Economies, University of Oxford.
    54. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
    55. Capolupo, Rosa, 2009. "The New Growth Theories and Their Empirics after Twenty Years," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 3, pages 1-72.
    56. Blaise Gnimassoun, 2017. "Exchange rate misalignments and the external balance under a pegged currency system," Review of International Economics, Wiley Blackwell, vol. 25(5), pages 949-974, November.
    57. César Carrera, 2017. "From Inflation Targeting to achieving Economic Growth," Working Papers 92, Peruvian Economic Association.
    58. Humberto López & Luis Servén, 2015. "Too Poor to Grow," Central Banking, Analysis, and Economic Policies Book Series, in: Ricardo J. Caballero & Klaus Schmidt-Hebbel (ed.),Economic Policies in Emerging-Market Economies Festschrift in Honor of Vittorio Corbo, edition 1, volume 21, chapter 13, pages 309-350, Central Bank of Chile.
    59. Ulaşan, Bülent, 2012. "Cross-country growth empirics and model uncertainty: An overview," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-69.
    60. Houcine Senoussi, 2021. "Inflation and Inflation Uncertainty in Growth Model of Barro: An Application of Random Forest Method," International Econometric Review (IER), Econometric Research Association, vol. 13(1), pages 4-23, March.
    61. Audi, Marc & Ali, Amjad, 2017. "Socio-Economic Development, Demographic Changes And Total Labor Productivity In Pakistan: A Co-Integrational and Decomposition Analysis," MPRA Paper 82435, University Library of Munich, Germany, revised Jun 2017.
    62. Rosa Capolupo, 2005. "THE NEW GROWTH THEORIES AND THEIR EMPIRICS, Discussion Paper in Economics, University of Glasgow, N. 2005-04 (http://www.gla.ac.uk/Acad/Economics," GE, Growth, Math methods 0506003, University Library of Munich, Germany.
    63. 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.
    64. 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.
    65. Ali, Amjad & Ur Rehman, Hafeez, 2015. "Macroeconomic Instability and Its Impact on Gross Domestic Product: An Empirical Analysis of Pakistan," MPRA Paper 82496, University Library of Munich, Germany, revised 2015.
    66. de Guimarães e Souza, Gustavo José & de Mendonça, Helder Ferreira & de Andrade, Joaquim Pinto, 2016. "Inflation targeting on output growth: A pulse dummy analysis of dynamic macroeconomic panel data," Economic Systems, Elsevier, vol. 40(1), pages 145-169.
    67. Rosa Capolupo, "undated". "The New Growth Theoris and their Empirics," Working Papers 2005_4, Business School - Economics, University of Glasgow.
    68. Jesus regstdpo-Cuaresma & Neil Foster & Robert Stehrer, 2011. "Determinants of Regional Economic Growth by Quantile," Regional Studies, Taylor & Francis Journals, vol. 45(6), pages 809-826.
    69. Muhammad Aslam Chaudhry & Munir A. S. Choudhary, 2006. "Why the State Bank of Pakistan should not Adopt Inflation Targeting," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 2, pages 195-209.
    70. Keneck-Massil, Joseph & Nvuh-Njoya, Youssouf, 2021. "Did colonisation matter for comparative economic complexity?," Economics Letters, Elsevier, vol. 203(C).
    71. Wagner, Martin & Hlouskova, Jaroslava, 2009. "Growth Regressions, Principal Components and Frequentist Model Averaging," Economics Series 236, Institute for Advanced Studies.
    72. David F. Hendry, 2024. "A Brief History of General‐to‐specific Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 1-20, February.
    73. Li, Sile & Lucey, Brian M., 2017. "Reassessing the role of precious metals as safe havens–What colour is your haven and why?," Journal of Commodity Markets, Elsevier, vol. 7(C), pages 1-14.
    74. Rupa Duttagupta & Mr. Montfort Mlachila, 2008. "What is Really Good for Long-Term Growth? Lessons from a Binary Classification Tree (BCT) Approach," IMF Working Papers 2008/263, International Monetary Fund.
    75. Piotr Wójcik & Bartłomiej Wieczorek, 2020. "We have just explained real convergence factors using machine learning," Working Papers 2020-38, Faculty of Economic Sciences, University of Warsaw.
    76. Tennant, David, 2011. "Why do people risk exposure to Ponzi schemes? Econometric evidence from Jamaica," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(3), pages 328-346, July.
    77. P. Manasse & L. Zavalloni, 2013. "Sovereign Contagion in Europe: Evidence from the CDS Market," Working Papers wp863, Dipartimento Scienze Economiche, Universita' di Bologna.
    78. 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.
    79. Alex Luiz Ferreira., 2009. "Is it Risk? An Automated Approach to Explain the ex ante UIP Deviations of Brazil," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 46(133), pages 51-66.
    80. Henderson, Daniel J. & Papageorgiou, Chris & Parmeter, Christopher F., 2008. "Are any growth theories linear? Why we should care about what the evidence tells us," MPRA Paper 8767, University Library of Munich, Germany.
    81. Andreas Sachs & Frauke Schleer, 2013. "Labour Market Performance in OECD Countries: A Comprehensive Empirical Modelling Approach of Institutional Interdependencies. WWWforEurope Working Paper No. 7," WIFO Studies, WIFO, number 46851, January.
    82. Sachs, Andreas & Schleer, Frauke, 2013. "Labour market performance in OECD countries: A comprehensive empirical modelling approach of institutional interdependencies," ZEW Discussion Papers 13-040, ZEW - Leibniz Centre for European Economic Research.
    83. Jaroslava Hlouskova & Martin Wagner, 2013. "The Determinants of Long-Run Economic Growth: A Conceptually and Computationally Simple Approach," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 149(IV), pages 445-492, December.
    84. Próchniak, Mariusz & Witkowski, Bartosz, 2013. "Time stability of the beta convergence among EU countries: Bayesian model averaging perspective," Economic Modelling, Elsevier, vol. 30(C), pages 322-333.
    85. Rikhotso, Prayer & Bonga-Bonga, Lumengo, 2021. "Exchange rate misalignments and current accounts in BRICS countries," MPRA Paper 107973, University Library of Munich, Germany.
    86. Voces, Roberto & Diaz-Balteiro, Luis & Alfranca, Óscar, 2012. "Demand for wild edible mushrooms. The case of Lactarius deliciosus in Barcelona (Spain)," Journal of Forest Economics, Elsevier, vol. 18(1), pages 47-60.
    87. Fernando Pigeard de Almeida Prado & Alex Luiz Ferreira Jaylson Jair da Silveira, 2007. "The Alcohol Price and the Flex Cars," EcoMod2007 23900067, EcoMod.
    88. Maren Duvendack & Richard Palmer-Jones, 2013. "Replication of quantitative work in development studies: Experiences and suggestions," Progress in Development Studies, , vol. 13(4), pages 307-322, October.
    89. Dreyer, Johannes Kabderian & Schmid, Peter Alfons, 2017. "Growth effects of EU and EZ memberships: Empirical findings from the first 15 years of the Euro," Economic Modelling, Elsevier, vol. 67(C), pages 45-54.
    90. Cui, Jin & In, Francis & Maharaj, Elizabeth Ann, 2016. "What drives the Libor–OIS spread? Evidence from five major currency Libor–OIS spreads," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 358-375.

  61. David F. Hendry & Carlos Santos, 2004. "Regression Models with Data-based Indicator Variables," Economics Papers 2004-W13, Economics Group, Nuffield College, University of Oxford.

    Cited by:

    1. 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.
    2. Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2010. "EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?," CESifo Working Paper Series 3074, CESifo.
    3. 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.
    4. Carlos Santos & Maria Alberta Oliveira, 2007. "Assessing French Inflation Persistence with Impulse Saturation Break Tests and Automatic General-to-Specific Modelling," Working Papers de Economia (Economics Working Papers) 10, Católica Porto Business School, Universidade Católica Portuguesa.
    5. Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2009. "Rating Assignments: Lessons from International Banks," CESifo Working Paper Series 2618, CESifo.
    6. Andrew B. Martinez, 2011. "Comparing Government Forecasts of the United States’ Gross Federal Debt," Working Papers 2011-002, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    7. David E. Giles, 2011. "On the Inconsistency of Instrumental Variables Estimators for the Coefficients of Certain Dummy Variables," Econometrics Working Papers 1106, Department of Economics, University of Victoria.
    8. Afonso, António & Arghyrou, Michael G. & Bagdatoglou, George & Kontonikas, Alexandros, 2013. "On the time-varying relationship between EMU sovereign spreads and their determinants," SIRE Discussion Papers 2013-47, Scottish Institute for Research in Economics (SIRE).
    9. Christian M. HAFNER & Arie PREMINGER, 2016. "The Effect of Additive Outliers on Fractional Unit Root Tests," LIDAM Reprints CORE 2762, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    10. 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.
    11. Gernot Doppelhofer & Melvyn Weeks, 2011. "Robust Growth Determinants," CESifo Working Paper Series 3354, CESifo.
    12. David F. Hendry & Søren Johansen & Carlos Santos, 2007. "Selecting a Regression Saturated by Indicators," Discussion Papers 07-26, University of Copenhagen. Department of Economics.
    13. 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.
    14. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
    15. David Hendry & Søren Johansen & Carlos Santos, 2008. "Automatic selection of indicators in a fully saturated regression," Computational Statistics, Springer, vol. 23(2), pages 337-339, April.
    16. 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.
    17. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
    18. David Hendry & Jurgen A. Doornik & Felix Pretis, 2013. "Step-indicator Saturation," Economics Series Working Papers 658, University of Oxford, Department of Economics.
    19. SANTOS, Carlos & OLIVEIRA, Maria Alberta, 2007. "Modelling The German Yield Curve And Testing The Lucas Critique, 1975-2001," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(1).
    20. Santos, Carlos, 2008. "Impulse saturation break tests," Economics Letters, Elsevier, vol. 98(2), pages 136-143, February.
    21. 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.
    22. David E. Giles, 2022. "Some Consequences of Including Impulse-Indicator Dummy Variables in Econometric Models," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(2), pages 329-336, June.
    23. 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.
    24. 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.

  62. David F. Hendry, 2004. "Robustifying Forecasts from Equilibrium-Correction Models," Economics Papers 2004-W14, Economics Group, Nuffield College, University of Oxford.

    Cited by:

    1. J. M. Kargbo, 2007. "Forecasting agricultural exports and imports in South Africa," Applied Economics, Taylor & Francis Journals, vol. 39(16), pages 2069-2084.

  63. Hendry, David F & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Royal Economic Society Annual Conference 2003 105, Royal Economic Society.

    Cited by:

    1. Josh Ryan-Collins, 2015. "Is Monetary Financing Inflationary? A Case Study of the Canadian Economy, 1935-75," Economics Working Paper Archive wp_848, Levy Economics Institute.
    2. Antonio Ciccone & Marek Jarocinski, 2010. "Determinants of Economic Growth: Will Data Tell?," Working Papers 1009, BBVA Bank, Economic Research Department.
    3. Peter Jensen, 2010. "Testing the null of a low dimensional growth model," Empirical Economics, Springer, vol. 38(1), pages 193-215, February.
    4. Jane E. Ihrig & Mario Marazzi & Alexander D. Rothenberg, 2006. "Exchange-rate pass-through in the G-7 countries," International Finance Discussion Papers 851, Board of Governors of the Federal Reserve System (U.S.).
    5. 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.
    6. Søren Johansen & Bent Nielsen, 2010. "Discussion of The Forward Search: Theory and Data Analysis by Anthony C. Atkinson, Marco Riani, and Andrea Ceroli," Discussion Papers 10-06, University of Copenhagen. Department of Economics.
    7. Anders Bredahl Kock & Timo Teräsvirta, 2011. "Forecasting performance of three automated modelling techniques during the economic crisis 2007-2009," CREATES Research Papers 2011-28, Department of Economics and Business Economics, Aarhus University.
    8. Mur, Jesús & Angulo, Ana, 2009. "Model selection strategies in a spatial setting: Some additional results," Regional Science and Urban Economics, Elsevier, vol. 39(2), pages 200-213, March.
    9. Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010. "Evaluating Automatic Model Selection," Economics Series Working Papers 474, University of Oxford, Department of Economics.
    10. P. Geoffrey Allen & Robert Fildes, 2005. "Levels, Differences and ECMs – Principles for Improved Econometric Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 881-904, December.
    11. 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).
    12. Lawford, Steve & Stamatogiannis, Michalis P., 2009. "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Journal of Econometrics, Elsevier, vol. 148(2), pages 124-130, February.
    13. DUo Qin & Yimeng Liu, 2013. "Modelling Scale Effect in Crosssection Data:The Case of Hedonic Price Regression," Working Papers 184, Department of Economics, SOAS University of London, UK.
    14. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
    15. 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.
    16. Audi, Marc & Ali, Amjad & Roussel, Yannick, 2021. "The Advancement in Information and Communication Technologies (ICT) and Economic Development: A Panel Analysis," MPRA Paper 105523, University Library of Munich, Germany, revised Jan 2021.
    17. 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.
    18. Bernhard Brümmer & Olaf Korn & Kristina Schlüßler & Tinoush Jamali Jaghdani, 2016. "Volatility in Oilseeds and Vegetable Oils Markets: Drivers and Spillovers," Journal of Agricultural Economics, Wiley Blackwell, vol. 67(3), pages 685-705, September.
    19. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    20. 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).
    21. Afonso, António & Arghyrou, Michael G. & Bagdatoglou, George & Kontonikas, Alexandros, 2013. "On the time-varying relationship between EMU sovereign spreads and their determinants," SIRE Discussion Papers 2013-47, Scottish Institute for Research in Economics (SIRE).
    22. Gutmann, Jerg & Padovano, Fabio & Voigt, Stefan, 2020. "Perception vs. experience: Explaining differences in corruption measures using microdata," European Journal of Political Economy, Elsevier, vol. 65(C).
    23. Matthew Greenwood-Nimmo & Daan Steenkamp & Rossouw van Jaarsveld, 2022. "A banklevel analysis of interest rate passthrough in South Africa," Working Papers 11027, South African Reserve Bank.
    24. Sean Muller, 2012. "Econometric methods and Reichenbach's principle," SALDRU Working Papers 85, Southern Africa Labour and Development Research Unit, University of Cape Town.
    25. Guasch, J. Luis & Pena, Jorge, 2019. "Investment Climate Effects on Alternative Firm-Level Productivity Measures," UC3M Working papers. Economics 28639, Universidad Carlos III de Madrid. Departamento de Economía.
    26. Dovern, Jonas & Jannsen, Nils, 2008. "Immobilienkrise in den Vereinigten Staaten: Historischer Vergleich und Implikationen für den Konjunkturverlauf," Kiel Discussion Papers 451, Kiel Institute for the World Economy (IfW Kiel).
    27. Mark F. J. Steel, 2020. "Model Averaging and Its Use in Economics," Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.
    28. 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.
    29. Angulo, Ana M. & Mur, Jesús, 2011. "The Likelihood Ratio Test of Common Factors under Non-Ideal Conditions," INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH, Asociación Española de Ciencia Regional, issue 21, pages 37-52.
    30. 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.
    31. David F. Hendry & Hans-Martin Krolzig, 2004. "We Ran One Regression," Economics Papers 2004-W17, Economics Group, Nuffield College, University of Oxford.
    32. 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.
    33. Søren Johansen & Bent Nielsen, 2013. "Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator," Econometrics, MDPI, vol. 1(1), pages 1-18, May.
    34. Bauwens, Luc & Sucarrat, Genaro, 2010. "General-to-specific modelling of exchange rate volatility: A forecast evaluation," International Journal of Forecasting, Elsevier, vol. 26(4), pages 885-907, October.
    35. Ferreira, Alex Luiz & de Almeida Prado, Fernando Pigeard & da Silveira, Jaylson Jair, 2009. "Flex cars and the alcohol price," Energy Economics, Elsevier, vol. 31(3), pages 382-394, May.
    36. Chevillon, Guillaume & Rifflart, Christine, 2007. "Physical Market Determinants of the Price of Crude Oil and the Market Premium," ESSEC Working Papers DR 07020, ESSEC Research Center, ESSEC Business School.
    37. Clements, Michael P. & Galvao, Ana Beatriz, 2006. "Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US output growth and inflation," Economic Research Papers 269743, University of Warwick - Department of Economics.
    38. Hoerova, Marie & Bekaert, Geert, 2014. "The VIX, the variance premium and stock market volatility," Working Paper Series 1675, European Central Bank.
    39. 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.
    40. 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.
    41. 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.
    42. P. Dorian Owen & Clayton R. Weatherston, 2004. "Uncertainty of Outcome and Super 12 Rugby Union Attendance," Journal of Sports Economics, , vol. 5(4), pages 347-370, November.
    43. Neil R. Ericsson, 2008. "The fragility of sensitivity analysis: an encompassing perspective," International Finance Discussion Papers 959, Board of Governors of the Federal Reserve System (U.S.).
    44. Marie Bessec, 2010. "Étalonnages du taux de croissance du PIB français sur la base des enquêtes de conjoncture," Économie et Prévision, Programme National Persée, vol. 193(2), pages 77-99.
    45. Lukasz Gatarek & Søren Johansen, 2014. "Optimal hedging with the cointegrated vector autoregressive model," Discussion Papers 14-22, University of Copenhagen. Department of Economics.
    46. 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.
    47. 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.
    48. Lenin Arango-Castillo & Francisco J. Martínez-Ramírez & María José Orraca, 2024. "Univariate Measures of Persistence: A Comparative Analysis," Working Papers 2024-11, Banco de México.
    49. Ehrmann, Michael & Fratzscher, Marcel & Mehl, Arnaud & Bekaert, Geert, 2011. "Global crises and equity market contagion," Working Paper Series 1381, European Central Bank.
    50. Issiaka Coulibaly & Blaise Gnimassoun, 2012. "Optimality of a monetary union : New evidence from exchange rate misalignments in West Africa," EconomiX Working Papers 2012-37, University of Paris Nanterre, EconomiX.
    51. 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.
    52. Ulaşan, Bülent, 2011. "Cross-country growth empirics and model uncertainty: An overview," Economics Discussion Papers 2011-37, Kiel Institute for the World Economy (IfW Kiel).
    53. Dimitris Korobilis, 2018. "Machine Learning Macroeconometrics: A Primer," Working Paper series 18-30, Rimini Centre for Economic Analysis.
    54. Joerg Scheibe & David Vines, 2005. "A Phillips Curve For China," CAMA Working Papers 2005-02, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    55. 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.
    56. Neil R. Ericsson & Steven B. Kamin, 2008. "Constructive data mining: modeling Argentine broad money demand," International Finance Discussion Papers 943, Board of Governors of the Federal Reserve System (U.S.).
    57. Gustav Hansson, 2009. "What Determines Rule of Law? An Empirical Investigation of Rival Models," Kyklos, Wiley Blackwell, vol. 62(3), pages 371-393, August.
    58. Fratzscher, Marcel & Rime, Dagfinn & Sarno, Lucio & Zinna, Gabriele, 2015. "The scapegoat theory of exchange rates: the first tests," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 1-21.
    59. Hassler, Uwe, 2010. "Testing regression coefficients after model selection through sign restrictions," Economics Letters, Elsevier, vol. 107(2), pages 220-223, May.
    60. Brian Chi-ang Lin & Siqi Zheng & 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.
    61. Stephan B. Bruns, 2013. "Identifying Genuine Effects in Observational Research by Means of Meta-Regressions," Jena Economics Research Papers 2013-040, Friedrich-Schiller-University Jena.
    62. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
    63. Hans-Martin Krolzig, 2003. "General-to-Specific Model Selection Procedures for Structural Vector Autoregressions," Economics Papers 2003-W15, Economics Group, Nuffield College, University of Oxford.
    64. Yongfu Huang, 2005. "What determines financial development?," Bristol Economics Discussion Papers 05/580, School of Economics, University of Bristol, UK.
    65. Kornstad, Tom & Nymoen, Ragnar & Skjerpen, Terje, 2013. "Macroeconomic shocks and the probability of being employed," Economic Modelling, Elsevier, vol. 33(C), pages 572-587.
    66. Jennifer Castle & David Hendry, 2016. "Policy Analysis, Forediction, and Forecast Failure," Economics Series Working Papers 809, University of Oxford, Department of Economics.
    67. 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.
    68. Søren Johansen & Bent Nielsen, 2011. "Asymptotic theory for iterated one-step Huber-skip estimators," CREATES Research Papers 2011-40, Department of Economics and Business Economics, Aarhus University.
    69. Koutroumanidis, Theodoros & Zafeiriou, Eleni & Arabatzis, Garyfallos, 2009. "Asymmetry in price transmission between the producer and the consumer prices in the wood sector and the role of imports: The case of Greece," Forest Policy and Economics, Elsevier, vol. 11(1), pages 56-64, January.
    70. Geert Bekaert & Arnaud Mehl, 2017. "On the Global Financial Market Integration “Swoosh” and the Trilemma," NBER Working Papers 23124, National Bureau of Economic Research, Inc.
    71. Billio, M. & Donadelli, M. & Paradiso, A. & Riedel, M., 2017. "Which market integration measure?," Journal of Banking & Finance, Elsevier, vol. 76(C), pages 150-174.
    72. Ivan Savin & Peter Winker, 2012. "Heuristic Optimization Methods for Dynamic Panel Data Model Selection: Application on the Russian Innovative Performance," Computational Economics, Springer;Society for Computational Economics, vol. 39(4), pages 337-363, April.
    73. David F. Hendry & Søren Johansen & Carlos Santos, 2007. "Selecting a Regression Saturated by Indicators," Discussion Papers 07-26, University of Copenhagen. Department of Economics.
    74. Sánchez-Fung, José R., 2011. "Estimating monetary policy reaction functions for emerging market economies: The case of Brazil," Economic Modelling, Elsevier, vol. 28(4), pages 1730-1738, July.
    75. David Hendry & Felix Pretis, 2011. "Anthropogenic Influences on Atmospheric CO2," Economics Series Working Papers 584, University of Oxford, Department of Economics.
    76. João Sousa Andrade & António Portugal Duarte, 2016. "Crowding-in and crowding-out effects of public investments in the Portuguese economy," International Review of Applied Economics, Taylor & Francis Journals, vol. 30(4), pages 488-506, July.
    77. Gaytán González Alejandro & González García Jesús R., 2006. "Structural Changes in the Transmission Mechanism of Monetary Policy in Mexico: A Non-linear VAR Approach," Working Papers 2006-06, Banco de México.
    78. 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.
    79. 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.
    80. Alvaro Escribano & Genaro Sucarrat, 2011. "Automated model selection in finance: General-to-speci c modelling of the mean and volatility speci cations," Working Papers 2011-09, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
    81. Karagiannis, Stelios & Panagopoulos, Yannis & Vlamis, Prodromos, 2015. "Are unleaded gasoline and diesel price adjustments symmetric? A comparison of the four largest EU retail fuel markets," Economic Modelling, Elsevier, vol. 48(C), pages 281-291.
    82. -, 2011. "An assessment of the economic impact of Climate Change on the Macroeconomy in the Caribbean," Sede Subregional de la CEPAL para el Caribe (Estudios e Investigaciones) 40037, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    83. 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.
    84. Savin Ivan, 2013. "A Comparative Study of the Lasso-type and Heuristic Model Selection Methods," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 233(4), pages 526-549, August.
    85. 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.
    86. Rao, B. Bhaskara & Hassan, Gazi, 2009. "How can we double per capita incomes in Bangladesh in 15 years?," MPRA Paper 17302, University Library of Munich, Germany.
    87. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
    88. 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.
    89. 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.
    90. Majocchi Antonio & Pavione Enrica, 2002. "International franchising in Italy: trends and perspectives," Economics and Quantitative Methods qf0215, Department of Economics, University of Insubria.
    91. João Sousa Andrade & Adelaide Duarte & Marta Simões, 2011. "Inequality and Growth in Portugal: a time series analysis," GEMF Working Papers 2011-11, GEMF, Faculty of Economics, University of Coimbra.
    92. 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.
    93. Dalano DaSouza & Mahalia Jackman, 2024. "Estimating the Impact of Education on Growth in a Small Data-Poor Country: the Case of Saint Vincent and the Grenadines," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(3), pages 13449-13469, September.
    94. Alan Martina, 2007. "A Class of Poverty Traps: A Theory and Empirical Tests," ANU Working Papers in Economics and Econometrics 2007-482, Australian National University, College of Business and Economics, School of Economics.
    95. Balli, Faruk & Ghassan, Hassan B. & Al-Jefri, Essam H., 2020. "Sukuk and bond spreads," MPRA Paper 106729, University Library of Munich, Germany, revised 20 Jan 2021.
    96. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
    97. Sucarrat, Genaro, 2009. "Automated financial multi-path GETS modelling," UC3M Working papers. Economics we093620, Universidad Carlos III de Madrid. Departamento de Economía.
    98. Mukhtarov, Shahriyar & Mikayilov, Jeyhun I., 2023. "Could financial development eliminate energy poverty through renewable energy in Poland?," Energy Policy, Elsevier, vol. 182(C).
    99. 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.
    100. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
    101. Uwe Dulleck & Markus Schaffner & Benno Torgler, 2014. "Heartbeat and Economic Decisions: Observing Mental Stress among Proposers and Responders in the Ultimatum Bargaining Game," PLOS ONE, Public Library of Science, vol. 9(9), pages 1-9, September.
    102. 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.
    103. Gómez-Puig, Marta & Pieterse-Bloem, Mary & Sosvilla-Rivero, Simón, 2023. "Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets," Journal of Multinational Financial Management, Elsevier, vol. 68(C).
    104. Sanchez-Fung, Jose R., 2008. "The day-to-day interbank market, volatility, and central bank intervention in a developing economy," Economics Discussion Papers 2008-2, School of Economics, Kingston University London.
    105. Edwards, Jeremy S. S., 2017. "A replication of "Education and catch-up in the Industrial Revolution" (American Economic Journal: Macroeconomics, 2011)," Economics Discussion Papers 2017-30, Kiel Institute for the World Economy (IfW Kiel).
    106. Jurgen A. Doornik, 2008. "Encompassing and Automatic Model Selection," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 915-925, December.
    107. Anders Bredahl Kock & Timo Teräsvirta, 2016. "Forecasting Macroeconomic Variables Using Neural Network Models and Three Automated Model Selection Techniques," Econometric Reviews, Taylor & Francis Journals, vol. 35(8-10), pages 1753-1779, December.
    108. 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.
    109. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
    110. 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.
    111. Barrera, Carlos, 2013. "El sistema de predicción desagregada: Una evaluación de las proyecciones de inflación 2006-2011," Working Papers 2013-009, Banco Central de Reserva del Perú.
    112. Ackah, Ishmael & Asomani, Mcomari, 2015. "Modelling Renewable Energy Economy in Ghana with Autometrics," MPRA Paper 63870, University Library of Munich, Germany.
    113. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
    114. Marçal, Emerson Fernandes, 2014. "Desalinhamentos Cambiais, Interdependência, Crises, Guerras cambiais: Uma avaliação empírica," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(2), June.
    115. 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.
    116. Lein, Sarah M. & León-Ledesma, Miguel A. & Nerlich, Carolin, 2008. "How is real convergence driving nominal convergence in the new EU Member States?," Journal of International Money and Finance, Elsevier, vol. 27(2), pages 227-248, March.
    117. George Bagdatoglou & Alexandros Kontonikas & Mark E. Wohar, 2016. "Forecasting Us Inflation Using Dynamic General-To-Specific Model Selection," Bulletin of Economic Research, Wiley Blackwell, vol. 68(2), pages 151-167, April.
    118. 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.
    119. Peter N. Smith & Mike Wickens, 2006. "The New Consensus in Monetary Policy: Is the NKM fit for the purpose of inflation targeting?," CDMA Conference Paper Series 0610, Centre for Dynamic Macroeconomic Analysis.
    120. SANTOS, Carlos & OLIVEIRA, Maria Alberta, 2007. "Modelling The German Yield Curve And Testing The Lucas Critique, 1975-2001," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(1).
    121. R. Jimborean & A. Kelber, 2014. "Foreign direct investment drivers and growth in Central and Eastern Europe in the aftermath of the 2007 global financial crisis," Working papers 488, Banque de France.
    122. 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.
    123. Ishmael Ackah & Mcomari Asomani, 2015. "Empirical Analysis of Renewable Energy Demand in Ghana with Autometrics," International Journal of Energy Economics and Policy, Econjournals, vol. 5(3), pages 754-758.
    124. 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.
    125. R. Quentin Grafton & Tom Kompas & P. Dorian Owen, 2004. "Bridging the Barriers: Knowledge Connections, Productivity, and Capital Accumulation," International and Development Economics Working Papers idec04-5, International and Development Economics.
    126. David F. Hendry, 2024. "A Brief History of General‐to‐specific Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 1-20, February.
    127. 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.
    128. Richard Curtin, 2021. "Nonconscious cognitive reasoning: A neglected ability shaping economic behavior," Journal of Behavioral Economics for Policy, Society for the Advancement of Behavioral Economics (SABE), vol. 5(S3), pages 35-43, October.
    129. 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).
    130. 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.
    131. David Hauner & Jiri Jonas & Manmohan Singh Kumar, 2010. "Sovereign Risk: Are the EU's New Member States Different?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(4), pages 411-427, August.
    132. Paruolo Paolo, 2002. "Testing for common trends in conditional I(2) VAR models," Economics and Quantitative Methods qf0216, Department of Economics, University of Insubria.
    133. Ackah, Ishmael, 2015. "Investing in the cheapest form of energy: efficiency practices of SMEs in rural Ghana," MPRA Paper 65332, University Library of Munich, Germany.
    134. 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.
    135. Marçal, Emerson Fernandes, 2013. "Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment," Textos para discussão 348, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    136. Rao, B. Bhaskara & Hassan, Gazi, 2009. "How to Increase the Long Run Growth Rate of Bangladesh?," MPRA Paper 14470, University Library of Munich, Germany.
    137. Richard T. Curtin, 2022. "A New Theory of Expectations," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(3), pages 239-259, November.
    138. Alex Luiz Ferreira., 2009. "Is it Risk? An Automated Approach to Explain the ex ante UIP Deviations of Brazil," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 46(133), pages 51-66.
    139. David F. Hendry & Hans-Martin Krolzig, 2003. "Sub-sample Model Selection Procedures in Gets Modelling," Economics Papers 2003-W17, Economics Group, Nuffield College, University of Oxford.
    140. Reinhold Heinlein & Hans-Martin Krolzig, 2011. "Effects of monetary policy on the $/£ exchange rate. Is there a 'delayed overshooting puzzle'?," Studies in Economics 1124, School of Economics, University of Kent.
    141. Arusha Cooray & Friedrich Schneider, 2018. "Does corruption throw sand into or grease the wheels of financial sector development?," Public Choice, Springer, vol. 177(1), pages 111-133, October.
    142. Lehkonen, Heikki & Heimonen, Kari, 2015. "Democracy, political risks and stock market performance," Journal of International Money and Finance, Elsevier, vol. 59(C), pages 77-99.
    143. Ackah, Ishmael, 2015. "Accounting for the effect of exogenous non-Economic variables on natural gas demand in oil producing African countries," MPRA Paper 81553, University Library of Munich, Germany.
    144. Genaro Sucarrat & Alvaro Escribano, 2012. "Automated Model Selection in Finance: General-to-Specific Modelling of the Mean and Volatility Specifications," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 74(5), pages 716-735, October.
    145. 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.
    146. Julia Campos & David F. Hendry & Hans‐Martin Krolzig, 2003. "Consistent Model Selection by an Automatic Gets Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 803-819, December.
    147. Ackah, Ishmael, 2017. "Analysis OF Energy Efficiency Practices of SMEs in Ghana: An application of Product Generational Dematerialisation," MPRA Paper 77484, University Library of Munich, Germany.
    148. Eduardo Acosta-González & Fernando Fernández-Rodríguez, 2007. "Model selection via genetic algorithms illustrated with cross-country growth data," Empirical Economics, Springer, vol. 33(2), pages 313-337, September.
    149. Heinlein, Reinhold & Krolzig, Hans-Martin, 2012. "On the construction of two-country cointegrated VAR models with an application to the UK and US," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62310, Verein für Socialpolitik / German Economic Association.
    150. Hoornweg, V., 2013. "Some Tools for Robustifying Econometric Analyses," Econometric Institute Research Papers 50163, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    151. Fernando Pigeard de Almeida Prado & Alex Luiz Ferreira Jaylson Jair da Silveira, 2007. "The Alcohol Price and the Flex Cars," EcoMod2007 23900067, EcoMod.
    152. Bonnier, Jean-Baptiste, 2022. "Forecasting crude oil volatility with exogenous predictors: As good as it GETS?," Energy Economics, Elsevier, vol. 111(C).
    153. Mrs. Swarnali A Hannan, 2015. "If the Fed Acts, How Do You React? The Liftoff Effect on Capital Flows," IMF Working Papers 2015/256, International Monetary Fund.

  64. David F. Hendry & Hans-Martin Krolzig, 2003. "Sub-sample Model Selection Procedures in Gets Modelling," Economics Papers 2003-W17, Economics Group, Nuffield College, University of Oxford.

    Cited by:

    1. 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.
    2. 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.

  65. David Hendry & Maozu Lu & Grayham E. Mizon, 2001. "Model Identification and Non-unique Structure," Economics Papers 2002-W10, Economics Group, Nuffield College, University of Oxford.

    Cited by:

    1. Matteo Richiardi, 2003. "The Promises and Perils of Agent-Based Computational Economics," LABORatorio R. Revelli Working Papers Series 29, LABORatorio R. Revelli, Centre for Employment Studies.
    2. Mark P. Taylor, 2004. "Estimating structural macroeconomic shocks through long-run recursive restrictions on vector autoregressive models: the problem of identification," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 9(3), pages 229-244.

  66. David Hendry & Michael P. Clements, 2001. "Pooling of Forecasts," Economics Papers 2002-W9, Economics Group, Nuffield College, University of Oxford.

    Cited by:

    1. Maurin, Laurent & Drechsel, Katja, 2008. "Flow of conjunctural information and forecast of euro area economic activity," Working Paper Series 925, European Central Bank.
    2. Kajal Lahiri & Huaming Peng & Xuguang Simon Sheng, 2021. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," Working Papers 2021-005, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    3. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    4. Henzel, Steffen R. & Mayr, Johannes, 2013. "The mechanics of VAR forecast pooling—A DSGE model based Monte Carlo study," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 1-24.
    5. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should macroeconomic forecasters use daily financial data and how?," University of Cyprus Working Papers in Economics 09-2010, University of Cyprus Department of Economics.
    6. Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal portfolio choice under decision-based model combinations," Working Paper 2014/15, Norges Bank.
    7. Jan R. Magnus & Wendun Wang & Xinyu Zhang, 2016. "Weighted-Average Least Squares Prediction," Econometric Reviews, Taylor & Francis Journals, vol. 35(6), pages 1040-1074, June.
    8. Lai T. Hoang & Dirk G. Baur, 2020. "Forecasting bitcoin volatility: Evidence from the options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(10), pages 1584-1602, October.
    9. Pesaran, M. Hashem & Zaffaroni, Paolo, 2005. "Model Averaging and Value-at-Risk Based Evaluation of Large Multi-Asset Volatility Models for Risk Management," CEPR Discussion Papers 5279, C.E.P.R. Discussion Papers.
    10. 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.
    11. Carriero, Andrea & Marcellino, Massimiliano, 2007. "A comparison of methods for the construction of composite coincident and leading indexes for the UK," International Journal of Forecasting, Elsevier, vol. 23(2), pages 219-236.
    12. Sun, Yuying & Hong, Yongmiao & Wang, Shouyang & Zhang, Xinyu, 2023. "Penalized time-varying model averaging," Journal of Econometrics, Elsevier, vol. 235(2), pages 1355-1377.
    13. Racine Ly & Fousseini Traore & Khadim Dia, 2021. "Forecasting Commodity Prices Using Long Short-Term Memory Neural Networks," Papers 2101.03087, arXiv.org, revised Jan 2021.
    14. Lennart Hoogerheide & Richard Kleijn & Francesco Ravazzolo & Herman K. Van Dijk & Marno Verbeek, 2010. "Forecast accuracy and economic gains from Bayesian model averaging using time-varying weights," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 251-269.
    15. Andrejs Bessonovs, 2015. "Suite of Latvia's GDP forecasting models," Working Papers 2015/01, Latvijas Banka.
    16. Stefan Günnel & Karl-Heinz Tödter, 2009. "Does Benford’s Law hold in economic research and forecasting?," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 36(3), pages 273-292, August.
    17. 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.).
    18. Kyosuke Chikamatsu, Naohisa Hirakata, Yosuke Kido, Kazuki Otaka, 2018. "Nowcasting Japanese GDPs," Bank of Japan Working Paper Series 18-E-18, Bank of Japan.
    19. Todd E. Clark & Michael W. McCracken, 2010. "Averaging forecasts from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 5-29.
    20. Douglas G. Santos & Flavio A. Ziegelmann, 2014. "Volatility Forecasting via MIDAS, HAR and their Combination: An Empirical Comparative Study for IBOVESPA," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(4), pages 284-299, July.
    21. Costantini, Mauro & Pappalardo, Carmine, 2010. "A hierarchical procedure for the combination of forecasts," International Journal of Forecasting, Elsevier, vol. 26(4), pages 725-743, October.
    22. Antoine Mandel & Amir Sani, 2017. "A Machine Learning Approach to the Forecast Combination Puzzle," Working Papers halshs-01317974, HAL.
    23. Tommaso Proietti & Martyna Marczak & Gianluigi Mazzi, 2015. "EuroMInd-D: A Density Estimate of Monthly Gross Domestic Product for the Euro Area," CREATES Research Papers 2015-12, Department of Economics and Business Economics, Aarhus University.
    24. 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.).
    25. Todd E. Clark & Michael W. McCracken, 2009. "Combining Forecasts from Nested Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(3), pages 303-329, June.
    26. Skriner, Edith, 2007. "Forecasting Global Flows," Economics Series 214, Institute for Advanced Studies.
    27. Anindya Banerjee & Massimiliano Marcellino, 2003. "Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?," Working Papers 236, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    28. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
    29. Chauvet, Marcelle & Potter, Simon, 2013. "Forecasting Output," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 141-194, Elsevier.
    30. Abel Rodríguez Tirado & Marcelo Delajara & Federico Hernández Álvarez, 2016. "Nowcasting Mexico’s Short-Term GDP Growth in Real-Time: A Factor Model versus Professional Forecasters," Economía Journal, The Latin American and Caribbean Economic Association - LACEA, vol. 0(Fall 2016), pages 167-182, October.
    31. Hall, Stephen G. & Mitchell, James, 2007. "Combining density forecasts," International Journal of Forecasting, Elsevier, vol. 23(1), pages 1-13.
    32. Jing Zeng, 2015. "Combining Country-Specific Forecasts when Forecasting Euro Area Macroeconomic Aggregates," Working Paper Series of the Department of Economics, University of Konstanz 2015-11, Department of Economics, University of Konstanz.
    33. David, DE LA CROIX & Bo, MALMBERG, 2006. "Growth and Longevity from the Industrial Revolution to the Future of an Aging Society," Discussion Papers (ECON - Département des Sciences Economiques) 2006037, Université catholique de Louvain, Département des Sciences Economiques.
    34. Massimiliano Marcellino, "undated". "Forecasting EMU macroeconomic variables," Working Papers 216, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    35. Norman Swanson & Oleg Korenok, 2006. "The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives," Departmental Working Papers 200615, Rutgers University, Department of Economics.
    36. Todd E. Clark & Michael W. McCracken, 2006. "Forecasting of small macroeconomic VARs in the presence of instabilities," Research Working Paper RWP 06-09, Federal Reserve Bank of Kansas City.
    37. Graham Elliott, 2017. "Forecast combination when outcomes are difficult to predict," Empirical Economics, Springer, vol. 53(1), pages 7-20, August.
    38. Lima, Luiz Renato Regis de Oliveira & Issler, João Victor, 2007. "A panel data approach to economic forecasting: the bias-corrected average forecast," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 650, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    39. Galvão, Ana Beatriz & Garratt, Anthony & Mitchell, James, 2021. "Does judgment improve macroeconomic density forecasts?," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1247-1260.
    40. Katja Heinisch & Rolf Scheufele, 2018. "Bottom-up or direct? Forecasting German GDP in a data-rich environment," Empirical Economics, Springer, vol. 54(2), pages 705-745, March.
    41. Soybilgen, Barış & Yazgan, Ege, 2018. "Evaluating nowcasts of bridge equations with advanced combination schemes for the Turkish unemployment rate," Economic Modelling, Elsevier, vol. 72(C), pages 99-108.
    42. Poncela, Pilar & Rodríguez, Julio & Sánchez-Mangas, Rocío & Senra, Eva, 2011. "Forecast combination through dimension reduction techniques," International Journal of Forecasting, Elsevier, vol. 27(2), pages 224-237, April.
    43. Stefania D'Amico, 2004. "Density Estimation and Combination under Model Ambiguity," Computing in Economics and Finance 2004 273, Society for Computational Economics.
    44. Kuzin, Vladimir N. & Marcellino, Massimiliano & Schumacher, Christian, 2009. "Pooling versus model selection for nowcasting with many predictors: an application to German GDP," Discussion Paper Series 1: Economic Studies 2009,03, Deutsche Bundesbank.
    45. Christopher G. Gibbs, 2017. "Forecast combination, non-linear dynamics, and the macroeconomy," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 63(3), pages 653-686, March.
    46. Pär Österholm, 2006. "Incorporating judgement in fan charts," Finance and Economics Discussion Series 2006-39, Board of Governors of the Federal Reserve System (U.S.).
    47. Alain Galli & Christian Hepenstrick & Rolf Scheufele, 2017. "Mixed-frequency models for tracking short-term economic developments in Switzerland," Working Papers 2017-02, Swiss National Bank.
    48. Guillaume Chevillon, 2007. "Direct Multi‐Step Estimation And Forecasting," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 746-785, September.
    49. Jeong-Ryeol Kurz-Kim, 2008. "Combining forecasts using optimal combination weight and generalized autoregression," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 419-432.
    50. Hubrich, Kirstin, 2005. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," International Journal of Forecasting, Elsevier, vol. 21(1), pages 119-136.
    51. Mayr, Johannes, 2010. "Forecasting Macroeconomic Aggregates," Munich Dissertations in Economics 11140, University of Munich, Department of Economics.
    52. Kapetanios, George & Labhard, Vincent & Price, Simon, 2008. "Forecast combination and the Bank of England's suite of statistical forecasting models," Economic Modelling, Elsevier, vol. 25(4), pages 772-792, July.
    53. Huiyu Huang & Tae-Hwy Lee, 2010. "To Combine Forecasts or to Combine Information?," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 534-570.
    54. Carlo Favero & Massimiliano Marcellino, 2005. "Modelling and Forecasting Fiscal Variables for the Euro Area," Working Papers 298, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    55. Katerina Arnostova & David Havrlant & Luboš Rùžièka & Peter Tóth, 2011. "Short-Term Forecasting of Czech Quarterly GDP Using Monthly Indicators," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(6), pages 566-583, December.
    56. James Yae & Yang Luo, 2023. "Robust monitoring machine: a machine learning solution for out-of-sample R $$^2$$ 2 -hacking in return predictability monitoring," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
    57. Christopher G. Gibbs & Andrey L. Vasnev, 2017. "Conditionally Optimal Weights and Forward-Looking Approaches to Combining Forecasts," Discussion Papers 2017-10, School of Economics, The University of New South Wales.
    58. Martinez, Andrew B., 2015. "How good are US government forecasts of the federal debt?," International Journal of Forecasting, Elsevier, vol. 31(2), pages 312-324.
    59. 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.
    60. Ahumada, Hildegart A. & Garegnani, Maria Lorena, 2012. "Forecasting a monetary aggregate under instability: Argentina after 2001," International Journal of Forecasting, Elsevier, vol. 28(2), pages 412-427.
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    3. Carlos P. Barros & Luis A. Gil-Alana, 2013. "Inflation Forecasting in Angola: A Fractional Approach," African Development Review, African Development Bank, vol. 25(1), pages 91-104, March.
    4. Richard Harrison & George Kapetanios, 2004. "Forecasting with Measurement Errors in Dynamic Models," Working Papers 521, Queen Mary University of London, School of Economics and Finance.
    5. James M. Nason & Gregor W. Smith, 2005. "Identifying the New Keynesian Phillips curve," FRB Atlanta Working Paper 2005-01, Federal Reserve Bank of Atlanta.
    6. Frommel, Michael & MacDonald, Ronald & Menkhoff, Lukas, 2005. "Markov switching regimes in a monetary exchange rate model," Economic Modelling, Elsevier, vol. 22(3), pages 485-502, May.
    7. Oliveira, Fernando Nascimento de, 2016. "Financial and Real Sector Leading Indicators of Recessions in Brazil Using Probabilistic Models," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 70(3), September.
    8. Pat McAllister & Graeme Newell & George Matysiak, 2005. "Analysing Uk Real Estate Market Forecast Disagreement," Real Estate & Planning Working Papers rep-wp2005-13, Henley Business School, University of Reading.
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    38. Mellár, Tamás, 2016. "Szolgálólányból királycsináló - avagy az ökonometria makroökonómiai térhódítása? [From maidservant to king-maker - or the macroeconomic advance of econometrics?]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(3), pages 285-306.
    39. Mouchart, Michel & Rombouts, Jeroen V.K., 2005. "Clustered panel data models: an efficient approach for nowcasting from poor data," International Journal of Forecasting, Elsevier, vol. 21(3), pages 577-594.
    40. W A Razzak, 2002. "Monetary policy and forecasting inflation with and without the output gap," Reserve Bank of New Zealand Discussion Paper Series DP2002/03, Reserve Bank of New Zealand.
    41. Zhang, YunQian, 2022. "Influence of stock market factors on the natural resources dependence for environmental change: Evidence from China," Resources Policy, Elsevier, vol. 77(C).
    42. Ahmet DEMIR & AtabekSHADMANOV & CumhurAYDINLI & Okan ERAY, 2015. "DESIGNING A FORECAST MODEL FOR ECONOMIC GROWTH OF JAPAN USING COMPETITIVE (HYBRID ANN VS MULTIPLE REGRESSION) MODELS Abstract : Artificial neural network models have been already used on many differen," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 4(2), pages 1-21, july.
    43. Roberto Camagni & Roberta Capello, 2012. "Globalization and Economic Crisis: How Will the Future of European Regions Look?," Chapters, in: Roberta Capello & Tomaz Ponce Dentinho (ed.), Globalization Trends and Regional Development, chapter 2, Edward Elgar Publishing.
    44. Knedlik, Tobias & Scheufele, Rolf, 2007. "Three methods of forecasting currency crises: Which made the run in signaling the South African currency crisis of June 2006?," IWH Discussion Papers 17/2007, Halle Institute for Economic Research (IWH).
    45. Kostas Bithas & Chrysostomos Stoforos, 2006. "Estimating Urban Residential Water Demand Determinants and Forecasting Water Demand for Athens Metropolitan Area, 2000-2010," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, vol. 4(1), pages 47-59.
    46. Pablo Guerrón-Quintana & Molin Zhong, 2017. "Macroeconomic Forecasting in Times of Crises," Finance and Economics Discussion Series 2017-018, Board of Governors of the Federal Reserve System (U.S.).
    47. David F. Hendry, 2004. "Unpredictability and the Foundations of Economic Forecasting," Econometric Society 2004 Australasian Meetings 27, Econometric Society.
    48. Friedrich Fritzer & Gabriel Moser & Johann Scharler, 2002. "Forecasting Austrian HICP and its Components using VAR and ARIMA Models," Working Papers 73, Oesterreichische Nationalbank (Austrian Central Bank).
    49. Dimitrios Papastamos & George Matysiak & Simon Stevenson, 2014. "A Comparative Analysis of the Accuracy and Uncertainty in Real Estate and Macroeconomic Forecasts," Real Estate & Planning Working Papers rep-wp2014-06, Henley Business School, University of Reading.
    50. Ming-Yuan Leon Li, 2008. "Hybrid versus highbred: combined economic models with time-series analyses," Quantitative Finance, Taylor & Francis Journals, vol. 8(6), pages 637-647.
    51. Batchelor, Roy, 2007. "Bias in macroeconomic forecasts," International Journal of Forecasting, Elsevier, vol. 23(2), pages 189-203.
    52. Shahzad Ahmad & Farooq Pasha, 2015. "A Pragmatic Model for Monetary Policy Analysis I: The Case of Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 11, pages 1-42.
    53. Frank A. G. den Butter & Pieter W. Jansen, 2013. "Beating the random walk: a performance assessment of long-term interest rate forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 23(9), pages 749-765, May.
    54. Roberta Capello & Andrea Caragliu, 2016. "After crisis scenarios for Europe: alternative evolutions of structural adjustments," Cambridge Journal of Regions, Economy and Society, Cambridge Political Economy Society, vol. 9(1), pages 81-101.
    55. Jon Huntley & Eric Miller, 2009. "An Evaluation of CBO Forecasts: Working Paper 2009-02," Working Papers 41195, Congressional Budget Office.
    56. Aron, Janine & Muellbauer, John, 2012. "Improving forecasting in an emerging economy, South Africa: Changing trends, long run restrictions and disaggregation," International Journal of Forecasting, Elsevier, vol. 28(2), pages 456-476.
    57. Arvydas Jadevicius & Brian Sloan & Andrew Brown, 2013. "Property Market Modelling and Forecasting: A Case for Simplicity," ERES eres2013_10, European Real Estate Society (ERES).
    58. Pierre-Olivier Beffy & Xavier Bonnet & Brieuc Monfort & Matthieu Darracq-Pariès & Jérôme Henry, 2003. "MZE, un modèle macroéconométrique pour la zone euro ; suivi d'un commentaire de Jérome Henry," Économie et Statistique, Programme National Persée, vol. 367(1), pages 3-37.
    59. KANGASSALO Pertti & TAKALA Kari, 2010. "Measuring the Usefulness of Consumers’ Inflation Expectations in Finland," EcoMod2003 330700076, EcoMod.
    60. Erik Olsen & Gavin Fay & Sarah Gaichas & Robert Gamble & Sean Lucey & Jason S Link, 2016. "Ecosystem Model Skill Assessment. Yes We Can!," PLOS ONE, Public Library of Science, vol. 11(1), pages 1-24, January.
    61. George Bagdatoglou & Alexandros Kontonikas & Mark E. Wohar, 2016. "Forecasting Us Inflation Using Dynamic General-To-Specific Model Selection," Bulletin of Economic Research, Wiley Blackwell, vol. 68(2), pages 151-167, April.
    62. Tobias Knedlik & Rolf Scheufele, 2008. "Forecasting Currency Crises: Which Methods Signaled The South African Crisis Of June 2006?," South African Journal of Economics, Economic Society of South Africa, vol. 76(3), pages 367-383, September.
    63. Affuso, Antonio & Camagni, Roberto & Capello, Roberta & Fratesi, Ugo, 2011. "Escenarios para las regiones europeas y las provincias del Arco Latino [Scenarios for european regions and the Latin Arc provinces]," MPRA Paper 36877, University Library of Munich, Germany.
    64. Capistrán Carlos, 2007. "Optimality Tests for Multi-Horizon Forecasts," Working Papers 2007-14, Banco de México.
    65. Keck, Alexander & Raubold, Alexander, 2006. "Forecasting trade," WTO Staff Working Papers ERSD-2006-05, World Trade Organization (WTO), Economic Research and Statistics Division.
    66. Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, vol. 22(3), pages 475-492.
    67. Roberto Camagni & Roberta Capello (ed.), 2011. "Spatial Scenarios in a Global Perspective," Books, Edward Elgar Publishing, number 14523.
    68. Patrick Mcallister & Graeme Newell & George Matysiak, 2008. "Agreement and Accuracy in Consensus Forecasts of the UK Commercial Property Market," Journal of Property Research, Taylor & Francis Journals, vol. 25(1), pages 1-22, June.
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    70. Roy Batchelor, 2007. "Forecaster Behaviour and Bias in Macroeconomic Forecasts," ifo Working Paper Series 39, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
    71. Peter Vlaar & Ard den Reijer, 2004. "Forecasting inflation: An art as well as a science!," Computing in Economics and Finance 2004 148, Society for Computational Economics.
    72. Duarte, Claudia & Rua, Antonio, 2007. "Forecasting inflation through a bottom-up approach: How bottom is bottom?," Economic Modelling, Elsevier, vol. 24(6), pages 941-953, November.
    73. David F. Hendry, 2004. "Robustifying Forecasts from Equilibrium-Correction Models," Economics Papers 2004-W14, Economics Group, Nuffield College, University of Oxford.
    74. Paul Gallimore & Pat McAllister, 2005. "The Production and Consumption of Commercial Real Estate Market Forecasts," Real Estate & Planning Working Papers rep-wp2005-06, Henley Business School, University of Reading.
    75. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2024. "Forecasting the UK top 1% income share in a shifting world," Economica, London School of Economics and Political Science, vol. 91(363), pages 1047-1074, July.
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    81. Heilemann Ullrich, 2004. "Besser geht’s nicht – Genauigkeitsgrenzen von Konjunkturprognosen / As Good as it Gets – Limits of Accuracy of Macroeconomic Short Term Forecasts," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(1-2), pages 51-64, February.

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    Cited by:

    1. Andrew B. Martinez, 2011. "Comparing Government Forecasts of the United States’ Gross Federal Debt," Working Papers 2011-002, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    2. Martinez, Andrew B., 2015. "How good are US government forecasts of the federal debt?," International Journal of Forecasting, Elsevier, vol. 31(2), pages 312-324.
    3. J. M. Kargbo, 2007. "Forecasting agricultural exports and imports in South Africa," Applied Economics, Taylor & Francis Journals, vol. 39(16), pages 2069-2084.
    4. Krkoska, Libor & Teksoz, Utku, 2007. "Accuracy of GDP growth forecasts for transition countries: Ten years of forecasting assessed," International Journal of Forecasting, Elsevier, vol. 23(1), pages 29-45.

  69. Beyer, A. & Doornik, J.A. & Hendry, D.F., 2000. "Constructing Historical Euro-Zone Data," Economics Working Papers eco2000/10, European University Institute.

    Cited by:

    1. Alkhareif, Ryadh & Barnett, William A., 2012. "Divisia monetary aggregates for the GCC countries," MPRA Paper 39539, University Library of Munich, Germany.
    2. LEBRE DE FREITAS Miguel, 2010. "Currency Substitution and Money Demand in Euroland," EcoMod2003 330700087, EcoMod.
    3. Lütkepohl Helmut, 2011. "Forecasting Nonlinear Aggregates and Aggregates with Time-varying Weights," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 107-133, February.
    4. Ratti, Ronald A. & Vespignani, Joaquin L., 2015. "Commodity prices and BRIC and G3 liquidity: A SFAVEC approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 18-33.
    5. Belke, Ansgar & Bordon, Ingo G. & Volz, Ulrich, 2012. "Effects of Global Liquidity on Commodity and Food Prices," Ruhr Economic Papers 323, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    6. Coën, Alain & Lefebvre, Benoit & Simon, Arnaud, 2018. "International money supply and real estate risk premium: The case of the London office market," Journal of International Money and Finance, Elsevier, vol. 82(C), pages 120-140.
    7. Mönch, Emanuel & Uhlig, Harald, 2005. "Towards a monthly business cycle chronology for the euro area," SFB 649 Discussion Papers 2005-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. 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.
    9. Ansgar Belke & Robert Czudaj, 2010. "Is Euro Area Money Demand (Still) Stable?: Cointegrated VAR versus Single Equation Techniques," Discussion Papers of DIW Berlin 982, DIW Berlin, German Institute for Economic Research.
    10. Christophe Planas & Werner Roeger & Alessandro Rossi, 2004. "How much has labour taxation contributed to European structural unemployment?," Econometrics 0408005, University Library of Munich, Germany.
    11. Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert, 2014. "Does global liquidity drive commodity prices?," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 224-234.
    12. Ricardo M. Sousa, 2010. "The consumption-wealth ratio and asset returns: The Euro Area, the UK and the US," NIPE Working Papers 9/2010, NIPE - Universidade do Minho.
    13. Barnett, William A., 2007. "Multilateral aggregation-theoretic monetary aggregation over heterogeneous countries," Journal of Econometrics, Elsevier, vol. 136(2), pages 457-482, February.
    14. Wieland, Volker & Coenen, Günter, 2000. "A small estimated euro area model with rational expectations and nominal rigidities," Working Paper Series 30, European Central Bank.
    15. Nico Valckx, 2004. "The decomposition of US and Euro area stock and bond returns and their sensitivity to economic state variables," The European Journal of Finance, Taylor & Francis Journals, vol. 10(2), pages 149-173.
    16. Belke, Ansgar & Bordon, Ingo G. & Hendricks, Torben W., 2010. "Monetary Policy, Global Liquidity and Commodity Price Dynamics," Ruhr Economic Papers 167, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    17. Christian Dreger & Jürgen Wolters, 2007. "Instabile Geldnachfrage im Euroraum?," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 76(4), pages 85-95.
    18. Ron Alquist & Lutz Kilian & Robert Vigfusson, 2011. "Forecasting the Price of Oil," Staff Working Papers 11-15, Bank of Canada.
    19. Jing Zeng, 2015. "Combining Country-Specific Forecasts when Forecasting Euro Area Macroeconomic Aggregates," Working Paper Series of the Department of Economics, University of Konstanz 2015-11, Department of Economics, University of Konstanz.
    20. Massimiliano Marcellino, "undated". "Forecasting EMU macroeconomic variables," Working Papers 216, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    21. Ansgar Belke & Walter Orth & Ralph Setzer, 2008. "Sowing the seeds for the subprime crisis: does global liquidity matter for housing and other asset prices?," International Economics and Economic Policy, Springer, vol. 5(4), pages 403-424, December.
    22. Michael Artis & Massimiliano Marcellino & Tommaso Proietti, 2003. "Dating the Euro Area Business Cycle," Working Papers 237, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    23. Dmitri Boreiko, 2002. "EMU and Accession Countries: Fuzzy Cluster Analysis of Membership," Working Papers Central Bank of Chile 189, Central Bank of Chile.
    24. Joan Paredes & Diego J. Pedregal & Javier J. Pérez, 2009. "A quarterly fiscal database for the euro area based on intra-annual fiscal information," Working Papers 0935, Banco de España.
    25. Angelini, Elena & Marcellino, Massimiliano, 2007. "Econometric analyses with backdated data: unified Germany and the euro area," Working Paper Series 752, European Central Bank.
    26. Pierfederico Asdrubali & Soyoung Kim, 2000. "Dynamic Risk Sharing in the United States and Europe," Econometric Society World Congress 2000 Contributed Papers 1621, Econometric Society.
    27. Murach, Michael & Wagner, Helmut, 2019. "The effects of external shocks on the business cycle in China: A structural change perspective," CEAMeS Discussion Paper Series 1/2016, University of Hagen, Center for East Asia Macro-economic Studies (CEAMeS), revised 2019.
    28. Sousa, Ricardo M., 2010. "Housing wealth, financial wealth, money demand and policy rule: Evidence from the euro area," The North American Journal of Economics and Finance, Elsevier, vol. 21(1), pages 88-105, March.
    29. Corona, Francisco & Poncela, Pilar, 2017. "Estimating non-stationary common factors : Implications for risk sharing," DES - Working Papers. Statistics and Econometrics. WS 24585, Universidad Carlos III de Madrid. Departamento de Estadística.
    30. Chamberlin, G. & Henry, S. G. B. & Satchi, M., 2003. "A model of the G-3," Economic Modelling, Elsevier, vol. 20(6), pages 1083-1095, December.
    31. Nautz, Dieter & Rondorf, Ulrike, 2010. "The (in)stability of money demand in the Euro Area: Lessons from a cross-country analysis," SFB 649 Discussion Papers 2010-023, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    32. Martín Fuentes, Natalia & Born, Alexandra & Bremus, Franziska & Kastelein, Wieger & Lambert, Claudia, 2023. "A deep dive into the capital channel of risk sharing in the euro area," Working Paper Series 2864, European Central Bank.
    33. Klaus Prettner & Robert M. Kunst, 2009. "The Dynamic Interrelations between Unequal Neighbors: An Austro-German Case Study," Vienna Economics Papers vie0913, University of Vienna, Department of Economics.
    34. Calza Alessandro & Sousa João, 2006. "Output and Inflation Responses to Credit Shocks: Are There Threshold Effects in the Euro Area?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(2), pages 1-21, May.
    35. Heather M. Anderson & Mardi Dungey & Denise R Osborn & Farshid Vahid, 2010. "Financial Integration and the Construction of Historical Financial Data for the Euro Area," Centre for Growth and Business Cycle Research Discussion Paper Series 152, Economics, The University of Manchester.
    36. Michael Murach, 2019. "Global Determinants of the Gold Price: A Multivariate Cointegration Analysis," Scottish Journal of Political Economy, Scottish Economic Society, vol. 66(1), pages 198-214, February.
    37. Heather Anderson & Mardi Dungey & Denise R. Osborn & Farshid Vahid, 2007. "Constructing Historical Euro Area Data," CAMA Working Papers 2007-18, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    38. Döpke, Jörg & Chagny, Odile, 2001. "Measures of the Output Gap in the Euro-Zone: An Empirical Assessment of Selected Methods," Kiel Working Papers 1053, Kiel Institute for the World Economy (IfW Kiel).
    39. M.S.Rafiq, 2006. "Great Ratios, Balanced Growth and Stochastic Trends: Evidence for the Euro Area," Discussion Paper Series 2006_20, Department of Economics, Loughborough University.
    40. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2005. "Leading Indicators for Euro‐area Inflation and GDP Growth," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 785-813, December.
    41. Gerlach, Stefan & Assenmacher, Katrin, 2006. "Interpreting Euro Area Inflation at High and Low Frequencies," CEPR Discussion Papers 5632, C.E.P.R. Discussion Papers.
    42. G. Coenen & J.-L. Vega, 2001. "The demand for M3 in the euro area," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(6), pages 727-748.
    43. Dreger, Christian & Wolters, Jürgen, 2011. "Liquidity and Asset Prices: How Strong Are the Linkages?," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 1, pages 43-52.
    44. Ralf Brueggemann & Helmut Luetkepohl & Massimiliano Marcellino, 2006. "Forecasting Euro-Area Variables with German Pre-EMU Data," Economics Working Papers ECO2006/30, European University Institute.
    45. Miguel Lebre de Freitas, 2003. "EU-wide money and currency substitution," Working Papers de Economia (Economics Working Papers) 09, Departamento de Economia, Gestão e Engenharia Industrial, Universidade de Aveiro.
    46. Dieppe, Alistair & Henry, Jerome, 2004. "The euro area viewed as a single economy: how does it respond to shocks?," Economic Modelling, Elsevier, vol. 21(5), pages 833-875, September.
    47. Dreger, Christian & Wolters, Jürgen, 2010. "Investigating M3 money demand in the euro area," Journal of International Money and Finance, Elsevier, vol. 29(1), pages 111-122, February.
    48. Hans-Martin Krolzig, 2001. "Markov-Switching Procedures for Dating the Euro-Zone Business Cycle," Vierteljahrshefte zur Wirtschaftsforschung / Quarterly Journal of Economic Research, DIW Berlin, German Institute for Economic Research, vol. 70(3), pages 339-351.
    49. Ralf Brüggemann & Jing Zeng, 2015. "Forecasting Euro-Area Macroeconomic Variables Using a Factor Model Approach for Backdating," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(1), pages 22-39, February.
    50. Gattini, Luca & Pill, Huw & Schuknecht, Ludger, 2012. "A global perspective on inflation and propagation channels," Working Paper Series 1462, European Central Bank.
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    225. Yolanda S. Stander, 2023. "The Governance and Disclosure of IFRS 9 Economic Scenarios," JRFM, MDPI, vol. 16(1), pages 1-27, January.
    226. Peia, Oana & Roszbach, Kasper, 2015. "Finance and growth: Time series evidence on causality," Journal of Financial Stability, Elsevier, vol. 19(C), pages 105-118.
    227. Lin, Boqiang & Wang, Xiaolei, 2014. "Promoting energy conservation in China's iron & steel sector," Energy, Elsevier, vol. 73(C), pages 465-474.
    228. Goujon, Michael, 2006. "Fighting inflation in a dollarized economy: The case of Vietnam," Journal of Comparative Economics, Elsevier, vol. 34(3), pages 564-581, September.
    229. Crôtte, Amado & Noland, Robert B. & Graham, Daniel J., 2009. "Is the Mexico City metro an inferior good?," Transport Policy, Elsevier, vol. 16(1), pages 40-45, January.
    230. Ihle, Rico & von Cramon-Taubadel, Stephan, 2016. "Semiparametric insights into price dynamics in Tanzanian maize markets," 2016 Fifth International Conference, September 23-26, 2016, Addis Ababa, Ethiopia 249329, African Association of Agricultural Economists (AAAE).
    231. Narayan, Paresh Kumar & Narayan, Seema & Smyth, Russell, 2008. "Are oil shocks permanent or temporary? Panel data evidence from crude oil and NGL production in 60 countries," Energy Economics, Elsevier, vol. 30(3), pages 919-936, May.
    232. Ghoshray, Atanu & Johnson, Ben, 2010. "Trends in world energy prices," Energy Economics, Elsevier, vol. 32(5), pages 1147-1156, September.
    233. Crôtte, Amado & Noland, Robert B. & Graham, Daniel J., 2010. "An analysis of gasoline demand elasticities at the national and local levels in Mexico," Energy Policy, Elsevier, vol. 38(8), pages 4445-4456, August.
    234. Finger, Robert & Listorti, Giulia & Tonini, Axel, 2015. "The cheese processing aid in Switzerland: ex-post and ex-ante evaluations," 2015 Conference, August 9-14, 2015, Milan, Italy 211633, International Association of Agricultural Economists.
    235. Chang, Ching-Chih, 2012. "Marine energy consumption, national economic activity, and greenhouse gas emissions from international shipping," Energy Policy, Elsevier, vol. 41(C), pages 843-848.
    236. Boriss Siliverstovs, 2007. "Money Demand in Estonia," Discussion Papers of DIW Berlin 675, DIW Berlin, German Institute for Economic Research.
    237. Gaolu Zou, 2018. "Differences Between Prices of Goods and Services in China," The Journal of Social Sciences Research, Academic Research Publishing Group, vol. 4(2), pages 24-27, 02-2018.
    238. Al-Rabbaie, Arqam & Alwaked, Ahmad & Altarawneh, Yaseen, 2009. "Underlying trends in employment-output equation: the case of Jordan," Perspectives of Innovations, Economics and Business (PIEB), Prague Development Center (PRADEC), vol. 3, pages 1-3, December.
    239. Roula Inglesi-Lotz, 2012. "The sensitivity of the South African industrial sector’s electricity consumption to electricity price fluctuations," Working Papers 201225, University of Pretoria, Department of Economics.
    240. Simon Price & Christoph Schleicher, 2005. "Returns To Equity, Investment And Q: Evidence From The Uk," Manchester School, University of Manchester, vol. 73(s1), pages 32-57, September.
    241. Tommy E. Murphy, 2010. "Persistence of Malthus or Persistence in Malthus? Mortality, Income, and Marriage in the French Fertility Decline of the Long Nineteenth Century?," Working Papers 363, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    242. Lin, Boqiang & Zhang, Guoliang, 2013. "Estimates of electricity saving potential in Chinese nonferrous metals industry," Energy Policy, Elsevier, vol. 60(C), pages 558-568.
    243. Nnaemeka Vincent Emodi & Taha Chaiechi & ABM Rabiul Alam Beg, 2018. "The impact of climate change on electricity demand in Australia," Energy & Environment, , vol. 29(7), pages 1263-1297, November.
    244. Wu, Hong, 2022. "Trade openness, green finance and natural resources: A literature review," Resources Policy, Elsevier, vol. 78(C).
    245. Sakiru, Solarin Adebola & Gil-Alana, Luis A. & Gonzalez-Blanch, Maria Jesus, 2022. "Persistence of economic complexity in OECD countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
    246. Panagiotidis, Theodore & Rutledge, Emilie, 2007. "Oil and gas markets in the UK: Evidence from a cointegrating approach," Energy Economics, Elsevier, vol. 29(2), pages 329-347, March.
    247. Gaolu Zou & K. W. Chau, 2019. "Long- and Short-Run Effects of Fuel Prices on Freight Transportation Volumes in Shanghai," Sustainability, MDPI, vol. 11(18), pages 1-12, September.
    248. Djula Borozan, 2011. "Granger causality and innovation accounting analysis of the monetary transmission mechanism in Croatia," Post-Communist Economies, Taylor & Francis Journals, vol. 23(4), pages 517-537, May.
    249. Sukati, Mphumuzi, 2013. "Cointegration Analysis of Oil Prices and Consumer Price Index in South Africa using STATA Software," MPRA Paper 49797, University Library of Munich, Germany.
    250. Avdoulas Christos & Bekiros Stelios & Lucey Brian, 2020. "The term structure of Eurozone peripheral bond yields: an asymmetric regime-switching equilibrium correction approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(4), pages 1-23, September.
    251. Bigsten, Arne & Durevall, Dick, 2004. "Trade Reform and Wage Inequality in Kenya, 1964-2000," Working Papers in Economics 148, University of Gothenburg, Department of Economics.
    252. Juselius, Katarina & Toro, Juan, 2005. "Monetary transmission mechanisms in Spain: The effect of monetization, financial deregulation, and the EMS," Journal of International Money and Finance, Elsevier, vol. 24(3), pages 509-531, April.
    253. Arize, Augustine C. & Nippani, Srinivas, 2010. "Import demand behavior in Africa: Some new evidence," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(3), pages 254-263, August.
    254. Ibrahim Abdelrasoul Mohammed Belal & Sumaya Awad Khader Ahmed & Faouzi Hedi Boujedra, 2021. "The Causal Relationship between, Electricity Consumption and Economic Growth in Kingdom of Saudi Arabia: A Dynamic Causality Test," International Journal of Energy Economics and Policy, Econjournals, vol. 11(1), pages 333-340.

  72. David Hendry & Jurgen Doornik, 2000. "Constructing Historical Euro-Zone Data," Economics Series Working Papers 4, University of Oxford, Department of Economics.

    Cited by:

    1. Alkhareif, Ryadh & Barnett, William A., 2012. "Divisia monetary aggregates for the GCC countries," MPRA Paper 39539, University Library of Munich, Germany.
    2. Ratti, Ronald A. & Vespignani, Joaquin L., 2015. "Commodity prices and BRIC and G3 liquidity: A SFAVEC approach," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 18-33.
    3. Belke, Ansgar & Bordon, Ingo G. & Volz, Ulrich, 2012. "Effects of Global Liquidity on Commodity and Food Prices," Ruhr Economic Papers 323, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    4. Beckmann, Joscha & Belke, Ansgar & Czudaj, Robert, 2014. "Does global liquidity drive commodity prices?," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 224-234.
    5. Belke, Ansgar & Bordon, Ingo G. & Hendricks, Torben W., 2010. "Monetary Policy, Global Liquidity and Commodity Price Dynamics," Ruhr Economic Papers 167, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    6. Ansgar Belke & Walter Orth & Ralph Setzer, 2008. "Sowing the seeds for the subprime crisis: does global liquidity matter for housing and other asset prices?," International Economics and Economic Policy, Springer, vol. 5(4), pages 403-424, December.
    7. Belke, Ansgar & Orth, Walter, 2007. "Global Excess Liquidity and House Prices - A VAR Analysis for OECD Countries," Ruhr Economic Papers 37, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    8. Michael Funke, 2001. "Money Demand in Euroland," Quantitative Macroeconomics Working Papers 20112, Hamburg University, Department of Economics.
    9. Belke, Ansgar & Orth, Walter & Setzer, Ralph, 2010. "Liquidity and the dynamic pattern of asset price adjustment: A global view," Journal of Banking & Finance, Elsevier, vol. 34(8), pages 1933-1945, August.

  73. David Hendry, 2000. "Forecast Failure, Expectations Formation, and the Lucas Critique," Economics Papers 2002-W8, Economics Group, Nuffield College, University of Oxford.

    Cited by:

    1. Karimova, Amira & Simsek, Esra & Orhan, Mehmet, 2020. "Policy implications of the Lucas Critique empirically tested along the global financial crisis," Journal of Policy Modeling, Elsevier, vol. 42(1), pages 153-172.
    2. Sergio Destefanis & Matteo Fragetta & Emanuel Gasteiger, 2024. "Does one size fit all in the Euro Area? Some counterfactual evidence," Empirical Economics, Springer, vol. 67(4), pages 1615-1647, October.
    3. Angel Asensio, 2012. "On Keynes’s Seminal Innovation and Related Essential Features: Revisiting the Notion of Equilibrium in The General Theory," Chapters, in: Thomas Cate (ed.), Keynes’s General Theory, chapter 1, Edward Elgar Publishing.
    4. Ajit Karnik & Cedwyn Fernandes, 2009. "Natural resource dependence: a macroeconometric model for the United Arab Emirates," Applied Economics, Taylor & Francis Journals, vol. 41(9), pages 1157-1174.
    5. Neil R. Ericsson, 2000. "Predictable uncertainty in economic forecasting," International Finance Discussion Papers 695, Board of Governors of the Federal Reserve System (U.S.).
    6. Angel Asensio, 2013. "Teaching Keynes’s theory to neoclassically formed minds," Chapters, in: Jesper Jespersen & Mogens Ove Madsen (ed.), Teaching Post Keynesian Economics, chapter 10, pages 163-186, Edward Elgar Publishing.
    7. Olson, Eric & Wohar, Mark E., 2016. "An evaluation of ECB policy in the Euro's big four," Journal of Macroeconomics, Elsevier, vol. 48(C), pages 203-213.
    8. Angel Asensio, 2008. "The growing evidence of Keynes's methodology advantage and its consequences within the four macro-markets framework," Post-Print halshs-00189221, HAL.

  74. David Hendry, 2000. "Modelling UK Inflation over the Long Run," Economics Series Working Papers 2, University of Oxford, Department of Economics.

    Cited by:

    1. Christopher Bowdler, 2003. "Openness and the Output-Inflation Tradeoff," Economics Papers 2003-W04, Economics Group, Nuffield College, University of Oxford.

  75. David Hendry, 2000. "A General Forecast-error Taxonomy," Econometric Society World Congress 2000 Contributed Papers 0608, Econometric Society.

    Cited by:

    1. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    2. Fernando N. de Oliveira, 2015. "Financial and Real Sector Leading Indicators of Recessions in Brazil using Probabilistic Models," Working Papers Series 402, Central Bank of Brazil, Research Department.
    3. Guillaume Chevillon, 2007. "Direct Multi‐Step Estimation And Forecasting," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 746-785, September.
    4. David Hendry, 2000. "Forecast Failure, Expectations Formation, and the Lucas Critique," Economics Papers 2002-W8, Economics Group, Nuffield College, University of Oxford.
    5. Christian Ragacs & Martin Schneider, 2009. "Why did we fail to predict GDP during the last cycle? A breakdown of forecast errors for Austria," Working Papers 151, Oesterreichische Nationalbank (Austrian Central Bank).

  76. Clements, Michael P. & Hendry, David F., 1998. "Forecasting With Difference-Stationary And Trend-Stationary Models," Economic Research Papers 268798, University of Warwick - Department of Economics.

    Cited by:

    1. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    2. Clements, Michael P., 2002. "Comments on 'The state of macroeconomic forecasting'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 469-482, December.
    3. Guillaume Chevillon, 2004. ""Weak" trends for inference and forecasting in finite samples," Documents de Travail de l'OFCE 2004-12, Observatoire Francais des Conjonctures Economiques (OFCE).
    4. Chunming Yuan, 2008. "The Exchange Rate and Macroeconomic Determinants: Time-Varying Transitional Dynamics," UMBC Economics Department Working Papers 09-114, UMBC Department of Economics, revised 01 Nov 2009.
    5. Farmer, J. Doyne & Lafond, François, 2016. "How predictable is technological progress?," Research Policy, Elsevier, vol. 45(3), pages 647-665.
    6. Norman R. Swanson & Weiqi Xiong, 2018. "Big data analytics in economics: What have we learned so far, and where should we go from here?," Canadian Journal of Economics, Canadian Economics Association, vol. 51(3), pages 695-746, August.
    7. Corradi, Valentina & Swanson, Norman R., 2002. "A consistent test for nonlinear out of sample predictive accuracy," Journal of Econometrics, Elsevier, vol. 110(2), pages 353-381, October.
    8. Franc{c}ois Lafond & Aimee Gotway Bailey & Jan David Bakker & Dylan Rebois & Rubina Zadourian & Patrick McSharry & J. Doyne Farmer, 2017. "How well do experience curves predict technological progress? A method for making distributional forecasts," Papers 1703.05979, arXiv.org, revised Sep 2017.
    9. Pincheira, Pablo & Selaive, Jorge & Nolazco, Jose Luis, 2016. "The Evasive Predictive Ability of Core Inflation," MPRA Paper 68704, University Library of Munich, Germany.
    10. Clements, Michael P. & Kim, Jae H., 2007. "Bootstrap prediction intervals for autoregressive time series," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3580-3594, April.
    11. Yan-Leung Cheung & Yin-Wong Cheung & Alan T. K. Wan, 2009. "A High-Low Model of Daily Stock Price Ranges," Working Papers 032009, Hong Kong Institute for Monetary Research.
    12. Pablo Pincheira & Andrés Gatty, 2016. "Forecasting Chilean inflation with international factors," Empirical Economics, Springer, vol. 51(3), pages 981-1010, November.
    13. Hanif, Muhammad Nadim & Malik, Muhammad Jahanzeb, 2015. "Evaluating Performance of Inflation Forecasting Models of Pakistan," MPRA Paper 66843, University Library of Munich, Germany.
    14. Varang Wiriyawit, 2014. "Trend Mis-specifications and Estimated Policy Implications in DSGE Models," ANU Working Papers in Economics and Econometrics 2014-615, Australian National University, College of Business and Economics, School of Economics.
    15. Pablo M. Pincheira & Carlos A. Medel, 2016. "Forecasting with a Random Walk," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(6), pages 539-564, December.
    16. Neil R. Ericsson, 2000. "Predictable uncertainty in economic forecasting," International Finance Discussion Papers 695, Board of Governors of the Federal Reserve System (U.S.).
    17. David Harvey & Terence Mills, 2002. "Unit roots and double smooth transitions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 29(5), pages 675-683.
    18. K. G. Sorokozherdyev & K. A. Khodosov, 2020. "The Influence of the Regional Sectoral Structure on the Socio-Economic Development of Primorye Region," Journal of Applied Economic Research, Graduate School of Economics and Management, Ural Federal University, vol. 19(1), pages 60-78.
    19. Hamid Baghestani, 2009. "Evaluating random walk forecasts of exchange rates," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 26(3), pages 171-181, July.
    20. Shahzad Ahmad & Farooq Pasha, 2015. "A Pragmatic Model for Monetary Policy Analysis I: The Case of Pakistan," SBP Research Bulletin, State Bank of Pakistan, Research Department, vol. 11, pages 1-42.
    21. Hansen, Bruce E., 2010. "Averaging estimators for autoregressions with a near unit root," Journal of Econometrics, Elsevier, vol. 158(1), pages 142-155, September.
    22. 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.
    23. Alberto Baffigi & Roberto Golinelli & Giuseppe Parigi, 2002. "Real-time GDP forecasting in the euro area," Temi di discussione (Economic working papers) 456, Bank of Italy, Economic Research and International Relations Area.
    24. Cheung, Yin-Wong & Chinn, Menzie & Garcia Pascual, Antonio, 2003. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," Santa Cruz Center for International Economics, Working Paper Series qt5fc508pt, Center for International Economics, UC Santa Cruz.
    25. David Griffiths, 2004. "The big problem of forecasting small change," Applied Economics, Taylor & Francis Journals, vol. 36(19), pages 2195-2207.
    26. Corradi, Valentina & Swanson, Norman R. & Olivetti, Claudia, 2001. "Predictive ability with cointegrated variables," Journal of Econometrics, Elsevier, vol. 104(2), pages 315-358, September.
    27. Neil R. Ericsson, 2001. "Forecast uncertainty in economic modeling," International Finance Discussion Papers 697, Board of Governors of the Federal Reserve System (U.S.).
    28. Carlos A. Medel & Michael Pedersen & Pablo M. Pincheira, 2016. "The Elusive Predictive Ability of Global Inflation," International Finance, Wiley Blackwell, vol. 19(2), pages 120-146, June.
    29. Le Pen, Yannick & Sévi, Benoît, 2010. "What trends in energy efficiencies? Evidence from a robust test," Energy Economics, Elsevier, vol. 32(3), pages 702-708, May.
    30. Peter C.B. Phillips, 2003. "Laws and Limits of Econometrics," Cowles Foundation Discussion Papers 1397, Cowles Foundation for Research in Economics, Yale University.
    31. Baffigi, Alberto & Golinelli, Roberto & Parigi, Giuseppe, 2004. "Bridge models to forecast the euro area GDP," International Journal of Forecasting, Elsevier, vol. 20(3), pages 447-460.

  77. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Chebbi, Houssem Eddine & Lachaal, Lassaad, 2007. "Agricultural sector and economic growth in Tunisia: Evidence from co-integration and error correction mechanism," MPRA Paper 9101, University Library of Munich, Germany.
    2. Batini, Nicoletta & Harrison, Richard & Millard, Stephen P., 2003. "Monetary policy rules for an open economy," Journal of Economic Dynamics and Control, Elsevier, vol. 27(11), pages 2059-2094.
    3. 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.
    4. 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.
    5. Karimova, Amira & Simsek, Esra & Orhan, Mehmet, 2020. "Policy implications of the Lucas Critique empirically tested along the global financial crisis," Journal of Policy Modeling, Elsevier, vol. 42(1), pages 153-172.
    6. Yang, Yung Y. & Yi, Myung Hoon, 2008. "Does financial development cause economic growth? Implication for policy in Korea," Journal of Policy Modeling, Elsevier, vol. 30(5), pages 827-840.
    7. Keblowski, Piotr & Welfe, Aleksander, 2010. "Estimation of the equilibrium exchange rate: The CHEER approach," Journal of International Money and Finance, Elsevier, vol. 29(7), pages 1385-1397, November.
    8. Naveed H. Naqvi, 2002. "Crowding-in or Crowding-out? Modelling the Relationship between Public and Private Fixed Capital Formation Using Co-integration Analysis: The Case of Pakistan 1964-2000," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 41(3), pages 255-276.
    9. Budina, Nina & Maliszewski, Wojciech & de Menil, Georges & Turlea, Geomina, 2006. "Money, inflation and output in Romania, 1992-2000," Journal of International Money and Finance, Elsevier, vol. 25(2), pages 330-347, March.
    10. Ivars Tillers, 2004. "Money Demand in Latvia," Working Papers 2004/03, Latvijas Banka.
    11. Jarko Fidrmuc & Reiner Martin, 2011. "FDI, Trade and Growth in CESEE Countries," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 70-89.
    12. Augustine Arize & John Malindretos & Kiseok Nam, 2005. "Inflation and Structural Change in 50 Developing Countries," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 33(4), pages 461-471, December.
    13. Christian Müller-Kademann, 2009. "Biased Estimation in a Simple Extension of a Standard Error Correction Model," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 145(I), pages 37-60, March.
    14. Robert Darko Osei & Oliver Morrissey & Tim Lloyd, 2005. "The Fiscal Effects of Aid in Ghana," WIDER Working Paper Series RP2005-61, World Institute for Development Economic Research (UNU-WIDER).
    15. Filip, Ondrej & Janda, Karel & Kristoufek, Ladislav & Zilberman, David, 2019. "Food versus fuel: An updated and expanded evidence," Energy Economics, Elsevier, vol. 82(C), pages 152-166.
    16. Heimonen, Kari, 2001. "Substituting a substitute currency: The case of Estonia," BOFIT Discussion Papers 11/2001, Bank of Finland Institute for Emerging Economies (BOFIT).
    17. Massimiliano Marcellino & Grayham E. Mizon & Hans-Martin Krolzig, 2002. "A Markov-switching vector equilibrium correction model of the UK labour market," Empirical Economics, Springer, vol. 27(2), pages 233-254.
    18. Martin B. Schmidt, 2004. "Exogeneity within the M2 Demand Function: Evidence from a Large Macroeconomic System," Economic Inquiry, Western Economic Association International, vol. 42(4), pages 634-646, October.
    19. Møller, Niels Framroze, 2008. "Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 2, pages 1-29.
    20. Christophe Rault, 2005. "Further Results on Weak-Exogeneity in Vector Error Correction Models," Documents de recherche 05-12, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    21. 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.
    22. Juuso Vataja, 2001. "On the interdependence of Finnish and Swedish newsprint prices," Finnish Economic Papers, Finnish Economic Association, vol. 14(2), pages 120-130, Autumn.
    23. Harald Van Heerde & Kristiaan Helsen & Marnik G. Dekimpe, 2007. "The Impact of a Product-Harm Crisis on Marketing Effectiveness," Marketing Science, INFORMS, vol. 26(2), pages 230-245, 03-04.
    24. Rafaty, R. & Dolphin, G. & Pretis, F., 2020. "Carbon pricing and the elasticity of CO2 emissions," Cambridge Working Papers in Economics 20116, Faculty of Economics, University of Cambridge.
    25. Amèvi Rocard Kouwoaye, 2019. "Trade tax reforms and poverty in developing countries: Why do some countries benefit and others lose?," WIDER Working Paper Series wp-2019-66, World Institute for Development Economic Research (UNU-WIDER).
    26. Reza Anglingkusumo, 2005. "Stability of the Demand for Real Narrow Money in lndonesia," Tinbergen Institute Discussion Papers 05-051/4, Tinbergen Institute.
    27. Kębłowski, Piotr & Welfe, Aleksander, 2012. "A risk-driven approach to exchange rate modelling," Economic Modelling, Elsevier, vol. 29(4), pages 1473-1482.
    28. Heimonen, Kari, 2008. "Substituting a substitute currency," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 66-84.
    29. Nicoletta Batini, 2006. "Euro area inflation persistence," Empirical Economics, Springer, vol. 31(4), pages 977-1002, November.
    30. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871, November.
    31. Arize, A. C. & Malindretos, John & Grivoyannis, Elias C., 2005. "Inflation-rate volatility and money demand: Evidence from less developed countries," International Review of Economics & Finance, Elsevier, vol. 14(1), pages 57-80.
    32. Kirstin Hubrich & Peter Vlaar, 2004. "Monetary transmission in Germany: Lessons for the Euro area," Empirical Economics, Springer, vol. 29(2), pages 383-414, May.
    33. David F. Hendry & Massimiliano Marcellino & Chiara Monfardini, 2008. "Foreword," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 711-714, December.
    34. Ladislav Kristoufek, 2022. "On the role of stablecoins in cryptoasset pricing dynamics," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-26, December.
    35. Jacqueline Pradel & Christophe Rault, 2003. "Exogeneity in Vector Error Correction Models with Purely Exogenous Long‐Run Paths," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(5), pages 629-653, December.
    36. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2002. "Separation, Weak Exogeneity, And P-T Decomposition In Cointegrated Var Systems With Common Features," Econometric Reviews, Taylor & Francis Journals, vol. 21(3), pages 273-307.
    37. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Business School, revised Sep 2013.
    38. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
    39. John Hunter, "undated". "Identifying Long-run Behaviour with Non-stationary Data," Economics and Finance Discussion Papers 98-01, Economics and Finance Section, School of Social Sciences, Brunel University.
    40. Pretis, Felix, 2021. "Exogeneity in climate econometrics," Energy Economics, Elsevier, vol. 96(C).
    41. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
    42. Jorge Lorca, 2021. "Capital Flows and Emerging Markets Fluctuations," Working Papers Central Bank of Chile 898, Central Bank of Chile.
    43. Aliyu Rafindadi Sanusi, 2011. "Foreign Aid Inflows and the Real Exchange Rate: Are There Dutch Disease Effects in Ghana?," The IUP Journal of Financial Economics, IUP Publications, vol. 0(4), pages 28-59, December.
    44. Christis Katsouris, 2023. "Limit Theory under Network Dependence and Nonstationarity," Papers 2308.01418, arXiv.org, revised Aug 2023.
    45. Roger Bjørnstad & Ragnar Nymoen, 1999. "Wage and Profitability: Norwegian Manufacturing 1967-1998," Discussion Papers 259, Statistics Norway, Research Department.
    46. Reza Anglingkusumo, 2005. "Money - Inflation Nexus in Indonesia: Evidence from a P-Star Analysis," Tinbergen Institute Discussion Papers 05-054/4, Tinbergen Institute.
    47. van Pottelsberghe de la Potterie, Bruno & Mejer, Malwina, 2008. "The London Agreement and the Cost of Patenting in Europe," CEPR Discussion Papers 7033, C.E.P.R. Discussion Papers.
    48. Lütkepohl, Helmut, 1999. "Vector autoregressions," SFB 373 Discussion Papers 1999,4, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    49. 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).
    50. Jacint Balaguer & Tatiana Florica & Jordi Ripollés, 2015. "Foreign trade and economic growth in Spain (1900–2012): the role of energy imports," Economia Politica: Journal of Analytical and Institutional Economics, Springer;Fondazione Edison, vol. 32(3), pages 359-375, December.
    51. Daniel Garces-Diaz, 2004. "How Does the Monetary Model of Exchange Rate Determination Look When It Really Works?," Econometric Society 2004 North American Winter Meetings 60, Econometric Society.
    52. Christophe RAULT, 2007. "Une synthèse de l'exogénéité dans les modèles Vectoriels à Correction d'Erreurs," LEO Working Papers / DR LEO 1723, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    53. Anna Pajor, 2011. "A Bayesian Analysis of Exogeneity in Models with Latent Variables," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 3(2), pages 49-73, June.
    54. Bessler, David A. & Yang, Jian, 2003. "The structure of interdependence in international stock markets," Journal of International Money and Finance, Elsevier, vol. 22(2), pages 261-287, April.
    55. Gaolu Zou & Kwong Wing Chau, 2020. "Effects of International Crude Oil Prices on Energy Consumption in China," Energies, MDPI, vol. 13(15), pages 1-17, July.
    56. Dumitru, Ionut, 2002. "Money Demand in Romania," MPRA Paper 10629, University Library of Munich, Germany.
    57. Holtemöller, Oliver, 2002. "Money and banks: Some theory and empirical evidence for Germany," SFB 373 Discussion Papers 2002,17, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    58. Povilas Lastauskas & Julius Stakenas, 2018. "Openness And Structural Labor Market Reforms: Ex Ante Counterfactuals," Contemporary Economic Policy, Western Economic Association International, vol. 36(4), pages 723-757, October.
    59. Arturo Estrella & Jeffrey C. Fuhrer, 1999. "Are \"deep\" parameters stable? the Lucas critique as an empirical hypothesis," Working Papers 99-4, Federal Reserve Bank of Boston.
    60. 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.
    61. Arize, Augustine C. & Malindretos, John, 2012. "Nonstationarity and nonlinearity in inflation rate: Some further evidence," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 224-234.
    62. 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.
    63. Duo Qin, 2003. "Determinants of household savings in China and their role in quasi‐money supply," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 11(3), pages 513-537, September.
    64. Povilas Lastauskas & Julius Stakenas, 2016. "Openness and Structural Labour Market Reforms: Counterfactuals for Lithuania," Bank of Lithuania Discussion Paper Series 1, Bank of Lithuania.
    65. Arturo Estrella & Jeffrey C. Fuhrer, 2003. "Monetary Policy Shifts and the Stability of Monetary Policy Models," The Review of Economics and Statistics, MIT Press, vol. 85(1), pages 94-104, February.
    66. Petra Gerlach-Kristen, 2001. "The Demand for Money in Switzerland 1936-1995," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 137(IV), pages 535-554, December.
    67. Holtemöller, Oliver, 2002. "Money and prices: An I(2) analysis for the euro area," SFB 373 Discussion Papers 2002,12, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    68. K. Moses Tule & O. Taiwo Ajilore, 2016. "On the stability of the money multiplier in Nigeria: Co-integration analyses with regime shifts in banking system liquidity," Cogent Economics & Finance, Taylor & Francis Journals, vol. 4(1), pages 1187780-118, December.
    69. Greenslade, Jennifer V. & Hall, Stephen G. & Henry, S. G. Brian, 2002. "On the identification of cointegrated systems in small samples: a modelling strategy with an application to UK wages and prices," Journal of Economic Dynamics and Control, Elsevier, vol. 26(9-10), pages 1517-1537, August.

  78. Neil R. Ericsson & David F. Hendry & Kevin M. Prestwich, 1997. "The demand for broad money in the United Kingdom, 1878-1993," International Finance Discussion Papers 596, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. 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.).
    2. Lee, Chien-Chiang & Chen, Pei-Fen & Chang, Chun-Ping, 2007. "Testing linearity in a cointegrating STR model for the money demand function: International evidence from G-7 countries," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 76(4), pages 293-302.
    3. 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.
    4. 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.
    5. Barlow, David, 2023. "The stability of UK households Divisia money balances," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 451-459.
    6. Hendry, David F., 2000. "On detectable and non-detectable structural change," Structural Change and Economic Dynamics, Elsevier, vol. 11(1-2), pages 45-65, July.
    7. Strohsal, Till & Proaño Acosta, Christian & Wolters, Jürgen, 2015. "Characterizing the financial cycle: Evidence from a frequency domain analysis," SFB 649 Discussion Papers 2015-021, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Neil R. Ericsson & Steven B. Kamin, 2008. "Constructive data mining: modeling Argentine broad money demand," International Finance Discussion Papers 943, Board of Governors of the Federal Reserve System (U.S.).
    9. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
    10. Jalles, Joao Tovar, 2019. "Crises and emissions: New empirical evidence from a large sample," Energy Policy, Elsevier, vol. 129(C), pages 880-895.
    11. Błażejowski, Marcin & Kufel, Paweł & Kufel, Tadeusz & Kwiatkowski, Jacek & Osińska, Magdalena, 2018. "Model selection for modeling the demand for narrow money in transitional economies," MPRA Paper 90458, University Library of Munich, Germany.
    12. Magdalena Osinska & Marcin Blazejowski & Pawel Kufel & Tadeusz Kufel & Jacek Kwiatkowski, 2020. "Narrow Money Demand in Indonesia and in Other Transitional Economies – Model Selection and Forecasting," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 1291-1311.
    13. Petrevski, Goran & Jovanovski, Kiril, 2010. "Demand for money in Macedonia," SEER Journal for Labour and Social Affairs in Eastern Europe, Nomos Verlagsgesellschaft mbH & Co. KG, vol. 13(1), pages 121-136.
    14. Assenmacher-Wesche, Katrin & Beyer, Andreas, 2019. "A cointegration model of money and wealth," CFS Working Paper Series 619, Center for Financial Studies (CFS).
    15. Fabrizio CORICELLI & Bostjan JAZBEC & Igor MASTEN, 2004. "Exchange Rate Pass-Through in Acceding Countries: The Role of Exchange Rate Regimes," Economics Working Papers ECO2004/16, European University Institute.
    16. Hans Christian Kongsted, 2002. "Testing the Nominal-to-Real Transformation," Discussion Papers 02-06, University of Copenhagen. Department of Economics.
    17. 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).
    18. Mercik, Aleksander & Słoński, Tomasz & Karaś, Marta, 2024. "Understanding crypto-asset exposure: An investigation of its impact on performance and stock sensitivity among listed companies," International Review of Financial Analysis, Elsevier, vol. 92(C).
    19. 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.
    20. 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).
    21. 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.
    22. Eliasson Ann-Charlotte, 2001. "Detecting Equilibrium Correction with Smoothly Time-Varying Strength," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(2), pages 1-19, July.
    23. Timo Teräsvirta, 2017. "Nonlinear models in macroeconometrics," CREATES Research Papers 2017-32, Department of Economics and Business Economics, Aarhus University.

  79. Banerjee, A & Hendry, D-F & Mizon, G-E, 1996. "The Econometric Analysis of Economic Policy," Economics Working Papers eco96/34, European University Institute.

    Cited by:

    1. Henning, Steven A. & Cardona, Hugo, 2000. "An Analysis Of Factors Influencing Adoption Of Bmps Among Louisiana Sugarcane Producers," 2000 Annual meeting, July 30-August 2, Tampa, FL 21838, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    2. Guillaume Chevillon, 2004. ""Weak" trends for inference and forecasting in finite samples," Documents de Travail de l'OFCE 2004-12, Observatoire Francais des Conjonctures Economiques (OFCE).
    3. Karimova, Amira & Simsek, Esra & Orhan, Mehmet, 2020. "Policy implications of the Lucas Critique empirically tested along the global financial crisis," Journal of Policy Modeling, Elsevier, vol. 42(1), pages 153-172.
    4. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.).
    5. S.P. Jayasooriya, 2009. "A Dynamic Equilibrium between Inflation and Minimum Wages in Sri Lanka," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 3(2), pages 113-132, April.
    6. David Hendry & Guillaume Chevillon, 2004. "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Series Working Papers 196, University of Oxford, Department of Economics.
    7. Neil R. Ericsson & David F. Hendry & Kevin M. Prestwich, 1998. "The Demand for Broad Money in the United Kingdom, 1878–1993," Scandinavian Journal of Economics, Wiley Blackwell, vol. 100(1), pages 289-324, March.
    8. Sophocles N. Brissimis & Dimitris A. Sideris & Fragiska K. Voumvaki, 2004. "Testing Long-Run Purchasing Power Parity under Exchange Rate Targeting," Working Papers 15, Bank of Greece.
    9. Peter Berck & Sandra Hoffmann, 2002. "Assessing the Employment Impacts of Environmental and Natural Resource Policy," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 22(1), pages 133-156, June.
    10. Morón, Eduardo & Winkelried, Diego, 2002. "Reglas de política monetaria para economías financieramente vulnerables," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 8, pages 49-76.
    11. Gavin Cameron & Kang Yong Tan & Prasanna Gai & Â, 2006. "Sovereign Risk in the Classical Gold Standard Era," Economics Series Working Papers 258, University of Oxford, Department of Economics.
    12. Keunkwan Ryu & Kuo-yuan Liang, 1992. "Relationship of Forecast Encompassing to Composite Forecasts with Simulations and an Application," UCLA Economics Working Papers 668, UCLA Department of Economics.
    13. Enrique López E. & Martha Misas A., 1998. "Un examen empírico de la curva de Phillips en Colombia," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 17(34), pages 39-87, December.
    14. Amir Kia, 2005. "Overnight Monetary Policy in the United States: Active or Interest-Rate Smoothing?," Carleton Economic Papers 05-07, Carleton University, Department of Economics, revised Mar 2010.
    15. David F. Hendry & Massimiliano Marcellino & Chiara Monfardini, 2008. "Foreword," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 711-714, December.
    16. David Hendry & Grayham E. Mizon, 2001. "Forecasting in the Presence of Structural Breaks and Policy Regime Shifts," Economics Papers 2002-W12, Economics Group, Nuffield College, University of Oxford.
    17. Pedro Francisco Páez, 2005. "Are the Washington Consensus Policies Sustainable? Game Theoretical Assessment for the Case of Ecuador," Working Paper Series, Department of Economics, University of Utah 2005_07, University of Utah, Department of Economics.
    18. Maria M. De Mello & Natércia Fortuna, 2005. "Testing Alternative Dynamic Systems for Modelling Tourism Demand," CEF.UP Working Papers 0501, Universidade do Porto, Faculdade de Economia do Porto.
    19. Neil R. Ericsson, David F. Hendry & Kevin M. Prestiwch, "undated". "The UK Demand for Broad Money over the Long run," Economics Papers W29, Economics Group, Nuffield College, University of Oxford.
    20. Massimiliano Marcellino & Grayham E. Mizon, "undated". "Small system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994," Working Papers 188, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    21. Michael Ehrmann, 2000. "Comparing monetary policy transmission across European countries," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 136(1), pages 58-83, March.
    22. Aida Díaz & Clara Riba, 1999. "Catalan government popularity. An example of economic effects on sub-national government support," Economics Working Papers 406, Department of Economics and Business, Universitat Pompeu Fabra.
    23. Chevillon, Guillaume, 2017. "Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons," ESSEC Working Papers WP1710, ESSEC Research Center, ESSEC Business School.
    24. Massimiliano Marcellino & Grayham E. Mizon, 2000. "Wages, Prices, Productivity, Inflation and Unemployment in Italy 1970-1994," Econometric Society World Congress 2000 Contributed Papers 0911, Econometric Society.

  80. Clements, Michael P. & Hendry, David F., 1996. "Multi-Step Estimation For Forecasting," Economic Research Papers 268696, University of Warwick - Department of Economics.

    Cited by:

    1. Christian Hutter & Enzo Weber, 2015. "Constructing a new leading indicator for unemployment from a survey among German employment agencies," Applied Economics, Taylor & Francis Journals, vol. 47(33), pages 3540-3558, July.
    2. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    3. Alfred A. Haug & Christie Smith, 2007. "Local linear impulse responses for a small open economy," Working Papers 0707, University of Otago, Department of Economics, revised Apr 2007.
    4. Carriero, Andrea & Marcellino, Massimiliano, 2007. "A comparison of methods for the construction of composite coincident and leading indexes for the UK," International Journal of Forecasting, Elsevier, vol. 23(2), pages 219-236.
    5. Proietti, Tommaso, 2011. "Direct and iterated multistep AR methods for difference stationary processes," International Journal of Forecasting, Elsevier, vol. 27(2), pages 266-280, April.
    6. Tommaso Proietti, 2005. "Forecasting and signal extraction with misspecified models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 539-556.
    7. 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.).
    8. Janine Aron & John Muellbauer & Coen Pretorius, 2004. "A Framework for Forecasting the Components of the Consumer Price Index: application to South Africa," CSAE Working Paper Series 2004-07, Centre for the Study of African Economies, University of Oxford.
    9. Tommaso Proietti, 2009. "The Multistep Beveridge-Nelson Decomposition," EERI Research Paper Series EERI_RP_2009_24, Economics and Econometrics Research Institute (EERI), Brussels.
    10. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
    11. Michael Artis & Anindya Banerjee & Massimiliano Marcellino, "undated". "Factor forecasts for the UK," Working Papers 203, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    12. Massimiliano Marcellino, "undated". "Forecasting EMU macroeconomic variables," Working Papers 216, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    13. Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics.
    14. David Hendry & Guillaume Chevillon, 2004. "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Series Working Papers 196, University of Oxford, Department of Economics.
    15. Guillaume Chevillon, 2007. "Direct Multi‐Step Estimation And Forecasting," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 746-785, September.
    16. Janine Aron & John Muellbauer, 2013. "New Methods for Forecasting Inflation, Applied to the US," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 637-661, October.
    17. Janine Aron & John Muellbauer & Rachel Sebudde, 2015. "Inflation forecasting models for Uganda: is mobile money relevant?," CSAE Working Paper Series 2015-17, Centre for the Study of African Economies, University of Oxford.
    18. Muellbauer, John & Aron, Janine, 2010. "Does aggregating forecasts by CPI component improve inflation forecast accuracy in South Africa?," CEPR Discussion Papers 7895, C.E.P.R. Discussion Papers.
    19. Buncic, Daniel & Moretto, Carlo, 2014. "Forecasting Copper Prices with Dynamic Averaging and Selection Models," Economics Working Paper Series 1430, University of St. Gallen, School of Economics and Political Science.
    20. Massimiliano Marcellino, "undated". "Forecast pooling for short time series of macroeconomic variables," Working Papers 212, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    21. Massimiliano Marcellino & James Stock & Mark Watson, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," Working Papers 285, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    22. Eliana González Molano & Luis Fernando Melo Velandia & Anderson Grajales Olarte, 2007. "Pronósticos directos de la inflación colombiana," Borradores de Economia 458, Banco de la Republica de Colombia.
    23. Marcellino, Massimiliano, 2006. "A Simple Benchmark for Forecasts of Growth and Inflation," CEPR Discussion Papers 6012, C.E.P.R. Discussion Papers.
    24. Janine Aron & John Muellbauer, 2008. "New methods for forecasting inflation and its sub-components: application to the USA," Economics Series Working Papers 406, University of Oxford, Department of Economics.
    25. Kauppi, Heikki & Virtanen, Timo, 2021. "Boosting nonlinear predictability of macroeconomic time series," International Journal of Forecasting, Elsevier, vol. 37(1), pages 151-170.
    26. Muellbauer, John & Aron, Janine, 2009. "Some Issues in Modeling and Forecasting Inflation in South Africa," CEPR Discussion Papers 7183, C.E.P.R. Discussion Papers.
    27. Trecroci, Carmine & Vega, Juan Luis, 2000. "The information content of M3 for future inflation," Working Paper Series 33, European Central Bank.
    28. Buncic, Daniel & Gisler, Katja I. M., 2015. "Global Equity Market Volatility Spillovers: A Broader Role for the United States," Economics Working Paper Series 1508, University of St. Gallen, School of Economics and Political Science.
    29. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
    30. Ralf Brueggemann & Helmut Luetkepohl & Massimiliano Marcellino, 2006. "Forecasting Euro-Area Variables with German Pre-EMU Data," Economics Working Papers ECO2006/30, European University Institute.
    31. Janine Aron & John Muellbauer, 2008. "Multi-sector inflation forecasting - quarterly models for South Africa," CSAE Working Paper Series 2008-27, Centre for the Study of African Economies, University of Oxford.
    32. Clements, Michael P. & Hendry, David F., 1997. "An empirical study of seasonal unit roots in forecasting," International Journal of Forecasting, Elsevier, vol. 13(3), pages 341-355, September.
    33. Clements, Michael P. & Hendry, David F., 1998. "Forecasting economic processes," International Journal of Forecasting, Elsevier, vol. 14(1), pages 111-131, March.
    34. Chevillon, Guillaume, 2009. "Multi-step forecasting in emerging economies: An investigation of the South African GDP," International Journal of Forecasting, Elsevier, vol. 25(3), pages 602-628, July.
    35. Janine Aron & John Muellbauer & Coen Pretorius, 2004. "A Framework for Forecasting the Components of the Consumer Price," Development and Comp Systems 0409054, University Library of Munich, Germany.
    36. Hendry, David F., 2006. "Robustifying forecasts from equilibrium-correction systems," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 399-426.
    37. Ralf Brüggemann & Jing Zeng, 2015. "Forecasting Euro-Area Macroeconomic Variables Using a Factor Model Approach for Backdating," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(1), pages 22-39, February.
    38. Clements, Michael P. & Smith, Jeremy, 1996. "The Performance of Alternative Forecasting Methods for SETAR Models," Economic Research Papers 268737, University of Warwick - Department of Economics.
    39. 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.
    40. Hansen, Peter Reinhard & Dumitrescu, Elena-Ivona, 2022. "How should parameter estimation be tailored to the objective?," Journal of Econometrics, Elsevier, vol. 230(2), pages 535-558.
    41. Hendry, David & Hubrich, Kirstin, 2006. "Forecasting Economic Aggregates by Disaggregates," CEPR Discussion Papers 5485, C.E.P.R. Discussion Papers.
    42. Janine Aron & John N. J. Muellbauer & Coen Pretorius, 2009. "A Stochastic Estimation Framework For Components Of The South African Consumer Price Index," South African Journal of Economics, Economic Society of South Africa, vol. 77(2), pages 282-313, June.
    43. Massimiliano Marcellino, "undated". "Instability and non-linearity in the EMU," Working Papers 211, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    44. Massimiliano Marcellino, 2008. "A linear benchmark for forecasting GDP growth and inflation?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 305-340.
    45. Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
    46. 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.
    47. Aron, Janine & Muellbauer, John, 2012. "Improving forecasting in an emerging economy, South Africa: Changing trends, long run restrictions and disaggregation," International Journal of Forecasting, Elsevier, vol. 28(2), pages 456-476.
    48. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City.
    49. Buncic, Daniel & Piras, Gion Donat, 2016. "Heterogeneous agents, the financial crisis and exchange rate predictability," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 313-359.
    50. Guillaume Chevillon, 2006. "Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts," Economics Series Working Papers 257, University of Oxford, Department of Economics.
    51. Michael P. Clements & David F. Hendry, 2005. "Guest Editors’ Introduction: Information in Economic Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 713-753, December.
    52. Heravi, Saeed & Osborn, Denise R. & Birchenhall, C. R., 2004. "Linear versus neural network forecasts for European industrial production series," International Journal of Forecasting, Elsevier, vol. 20(3), pages 435-446.
    53. Chevillon, Guillaume, 2017. "Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons," ESSEC Working Papers WP1710, ESSEC Research Center, ESSEC Business School.
    54. Janine Aron & John Muellbauer, 2000. "Inflation and output forecasts for South Africa: monetary transmission implications," CSAE Working Paper Series 2000-23, Centre for the Study of African Economies, University of Oxford.
    55. Osborn, Denise R. & Heravi, Saeed & Birchenhall, C. R., 1999. "Seasonal unit roots and forecasts of two-digit European industrial production," International Journal of Forecasting, Elsevier, vol. 15(1), pages 27-47, February.
    56. Kirstin Hubrich & David F. Hendry, 2005. "Forecasting Aggregates by Disaggregates," Computing in Economics and Finance 2005 270, Society for Computational Economics.
    57. Hassani, Hossein & Webster, Allan & Silva, Emmanuel Sirimal & Heravi, Saeed, 2015. "Forecasting U.S. Tourist arrivals using optimal Singular Spectrum Analysis," Tourism Management, Elsevier, vol. 46(C), pages 322-335.

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    Cited by:

    1. 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 Estadística.
    2. Neil R. Ericsson & James G. MacKinnon, 2000. "Distributions of Error Correction Tests for Cointegration," Econometric Society World Congress 2000 Contributed Papers 0561, Econometric Society.
    3. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.).
    4. Pradhan, Rudra P. & Arvin, Mak B. & Ghoshray, Atanu, 2015. "The dynamics of economic growth, oil prices, stock market depth, and other macroeconomic variables: Evidence from the G-20 countries," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 84-95.
    5. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    6. Enrique Moral-Benito & Luis Serven, 2013. "Testing weak exogeneity in cointegrated panels," Working Papers 1307, Banco de España.
    7. Idil UZ, 2010. "DETERMINANTS OF CURRENT ACCOUNT: The Relation between Internal and External Balances in Turkey," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 10(2).
    8. Rudra P. Pradhan & Mak B. Arvin & Sara E. Bennett & Mahendhiran Nair & John H. Hall, 2016. "Bond Market Development, Economic Growth and Other Macroeconomic Determinants: Panel VAR Evidence," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(2), pages 175-201, June.
    9. Neil R. Ericsson & Steven B. Kamin, 2008. "Constructive data mining: modeling Argentine broad money demand," International Finance Discussion Papers 943, Board of Governors of the Federal Reserve System (U.S.).
    10. Luintel, Kul B & Xu, Yongdeng, 2013. "Testing weak exogeneity in multiplicative error models," Cardiff Economics Working Papers E2013/6, Cardiff University, Cardiff Business School, Economics Section.
    11. Hendry, David F., 1997. "On congruent econometric relations : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 163-190, December.
    12. Adolfo Sachsida & Mário Jorge Cardoso de Mendonça, 2006. "Domestic Saving and Investment Revised: Can the Feldstein-Horioka Equation be Used for Policy Analysis?," Discussion Papers 1158, Instituto de Pesquisa Econômica Aplicada - IPEA.
    13. Arvin, Mak B. & Pradhan, Rudra P. & Norman, Neville R., 2015. "Transportation intensity, urbanization, economic growth, and CO2 emissions in the G-20 countries," Utilities Policy, Elsevier, vol. 35(C), pages 50-66.
    14. Rudra P. Pradhan & Mak B. Arvin & Neville R. Norman & John H. Hall, 2014. "The dynamics of banking sector and stock market maturity and the performance of Asian economies," Journal of Economic and Administrative Sciences, Emerald Group Publishing Limited, vol. 30(1), pages 16-44, May.
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    2. Gianluca Cubadda, 2007. "A Reduced Rank Regression Approach to Coincident and Leading Indexes Building," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 69(2), pages 271-292, April.
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  83. Angelini, P. & Hendry, D.F. & Rinaldi, R., 1993. "An Econometric Analysis of Money Demand in Italy," Papers 219, Banca Italia - Servizio di Studi.

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    1. J. James Reade & Ulrich Volz, 2009. "Too Much to Lose, or More to Gain? Should Sweden Join the Euro?," Economics Series Working Papers 442, University of Oxford, Department of Economics.
    2. Maghyereh, Aktham, 2003. "Financial Liberalization and Stability Demand for Money in Emerging Economies: Evidence from Jordan," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(2).
    3. Muhd-Zulkhibri & A. Majid, 2005. "Modelling the Stability of Money Demand in Small Open Economy: The Case of Malaysia," The IUP Journal of Applied Economics, IUP Publications, vol. 0(2), pages 7-23, March.
    4. Milas, C. & Otero, J., 1999. "Identification and Estimation of a Labour Market Model for the Tradeables Sector: the Greek Case," The Warwick Economics Research Paper Series (TWERPS) 528, University of Warwick, Department of Economics.
    5. Eric Ghysels & J. Isaac Miller, 2013. "Testing for Cointegration with Temporally Aggregated and Mixed-frequency Time Series," Working Papers 1307, Department of Economics, University of Missouri, revised 07 May 2014.
    6. Neil R. Ericsson & Steven B. Kamin, 1993. "Dollarization in Argentina," International Finance Discussion Papers 460, Board of Governors of the Federal Reserve System (U.S.).
    7. Neil R. Ericsson & Sunil Sharma, 1996. "Broad money demand and financial liberalization in Greece," International Finance Discussion Papers 559, Board of Governors of the Federal Reserve System (U.S.).
    8. Ghysels, E. & Granger, C.W.J. & Siklos, P.L., 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtring Process," Cahiers de recherche 9517, Universite de Montreal, Departement de sciences economiques.
    9. Jesus Otero & Jeremy Smith, 2002. "Seasonal adjustment and cointegration," Borradores de Investigación 3483, Universidad del Rosario.

  86. Clements, M.P. & Hendry, D., 1992. "On the Limitations of Comparing Mean Square Forecast Errors," Economics Series Working Papers 99138, University of Oxford, Department of Economics.

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    1. Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 713, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    2. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    3. Clive G. Bowsher & Roland Meeks, 2008. "The dynamics of economics functions: modelling and forecasting the yield curve," Working Papers 0804, Federal Reserve Bank of Dallas.
    4. Siliverstovs, Boriss & Engsted, Tom & Haldrup, Niels, 2002. "Long-Run Forecasting in Multicointegrated Systems," Finance Working Papers 02-14, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    5. Clements, Michael P & Harvey, David I, 2006. "Forecast Encompassing Tests and Probability Forecasts," The Warwick Economics Research Paper Series (TWERPS) 774, University of Warwick, Department of Economics.
    6. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating density forecasts," Working Papers 97-6, Federal Reserve Bank of Philadelphia.
    7. Òscar Jordà & Massimiliano Marcellino, 2010. "Path forecast evaluation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 635-662.
    8. Norman Swanson & Oleg Korenok, 2006. "The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives," Departmental Working Papers 200615, Rutgers University, Department of Economics.
    9. Michael P. Clements & Philip Hans Franses & Norman R. Swanson, 2003. "Forecasting economic and financial time-series with non-linear models," Departmental Working Papers 200309, Rutgers University, Department of Economics.
    10. Ester Ruiz & Fernando Lorenzo, 1997. "Prediction with univariate time series models: The Iberia case," Documentos de Trabajo (working papers) 0298, Department of Economics - dECON.
    11. Vahid, Farshid & Issler, Joao Victor, 2002. "The importance of common cyclical features in VAR analysis: a Monte-Carlo study," Journal of Econometrics, Elsevier, vol. 109(2), pages 341-363, August.
    12. David Hendry & Michael P. Clements, 2001. "Pooling of Forecasts," Economics Papers 2002-W9, Economics Group, Nuffield College, University of Oxford.
    13. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.
    14. Hyndman, Rob J. & Koehler, Anne B., 2006. "Another look at measures of forecast accuracy," International Journal of Forecasting, Elsevier, vol. 22(4), pages 679-688.
    15. Busetti, Fabio & Marcucci, Juri, 2013. "Comparing forecast accuracy: A Monte Carlo investigation," International Journal of Forecasting, Elsevier, vol. 29(1), pages 13-27.
    16. Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2005. "Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers 15/05, Monash University, Department of Econometrics and Business Statistics.
    17. Neil R. Ericsson, 2000. "Predictable uncertainty in economic forecasting," International Finance Discussion Papers 695, Board of Governors of the Federal Reserve System (U.S.).
    18. Peter F. Christoffersen & Francis X. Diebold, 1997. "Cointegration and Long-Horizon Forecasting," NBER Technical Working Papers 0217, National Bureau of Economic Research, Inc.
    19. G. Boero & E. Marrocu, 2000. "La performance di modelli non lineari per i tassi di cambio: un'applicazione con dati a diversa frequenza," Working Paper CRENoS 200014, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    20. Patrik Gustavsson & Jonas Nordström, 2001. "The Impact of Seasonal Unit Roots and Vector ARMA Modelling on Forecasting Monthly Tourism Flows," Tourism Economics, , vol. 7(2), pages 117-133, June.
    21. Yin-Wong Cheung & Menzie Chinn, 1995. "Integration, cointegration and the forecast consistency of structural exchange rate models," International Finance 9508002, University Library of Munich, Germany.
    22. George Athanasopoulos & Farshid Vahid, 2006. "VARMA versus VAR for Macroeconomic Forecasting," Monash Econometrics and Business Statistics Working Papers 4/06, Monash University, Department of Econometrics and Business Statistics.
    23. Francis X. Diebold & Jose A. Lopez, 1995. "Forecast evaluation and combination," Research Paper 9525, Federal Reserve Bank of New York.
    24. Duo Qin & Sophie van Huellen & Qing Chao Wang & Thanos Moraitis, 2022. "Algorithmic Modelling of Financial Conditions for Macro Predictive Purposes: Pilot Application to USA Data," Econometrics, MDPI, vol. 10(2), pages 1-22, April.
    25. David Hendry, 2000. "Forecast Failure, Expectations Formation, and the Lucas Critique," Economics Papers 2002-W8, Economics Group, Nuffield College, University of Oxford.
    26. George Athanasopoulos & D.S. Poskitt & Farshid Vahid, 2007. "Two canonical VARMA forms: Scalar component models vis-à-vis the Echelon form," Monash Econometrics and Business Statistics Working Papers 10/07, Monash University, Department of Econometrics and Business Statistics, revised May 2009.
    27. Wagatha, Matthias, 2007. "Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen [Integration, Cointegration and Long-Horizont Forecasting of Credit-Default-Cycles]," MPRA Paper 8602, University Library of Munich, Germany.
    28. G. Boero & E. Marrocu, 1999. "Modelli non lineari per i tassi di cambio: un confronto previsivo," Working Paper CRENoS 199914, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    29. Massimiliano Marcellino, "undated". "Further Results on MSFE Encompassing," Working Papers 143, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    30. George Athanasopoulos & Farshid Vahid, 2008. "A complete VARMA modelling methodology based on scalar components," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(3), pages 533-554, May.
    31. Neil R. Ericsson, David F. Hendry & Kevin M. Prestiwch, "undated". "The UK Demand for Broad Money over the Long run," Economics Papers W29, Economics Group, Nuffield College, University of Oxford.
    32. Dennis L. Hoffman & Robert H. Rasche, 1997. "STLS/US-VECM6.1: a vector error-correction forecasting model of the U. S. economy," Working Papers 1997-008, Federal Reserve Bank of St. Louis.
    33. Neri, Marcelo Côrtes & Soares, Wagner Lopes, 2008. "Turismo sustentável e alivio a pobreza: avaliação de impacto," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 689, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    34. 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.
    35. David F. Hendry & Michael P. Clements, 1994. "Can Econometrics Improve Economic Forecasting?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 130(III), pages 267-298, September.
    36. JS Armstrong & Robert Fildes, 2004. "Correspondence On the Selection of Error Measures for Comparisons Among Forecasting Methods," General Economics and Teaching 0412002, University Library of Munich, Germany.
    37. Neil R. Ericsson, 2001. "Forecast uncertainty in economic modeling," International Finance Discussion Papers 697, Board of Governors of the Federal Reserve System (U.S.).
    38. Richard Paap & Philip Hans Franses & Marco Van Der Leij, 2002. "Modelling and forecasting level shifts in absolute returns," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 601-616.
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    40. Bruce Mizrach, 1996. "Forecast Comparison in L2," Departmental Working Papers 199524, Rutgers University, Department of Economics.
    41. Anderson, Richard G. & Hoffman, Dennis L. & Rasche, Robert H., 2002. "Reply to the comments on 'A vector error-correction forecasting model of the U.S. economy'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 613-614, December.

  87. Clements, M.P. & Hendry, D.F., 1992. "Forecasting in Cointegrated Systems," Economics Series Working Papers 99139, University of Oxford, Department of Economics.

    Cited by:

    1. Athanasopoulos, George & Guillen, Osmani Teixeira Carvalho & Issler, João Victor & Vahid, Farshid, 2011. "Model selection, estimation and forecasting in VAR models with short-run and long-run restrictions," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 713, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    2. Siliverstovs, Boriss & Engsted, Tom & Haldrup, Niels, 2002. "Long-Run Forecasting in Multicointegrated Systems," Finance Working Papers 02-14, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    3. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2014. "Forecasting with factor-augmented error correction models," International Journal of Forecasting, Elsevier, vol. 30(3), pages 589-612.
    4. Vahid, Farshid & Issler, Joao Victor, 2002. "The importance of common cyclical features in VAR analysis: a Monte-Carlo study," Journal of Econometrics, Elsevier, vol. 109(2), pages 341-363, August.
    5. Hakan Berument & Nukhet Dogan & Aysit Tansel, 2008. "Macroeconomic Policy and Unemployment by Economic Activity: Evidence from Turkey," Working Papers 429, Economic Research Forum, revised 09 Jan 2008.
    6. David Hendry, 2000. "A General Forecast-error Taxonomy," Econometric Society World Congress 2000 Contributed Papers 0608, Econometric Society.
    7. John Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Staff Working Papers 07-1, Bank of Canada.
    8. Osmani Teixeira de Carvalho Guillén & João Victor Issler & George Athanasopoulos, 2005. "Forecasting Accuracy and Estimation Uncertainty Using VAR Models with Short- and Long-Term Economic Restrictions: A Monte-Carlo Study," Monash Econometrics and Business Statistics Working Papers 15/05, Monash University, Department of Econometrics and Business Statistics.
    9. Peter F. Christoffersen & Francis X. Diebold, 1997. "Cointegration and Long-Horizon Forecasting," NBER Technical Working Papers 0217, National Bureau of Economic Research, Inc.
    10. G. Boero & E. Marrocu, 2000. "La performance di modelli non lineari per i tassi di cambio: un'applicazione con dati a diversa frequenza," Working Paper CRENoS 200014, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    11. Maghyereh, A., 2004. "Oil Price Shocks and Emerging Stock Markets: A Generalized VAR Approach," International Journal of Applied Econometrics and Quantitative Studies, Euro-American Association of Economic Development, vol. 1(2), pages 27-40.
    12. Wagatha, Matthias, 2007. "Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen [Integration, Cointegration and Long-Horizont Forecasting of Credit-Default-Cycles]," MPRA Paper 8602, University Library of Munich, Germany.
    13. Friedrich Fritzer & Gabriel Moser & Johann Scharler, 2002. "Forecasting Austrian HICP and its Components using VAR and ARIMA Models," Working Papers 73, Oesterreichische Nationalbank (Austrian Central Bank).
    14. G. Boero & E. Marrocu, 1999. "Modelli non lineari per i tassi di cambio: un confronto previsivo," Working Paper CRENoS 199914, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia.
    15. Neri, Marcelo Côrtes & Soares, Wagner Lopes, 2008. "Turismo sustentável e alivio a pobreza: avaliação de impacto," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 689, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    16. BRATU SIMIONESCU, Mihaela, 2012. "Two Quantitative Forecasting Methods For Macroeconomic Indicators In Czech Republic," Annals of Spiru Haret University, Economic Series, Universitatea Spiru Haret, vol. 3(1), pages 71-87.
    17. Rebecca A Emerson & David Hendry, 1994. "An evaluation of forecasting using leading indicators," Economics Papers 5., Economics Group, Nuffield College, University of Oxford.
    18. David F. Hendry & Michael P. Clements, 1994. "Can Econometrics Improve Economic Forecasting?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 130(III), pages 267-298, September.
    19. Fichtner, Ferdinand & Rüffer, Rasmus & Schnatz, Bernd, 2009. "Leading indicators in a globalised world," Working Paper Series 1125, European Central Bank.
    20. Darius Hinz & Camille Logeay, 2006. "Forecasting Employment for Germany," IMK Working Paper 01-2006, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute, revised Jan 2006.

  88. Luigi Ermini & David F. Hendry, 1991. "Log Income vs. Linear Income: An Application of the Encompassing Principle," Working Papers 199111, University of Hawaii at Manoa, Department of Economics.

    Cited by:

    1. Tutz, Gerhard & Berger, Moritz, 2020. "The effect of explanatory variables on income: A tool that allows a closer look at the differences in income," Econometrics and Statistics, Elsevier, vol. 16(C), pages 28-41.
    2. Katarina Juselius & Niels Framroze Møller & Finn Tarp, 2011. "The Long-Run Impact of Foreign Aid in 36 African Countries: Insights from Multivariate Time Series Analysis," WIDER Working Paper Series wp-2011-051, World Institute for Development Economic Research (UNU-WIDER).
    3. Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5.
    4. Ricardo Ramírez-Aldana & Lizbeth Naranjo, 2021. "Random intercept and linear mixed models including heteroscedasticity in a logarithmic scale: Correction terms and prediction in the original scale," PLOS ONE, Public Library of Science, vol. 16(4), pages 1-21, April.
    5. 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.
    6. Luigi Ermini, 1993. "Shock Persistence and Stochastic Trends in Australian Aggregate Output and Consumption," The Economic Record, The Economic Society of Australia, vol. 69(1), pages 34-43, March.
    7. Cheng-Feng Cheng, 2012. "Evaluate the Effectiveness of Manager Compensation," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 11(1), pages 25-44, June.
    8. Jonas Harnau, 2018. "Log-Normal or Over-Dispersed Poisson?," Risks, MDPI, vol. 6(3), pages 1-37, July.
    9. Masayoshi Hayashi, 2013. "On the Decomposition of Regional Stabilization and Redistribution," CIRJE F-Series CIRJE-F-910, CIRJE, Faculty of Economics, University of Tokyo.
    10. 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.
    11. Damen, Sven & Vastmans, Frank & Buyst, Erik, 2016. "The effect of mortgage interest deduction and mortgage characteristics on house prices," Journal of Housing Economics, Elsevier, vol. 34(C), pages 15-29.

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    1. Bernd Hayo, 2000. "The demand for money in Austria," Empirical Economics, Springer, vol. 25(4), pages 581-603.
    2. K Alec Chrystal & Paul Mizen, 2001. "Consumption, money and lending: a joint model for the UK household sector," Bank of England working papers 134, Bank of England.
    3. M. T. Alguacil & Vicente Orts, 2002. "Inward Foreign Direct Investment And Imports In Spain," Working Papers 02-01, Asociación Española de Economía y Finanzas Internacionales.
    4. Barkbu,B.B. & Nymoen,R. & Roed,K., 2001. "Wage coordination and unemployment dynamics in Norway and Sweden," Memorandum 11/2001, Oslo University, Department of Economics.
    5. Syed Muhammad Tariq & Kent Matthews, 1997. "The Demand for Simple-sum and Divisia Monetary Aggregates for Pakistan: A Cointegration Approach," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 36(3), pages 275-291.
    6. Neil R. Ericsson & James G. MacKinnon, 2000. "Distributions of Error Correction Tests for Cointegration," Econometric Society World Congress 2000 Contributed Papers 0561, Econometric Society.
    7. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.).
    8. Bordo, Michael D. & MacDonald, Ronald, 2003. "The inter-war gold exchange standard: credibility and monetary independence," Journal of International Money and Finance, Elsevier, vol. 22(1), pages 1-32, February.
    9. Ronald Macdonald, 1999. "Asset Market and Balance of Payments Characteristics: An Eclectic Exchange Rate Model for the Dollar, Mark and Yen," Open Economies Review, Springer, vol. 10(1), pages 5-29, February.
    10. David Hendry & Maozu Lu & Grayham E. Mizon, 2001. "Model Identification and Non-unique Structure," Economics Papers 2002-W10, Economics Group, Nuffield College, University of Oxford.
    11. Christophe Rault, 2005. "Further Results on Weak-Exogeneity in Vector Error Correction Models," Documents de recherche 05-12, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    12. Sophocles N. Brissimis & Dimitris A. Sideris & Fragiska K. Voumvaki, 2004. "Testing Long-Run Purchasing Power Parity under Exchange Rate Targeting," Working Papers 15, Bank of Greece.
    13. Boriss Siliverstovs & Dierk Herzer, 2007. "Manufacturing exports, mining exports and growth: cointegration and causality analysis for Chile (1960-2001)," Applied Economics, Taylor & Francis Journals, vol. 39(2), pages 153-167.
    14. Choo, Han Gwang & Kurita, Takamitsu, 2011. "An empirical investigation of monetary interaction in the Korean economy," International Review of Economics & Finance, Elsevier, vol. 20(2), pages 267-280, April.
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    19. Hernán Rincón, 1999. "Testing the Short-Long-Run Exchange Rate Effects on Trade Balance: The Case of Colombia," Borradores de Economia 120, Banco de la Republica de Colombia.
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    23. Ryland Thomas, 1997. "The Demand for M4: A Sectoral Analysis Part 2 The Corporate Sector," Bank of England working papers 62, Bank of England.
    24. Faust, Jon & Whiteman, Charles H., 1997. "General-to-specific procedures for fitting a data-admissible, theory-inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model to the DGP: A translation and criti," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 121-161, December.
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    28. Jacobson, Tor & Jansson, Per & Vredin, Anders & Warne, Anders, 1999. "A VAR Model for Monetary Policy Analysis in a Small Open Economy," Working Paper Series 77, Sveriges Riksbank (Central Bank of Sweden).
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    37. Massimiliano Marcellino & Grayham E. Mizon, "undated". "Small system modelling of real wages, inflation, unemployment and output per capita in Italy 1970-1994," Working Papers 188, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
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    41. John S. Irons & N. Ericsson, "undated". "An early version of The Lucas Critique in Practice: Theory without Measurement," Home Pages _004, Massachussets Institute of Technology, Economics.
    42. Costas Milas & Phil Rothman, 2005. "Multivariate STAR Unemployment Rate Forecasts," Econometrics 0502010, University Library of Munich, Germany.
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    44. Gunnar Bårdsen & Eilev S. Jansen & Ragnar Nymoen, 2000. "Model Specification and Inflation Forecast Uncertainty," Working Paper Series 1302, Department of Economics, Norwegian University of Science and Technology, revised 29 Jan 2002.
    45. Michael D. Bordo & Ronald MacDonald, 1997. "Violations of the `Rules of the Game' and the Credibility of the Classical Gold Standard, 1880-1914," NBER Working Papers 6115, National Bureau of Economic Research, Inc.
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    48. Boriss Siliverstovs, 2007. "Money Demand in Estonia," Discussion Papers of DIW Berlin 675, DIW Berlin, German Institute for Economic Research.
    49. K Alec Chrystal & Paul Mizen, 2001. "Other financial corporations: Cinderella or ugly sister of empirical monetary economics?," Bank of England working papers 151, Bank of England.
    50. Norbert Janssen, 1998. "The demand for M0 in the United Kingdom reconsidered: some specification issues," Bank of England working papers 83, Bank of England.
    51. Hali J. Edison & Ronald MacDonald, 2000. "Monetary policy independence in the ERM: was there any?," International Finance Discussion Papers 665, Board of Governors of the Federal Reserve System (U.S.).
    52. Verner, Dorte & Fiess, Norbert M., 2003. "Oil, agriculture, and the public sector: linking intersector dynamics in Ecuador," Policy Research Working Paper Series 3094, The World Bank.

  90. Favero, C. & Hendry, D., 1990. "Testing The Lucas Critique: A Review," Economics Series Working Papers 99101, University of Oxford, Department of Economics.

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    1. Eric Jondeau & Hervé Le Bihan, 2001. "Testing for a Forward-Looking Phillips Curve. Additional Evidence from European and US data," Macroeconomics 0111005, University Library of Munich, Germany.
    2. Charles Goodhart & Lavan Mahadeva & John Spicer, 2003. "Monetary policy's effects during the financial crises in Brazil and Korea," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 8(1), pages 55-79.
    3. Kuikeu, Oscar, 2011. "Arguments contre la zone franc [Against the cfa franc zone]," MPRA Paper 33710, University Library of Munich, Germany.
    4. Gunnar Bårdsen & Eilev S. Jansen & Ragnar Nymoen, 2002. "The Empirical (ir)Relevance of the New Keynesian Phillips Curve," Working Paper Series 2102, Department of Economics, Norwegian University of Science and Technology.
    5. Thomas A. Lubik & Paolo Surico, 2010. "The Lucas critique and the stability of empirical models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 177-194.
    6. Efrem Castelnuovo, 2005. "Regime Shifts and the Stability of Backward Looking Phillips Curves in Open Economies," Macroeconomics 0506017, University Library of Munich, Germany.
    7. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.).
    8. Alejandro López & Martha Misas & Hugo Oliveros, 1996. "Understanding Consumption in Colombia," Borradores de Economia 3734, Banco de la Republica.
    9. Sekine, Toshitaka, 1998. "Financial Liberalization, the Wealth Effect, and the Demand for Broad Money in Japan," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 16(1), pages 35-55, May.
    10. Amir Kia, 2006. "Economic policies and demand for money: evidence from Canada," Applied Economics, Taylor & Francis Journals, vol. 38(12), pages 1389-1407.
    11. Zivot, Eric, 2000. "The Power Of Single Equation Tests For Cointegration When The Cointegrating Vector Is Prespecified," Econometric Theory, Cambridge University Press, vol. 16(3), pages 407-439, June.
    12. Faust, Jon & Whiteman, Charles H., 1997. "General-to-specific procedures for fitting a data-admissible, theory-inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model to the DGP: A translation and criti," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 121-161, December.
    13. Pål Boug, 1999. "The Demand for Labour and the Lucas Critique. Evidence from Norwegian Manufacturing," Discussion Papers 256, Statistics Norway, Research Department.
    14. P. Ruben Mercado, 2001. "Macroeconomic Volatility during Argentina's Import Substitution Stage," International Review of Applied Economics, Taylor & Francis Journals, vol. 15(2), pages 151-161.
    15. Neil R. Ericsson, 1991. "Cointegration, exogeneity, and policy analysis: an overview," International Finance Discussion Papers 415, Board of Governors of the Federal Reserve System (U.S.).
    16. Hoddinott, John & Adam, Christopher, 1998. "Testing Nash-bargaining household models with time-series data," FCND discussion papers 52, International Food Policy Research Institute (IFPRI).
    17. Hendry, David F. & Ericsson, Neil R., 1991. "Modeling the demand for narrow money in the United Kingdom and the United States," European Economic Review, Elsevier, vol. 35(4), pages 833-881, May.
    18. Pål Boug & Ådne Cappelen & Torbjørn Eika, 2005. "Exchange Rate Pass-through in a Small Open Economy," Discussion Papers 429, Statistics Norway, Research Department.
    19. Vázquez Jesús, 2004. "Switching Regimes in the Term Structure of Interest Rates during U.S. Post-War: A Case for the Lucas Proof Equilibrium?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(1), pages 1-41, March.
    20. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
    21. Jesper Linde, 2002. "Monetary Policy Analysis in Backward-Looking Models," Annals of Economics and Statistics, GENES, issue 67-68, pages 155-182.
    22. Kuikeu, Oscar, 2011. "Comment la dernière crise financière a relancé le débat relatif à l'arrimage du fcfa à l'euro [How the recent financial crisis have revived the debate on the parity between fcfa and euro]," MPRA Paper 32077, University Library of Munich, Germany.
    23. Favero, Carlo A. & Monacelli, Tommas, 2003. "Monetary-Fiscal Mix and Inflation Performance: Evidence from the US," CEPR Discussion Papers 3887, C.E.P.R. Discussion Papers.
    24. Fatih Ozatay, 1992. "The Role of Public Sector Prices in Price Dynamics in Turkey and the Lucas Critique," Discussion Papers 9208, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    25. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
    26. Levent, Korap, 2008. "Long-run relations between money, prices and output: the case of Turkey," MPRA Paper 20265, University Library of Munich, Germany.
    27. Teun Kloek, 1992. "La construction et l'estimation de petits modèles macro-économiques," Économie et Prévision, Programme National Persée, vol. 106(5), pages 51-59.
    28. Neil R. Ericsson & John S. Irons, 1995. "The Lucas critique in practice: theory without measurement," International Finance Discussion Papers 506, Board of Governors of the Federal Reserve System (U.S.).
    29. Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993. "Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom," International Finance Discussion Papers 457, Board of Governors of the Federal Reserve System (U.S.).
    30. Stefano Siviero & Daniele Terlizzese & Ignazio Visco, 1999. "Are model-based inflation forecasts used in monetary policymaking? A case study," Temi di discussione (Economic working papers) 357, Bank of Italy, Economic Research and International Relations Area.
    31. John S. Irons & N. Ericsson, "undated". "An early version of The Lucas Critique in Practice: Theory without Measurement," Home Pages _004, Massachussets Institute of Technology, Economics.
    32. Libero Monteforte & Stefano Siviero, 2002. "The economic consequences of euro area modelling shortcuts," Temi di discussione (Economic working papers) 458, Bank of Italy, Economic Research and International Relations Area.
    33. Bårdsen, Gunnar & Jansen, Eilev S. & Nymoen, Ragnar, 2003. "Testing the New Keynesian Phillips curve," Memorandum 18/2002, Oslo University, Department of Economics.
    34. Pål Boug & Ådne Cappelen & Anders R. Swensen, 2000. "Expectations in Export Price Formation Tests using Cointegrated VAR Models," Discussion Papers 283, Statistics Norway, Research Department.
    35. Amir Kia & Ali F. Darrat, 2003. "Modeling Money Demand under the Profit-Sharing Banking Scheme: Evidence on Policy Invariance and Long-Run Stability," Carleton Economic Papers 03-13, Carleton University, Department of Economics, revised Apr 2007.
    36. Pål Boug & Ådne Cappelen & Torbjørn Eika, 2013. "The importance of the distribution sector for exchange rate pass-through in a small open economy. A large scale macroeconometric modelling approach," Discussion Papers 731, Statistics Norway, Research Department.

  91. Neil R. Ericsson & David F. Hendry, 1990. "Modeling the demand for narrow money in the United Kingdom and the United States," International Finance Discussion Papers 383, Board of Governors of the Federal Reserve System (U.S.).

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    1. Bierens, H.J. & Broersma, L., 1991. "The relation between unemployment and interest rate : some international evidence," Serie Research Memoranda 0112, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    2. Hans-Martin Krolzig, 2000. "Computer Automation of General-to-Specific Model Selection Procedures," Econometric Society World Congress 2000 Contributed Papers 0411, Econometric Society.
    3. Frank Browne & Gabriel Fagan & Jerome Henry, 2005. "Money Demand in EU Countries: A Survey," Macroeconomics 0503004, University Library of Munich, Germany.
    4. López-Salido, J David & Baker, Sarah S. & Nelson, Edward, 2018. "The Money View Versus the Credit View," CEPR Discussion Papers 12982, C.E.P.R. Discussion Papers.
    5. C. Bjørnland, Hilde, 2003. "A stable demand for money despite financial crisis: The case of Venezuela," Memorandum 12/2003, Oslo University, Department of Economics.
    6. Sharon Kozicki & Peter A. Tinsley, 1998. "Vector rational error correction," Research Working Paper 98-03, Federal Reserve Bank of Kansas City.
    7. H. Peter Boswijk & Jurgen A. Doornik, 2004. "Identifying, estimating and testing restricted cointegrated systems: An overview," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 58(4), pages 440-465, November.
    8. Neil R. Ericsson & James G. MacKinnon, 2000. "Distributions of Error Correction Tests for Cointegration," Econometric Society World Congress 2000 Contributed Papers 0561, Econometric Society.
    9. Tuck Cheong Tang, 2002. "Demand for M3 and expenditure components in Malaysia: assessment from bounds testing approach," Applied Economics Letters, Taylor & Francis Journals, vol. 9(11), pages 721-725.
    10. Ambreen FATEMAH & Abdul QAYYUM, 2018. "Modeling the impact of exports on the economic growth of Pakistan," Turkish Economic Review, KSP Journals, vol. 5(1), pages 56-64, March.
    11. Vicente Esteve, 2004. "Política fiscal y productividad del trabajo en la economía española: un análisis de series temporales," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 19(1), pages 3-29, June.
    12. 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.).
    13. Anindya Banerjee & Massimiliano Marcellino, 2003. "Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?," Working Papers 236, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    14. Lecarpentier-Moyal, Sylvie & Renou-Maissant, Patricia, 2007. "Analyse dynamique de la convergence des comportements de demande de monnaie en Europe," L'Actualité Economique, Société Canadienne de Science Economique, vol. 83(3), pages 321-357, septembre.
    15. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.).
    16. Maghyereh, Aktham, 2003. "Financial Liberalization and Stability Demand for Money in Emerging Economies: Evidence from Jordan," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(2).
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    19. Andreas Beyer & Vitor Gaspar & Christina Gerberding & Otmar Issing, 2013. "Opting Out of the Great Inflation: German Monetary Policy after the Breakdown of Bretton Woods," NBER Chapters, in: The Great Inflation: The Rebirth of Modern Central Banking, pages 301-346, National Bureau of Economic Research, Inc.
    20. 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.
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    33. John B. Carlson & Sharon E. Parrott, 1991. "The demand for M2, opportunity cost, and financial change," Economic Review, Federal Reserve Bank of Cleveland, vol. 27(Q II), pages 2-11.
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    43. Hendry, David F., 2000. "On detectable and non-detectable structural change," Structural Change and Economic Dynamics, Elsevier, vol. 11(1-2), pages 45-65, July.
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    46. Jing Li & Junsoo Lee, 2010. "ADL tests for threshold cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 31(4), pages 241-254, July.
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    69. Pål Boug, 1999. "The Demand for Labour and the Lucas Critique. Evidence from Norwegian Manufacturing," Discussion Papers 256, Statistics Norway, Research Department.
    70. David F. Hendry, 2004. "Unpredictability and the Foundations of Economic Forecasting," Econometric Society 2004 Australasian Meetings 27, Econometric Society.
    71. Noriega Antonio E. & Ramos Francia Manuel & Rodríguez-Pérez Cid Alonso, 2015. "Money Demand Estimations in Mexico and of its Stability 1986-2010, as well as Some Examples of its Uses," Working Papers 2015-13, Banco de México.
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    74. James Boughton, 1992. "International comparisons of money demand," Open Economies Review, Springer, vol. 3(3), pages 323-343, October.
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    115. Michael D. Bordo & Lars Jonung & Pierre Siklos, 1993. "The Common Development of Institutional Change as Measured by Income Velocity: A Century of Evidence from Industrialized Countries," NBER Working Papers 4379, National Bureau of Economic Research, Inc.
    116. Kevin S. Nell, 1999. "The Stability of Money Demand in South Africa, 1965-1997," Studies in Economics 9905, School of Economics, University of Kent.
    117. Ahmad Bash & Abdullah M. Al-Awadhi & Fouad Jamaani, 2016. "Measuring the Hedge Ratio: A GCC Perspective," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(7), pages 1-1, July.
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    120. 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.
    121. Baghli Mustapha, 2005. "Nonlinear Error-Correction Models for the FF/DM Rate," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(1), pages 1-43, March.
    122. João Ricardo Faria & Miguel León-Ledesma, 2000. "The Intertemporal Substitution Model of Labor Supply in an Open Economy," Studies in Economics 0009, School of Economics, University of Kent.
    123. Godwin Nwaobi, 2001. "A Vector Error Correction And Nonnested Modelling Of Money Demand Function In Nigeria," Econometrics 0111004, University Library of Munich, Germany.
    124. A.C. Arize, 1997. "Foreign trade and exchange‐rate risk in the G‐7 countries: Cointegration and error‐correction models," Review of Financial Economics, John Wiley & Sons, vol. 6(1), pages 95-112.
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    126. Gopal K. Basak & Pranab Kumar Das & Sugata Marjit & Debashis Mukherjee & Lei Yang, 2019. "British Stock Market, BREXIT and Media Sentiments - A Big Data Analysis," CESifo Working Paper Series 7760, CESifo.
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  94. Neil R. Ericsson & David F. Hendry, 1989. "Encompassing and rational expectations: how sequential corroboration can imply refutation," International Finance Discussion Papers 354, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Hugo Benítez-Silva & Debra Dwyer & Wayne-Roy Gayle & Thomas Muench, 2008. "Expectations in micro data: rationality revisited," Empirical Economics, Springer, vol. 34(2), pages 381-416, March.
    2. 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.
    3. Gunnar Bårdsen & Eilev S. Jansen & Ragnar Nymoen, 2002. "The Empirical (ir)Relevance of the New Keynesian Phillips Curve," Working Paper Series 2102, Department of Economics, Norwegian University of Science and Technology.
    4. Kevin Hoover, 2005. "Economic Theory and Causal Inference," Working Papers 257, University of California, Davis, Department of Economics.
    5. Psaradakis, Zacharias & Sola, Martin, 1996. "On the power of tests for superexogeneity and structural invariance," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 151-175.
    6. 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.
    7. Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502.
    8. Luca Fanelli, 2006. "Testing the New Keynesian Phillips Curve through Vector Autoregressive models : Results from the Euro area," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna.
    9. Cheong, ChongCheul, 2003. "Regime changes and econometric modeling of the demand for money in Korea," Economic Modelling, Elsevier, vol. 20(3), pages 437-453, May.
    10. Neil R. Ericsson, 1991. "Cointegration, exogeneity, and policy analysis: an overview," International Finance Discussion Papers 415, Board of Governors of the Federal Reserve System (U.S.).
    11. Julia Campos & Neil R. Ericsson, 1999. "Contructive data mining: modeling consumers' expenditure in Venezuela," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 226-240.
    12. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
    13. Neil R. Ericsson & Jaime R. Marquez, 1990. "Evaluating the predictive performance of trade-account models," International Finance Discussion Papers 377, Board of Governors of the Federal Reserve System (U.S.).
    14. Neil R. Ericsson & John S. Irons, 1995. "The Lucas critique in practice: theory without measurement," International Finance Discussion Papers 506, Board of Governors of the Federal Reserve System (U.S.).
    15. John S. Irons & N. Ericsson, "undated". "An early version of The Lucas Critique in Practice: Theory without Measurement," Home Pages _004, Massachussets Institute of Technology, Economics.
    16. Bårdsen, Gunnar & Jansen, Eilev S. & Nymoen, Ragnar, 2003. "Testing the New Keynesian Phillips curve," Memorandum 18/2002, Oslo University, Department of Economics.

  95. Julia Campos & Neil R. Ericsson & David F. Hendry, 1987. "An analogue model of phase-averaging procedures," International Finance Discussion Papers 303, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Neil R. Ericsson & John S. Irons & Ralph W. Tryon, 2000. "Output and inflation in the long run," International Finance Discussion Papers 687, Board of Governors of the Federal Reserve System (U.S.).
    2. Mamingi Nlandu, 2017. "Beauty and Ugliness of Aggregation over Time: A Survey," Review of Economics, De Gruyter, vol. 68(3), pages 205-227, December.
    3. Granger, C. W. J. & Siklos, Pierre L., 1995. "Systematic sampling, temporal aggregation, seasonal adjustment, and cointegration theory and evidence," Journal of Econometrics, Elsevier, vol. 66(1-2), pages 357-369.
    4. Yamin Ahmad & Ivan Paya, 2014. "Temporal Aggregation of Random Walk Processes and Implications for Asset Prices," Working Papers 14-01, UW-Whitewater, Department of Economics.
    5. Ahmad Yamin S & Paya Ivan, 2020. "Temporal aggregation of random walk processes and implications for economic analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-20, April.
    6. Neil R. Ericsson, David F. Hendry & Kevin M. Prestiwch, "undated". "The UK Demand for Broad Money over the Long run," Economics Papers W29, Economics Group, Nuffield College, University of Oxford.
    7. Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-136, January.
    8. Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993. "Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom," International Finance Discussion Papers 457, Board of Governors of the Federal Reserve System (U.S.).
    9. Edward Nelson, 2012. "The correlation between money and output in the United Kingdom: resolution of a puzzle," Finance and Economics Discussion Series 2012-29, Board of Governors of the Federal Reserve System (U.S.).
    10. Michael D. Bordo & Lars Jonung & Pierre Siklos, 1993. "The Common Development of Institutional Change as Measured by Income Velocity: A Century of Evidence from Industrialized Countries," NBER Working Papers 4379, National Bureau of Economic Research, Inc.
    11. Hendry, David F & Ericsson, Neil R, 1991. "An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz," American Economic Review, American Economic Association, vol. 81(1), pages 8-38, March.
    12. 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.

  96. Hendry, D.F. & Richard, J.-F., 1987. "Recent developments in the theory of encompassing," LIDAM Discussion Papers CORE 1987022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. Kevin Hoover & Stephen J. Perez, 2003. "Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search," Working Papers 200, University of California, Davis, Department of Economics.
    2. Marc Lavoie & Gabriel Rodriguez & Mario Seccareccia, 2004. "Similitudes and Discrepancies in Post-Keynesian and Marxist Theories of Investment: A Theoretical and Empirical Investigation," International Review of Applied Economics, Taylor & Francis Journals, vol. 18(2), pages 127-149.
    3. Kevin D. Hoover & Stephen J. Perez, 2004. "Truth and Robustness in Cross‐country Growth Regressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(5), pages 765-798, December.
    4. Kevin Hoover & Stephen Perez, 2001. "Three attitudes towards data mining," Journal of Economic Methodology, Taylor & Francis Journals, vol. 7(2), pages 195-210.
    5. Neil R. Ericsson, 2008. "The fragility of sensitivity analysis: an encompassing perspective," International Finance Discussion Papers 959, Board of Governors of the Federal Reserve System (U.S.).
    6. Loann David Denis Desboulets, 2018. "A Review on Variable Selection in Regression Analysis," Econometrics, MDPI, vol. 6(4), pages 1-27, November.
    7. Daniel Berkowitz & Katharina Pistor & Jean-Francois Richard, 2000. "Economic Development, Legality, and the Transplant Effect," CID Working Papers 39, Center for International Development at Harvard University.
    8. Matteo Manera, 2005. "Modeling Factor Demands with SEM and VAR: An Empirical Comparison," Working Papers 2005.47, Fondazione Eni Enrico Mattei.
    9. Neil R. Ericsson & David F. Hendry, 1989. "Encompassing and rational expectations: how sequential corroboration can imply refutation," International Finance Discussion Papers 354, Board of Governors of the Federal Reserve System (U.S.).
    10. Pierre-André Chiappori, 1990. "La théorie du consommateur est-elle réfutable ?," Revue Économique, Programme National Persée, vol. 41(6), pages 1001-1026.
    11. Hendry, David F & Ericsson, Neil R, 1991. "An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz," American Economic Review, American Economic Association, vol. 81(1), pages 8-38, March.

  97. Hendry, David F & Mizon, Grayham Ernest, 1985. "Procrustean Econometrics: Stretching and Squeezing Data," CEPR Discussion Papers 68, C.E.P.R. Discussion Papers.

    Cited by:

    1. Kevin Hoover & Stephen J. Perez, 2003. "Data Mining Reconsidered: Encompassing And The General-To-Specific Approach To Specification Search," Working Papers 200, University of California, Davis, Department of Economics.
    2. Adam Fforde, 2005. "Persuasion: Reflections on economics, data, and the 'homogeneity assumption'," Journal of Economic Methodology, Taylor & Francis Journals, vol. 12(1), pages 63-91.
    3. Yock Y. Chong & David F. Hendry, 1986. "Econometric Evaluation of Linear Macro-Economic Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 671-690.
    4. Hendry, David F & Ericsson, Neil R, 1991. "An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz," American Economic Review, American Economic Association, vol. 81(1), pages 8-38, March.

  98. Neil R. Ericsson & David F. Hendry, 1985. "Conditional econometric modelling : an application to new house prices in the United Kingdom," International Finance Discussion Papers 254, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Bar-Nathan, Moshe & Beenstock, Michael & Haitovsky, Yoel, 1998. "The market for housing in Israel," Regional Science and Urban Economics, Elsevier, vol. 28(1), pages 21-49, January.
    2. Neil R. Ericsson, 1991. "Parameter constancy, mean square forecast errors, and measuring forecast performance: an exposition, extensions, and illustration," International Finance Discussion Papers 412, Board of Governors of the Federal Reserve System (U.S.).
    3. Ericsson, Neil R., 1995. "Conditional and structural error correction models," Journal of Econometrics, Elsevier, vol. 69(1), pages 159-171, September.
    4. Hendry, David F & Ericsson, Neil R, 1991. "An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz," American Economic Review, American Economic Association, vol. 81(1), pages 8-38, March.
    5. Olympia Bover, 1993. "Un modelo empírico de la evolución de los precios de la vivienda en España," Investigaciones Economicas, Fundación SEPI, vol. 17(1), pages 65-86, January.
    6. Moshe Bar ­Nathan & Michael Beenstock & Yoel Haitovsky, 1995. "An Econometric Model Of The Israeli Housing Market," Bank of Israel Working Papers 1995.02, Bank of Israel.

  99. Neil R. Ericsson & David F. Hendry, 1985. "Assertion without empirical basis : an econometric appraisal of monetary trends in ... the United Kingdom, by Milton Friedman and Anna J. Schwartz," International Finance Discussion Papers 270, Board of Governors of the Federal Reserve System (U.S.).

    Cited by:

    1. Christina D. Romer & David H. Romer, 1989. "Does Monetary Policy Matter? A New Test in the Spirit of Friedman and Schwartz," NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 121-184, National Bureau of Economic Research, Inc.
    2. Julia Campos & Neil R. Ericsson & David F. Hendry, 1987. "An analogue model of phase-averaging procedures," International Finance Discussion Papers 303, Board of Governors of the Federal Reserve System (U.S.).
    3. Hendry, David F & Ericsson, Neil R, 1991. "An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz," American Economic Review, American Economic Association, vol. 81(1), pages 8-38, March.

  100. HENDRY, David F. & RICHARD, Jean-François, 1983. "The econometric analysis of economic time series," LIDAM Reprints CORE 531, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

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    1. Robert Kalaba & Leigh Tesfatsion, 1995. "A Multicriteria Approach to Model Specification and Estimation," Econometrics 9501001, University Library of Munich, Germany.
    2. 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.).
    3. David F. Hendry, 2013. "Econometric Modelling: The ‘Consumption Function’ In Retrospect," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(5), pages 495-522, November.
    4. Ghulam Ghouse & Saud Ahmad Khan & Atiq Ur Rehman & Muhammad Ishaq Bhatti, 2021. "ARDL as an Elixir Approach to Cure for Spurious Regression in Nonstationary Time Series," Mathematics, MDPI, vol. 9(22), pages 1-15, November.
    5. Satya Paul & Ahmad Assadzadeh, 2001. "Empirical earnings functions for Iran," Applied Economics, Taylor & Francis Journals, vol. 33(1), pages 11-21.
    6. Eduardo Loría, 2001. "La restricción externa dinámica al crecimiento de México a través de las propensiones del comercio, 1970-1999," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 16(2), pages 227-251.
    7. Udo, Eli A. & Obiora, Isitua K., 2006. "Determinants of Foreign Direct Investment and Economic Growth in the West African Monetary Zone: A System Equations Approach," Conference papers 331519, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    8. Annari de Waal & Reneé van Eyden, 2012. "Monetary policy and inflation in South Africa: A VECM augmented with foreign variables," Working Papers 316, Economic Research Southern Africa.
    9. Jorge Quiróz & Raimundo Soto, "undated". "International Price Signals in Agricultural Markets: DoGovernments Care?," ILADES-UAH Working Papers inv088, Universidad Alberto Hurtado/School of Economics and Business.
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    12. Michael Michaelides & Niraj Poudyal, 2024. "Good risk measures, bad statistical assumptions, ugly risk forecasts," The Financial Review, Eastern Finance Association, vol. 59(2), pages 519-543, May.
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    32. Kouretas, Georgios P. & Zarangas, Leonidas P., 2000. "Wage Setting, Taxes, and Demand for Labor in Greece: A Multivariate Analysis of Cointegrating Relationships," Journal of Policy Modeling, Elsevier, vol. 22(2), pages 171-195, March.
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    38. Kuuluvainen, Jari & Korhonen, Jaana & Wang, Lanhui & Toppinen, Anne, 2021. "Wood market cartel in Finland 1997–2004: Analyzing price effects using the indicator approach," Forest Policy and Economics, Elsevier, vol. 124(C).
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    61. TOGBENU, Fo-kossi Edem & Kadanga, Mayo Takémsi Norris, 2024. "Un réexamen de l’effet de seuil de la dette publique sur la croissance économique en Afrique subsaharienne [A reevaluation of the threshold effect of public debt on economic growth in Sub-Saharan A," MPRA Paper 120429, University Library of Munich, Germany.
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    66. Nguyen, Tin & Cheng, Enjiang, 1997. "Productivity gains from farmer education in China," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 41(4), pages 1-27.
    67. Peter C.B. Phillips, 1988. "Reflections on Econometric Methodology," Cowles Foundation Discussion Papers 893, Cowles Foundation for Research in Economics, Yale University.
    68. Hendry, David F & Ericsson, Neil R, 1991. "An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz," American Economic Review, American Economic Association, vol. 81(1), pages 8-38, March.
    69. Litsios, Ioannis, 2013. "Exchange rate determination and equity prices: Evidence from the UK," The Journal of Economic Asymmetries, Elsevier, vol. 10(2), pages 115-128.
    70. Marques, André M. & Carvalho, André R., 2022. "Testing the neo-fisherian hypothesis in Brazil," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 407-419.
    71. Shafik, Nemat & Jalali, Jalaleddin, 1991. "Are high real interest rates bad for world economic growth?," Policy Research Working Paper Series 669, The World Bank.
    72. Valadkhani, Abbas & Costello, Greg & Ratti, Ronald, 2016. "House price cycles in Australia’s four largest capital cities," Economic Analysis and Policy, Elsevier, vol. 52(C), pages 11-22.
    73. Raymond Swaray, 2007. "On the Relationship between the Public’s Worry about Safety from Burglary and Probabilities of Burglary: Some Evidence from Simultaneous Equation Models," Social Indicators Research: An International and Interdisciplinary Journal for Quality-of-Life Measurement, Springer, vol. 80(2), pages 361-378, January.

  101. Engle, Robert F. & Hendry, David F. & Richard, Jean-Francois, 1979. "Exogeneity," Economic Research Papers 269060, University of Warwick - Department of Economics.
    • Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983. "Exogeneity," Econometrica, Econometric Society, vol. 51(2), pages 277-304, March.

    Cited by:

    1. Bruce N. Lehmann, 2005. "The Role of Beliefs in Inference for Rational Expectations Models," NBER Working Papers 11758, National Bureau of Economic Research, Inc.
    2. van Amano, Robert A & Norden, Simon, 1998. "Exchange Rates and Oil Prices," Review of International Economics, Wiley Blackwell, vol. 6(4), pages 683-694, November.
    3. Adrian Pagan, 1985. "Two Stage and Related Estimators and Their Applications," Cowles Foundation Discussion Papers 741, Cowles Foundation for Research in Economics, Yale University.
    4. Wolfgang Hardle & Oliver Linton, 1994. "Applied Nonparametric Methods," Cowles Foundation Discussion Papers 1069, Cowles Foundation for Research in Economics, Yale University.
    5. BONOMO, Marco & GARCIA, René, 1997. "Tests of Conditional Asset Pricing Models in the Brazilian Stock Market," Cahiers de recherche 9715, Universite de Montreal, Departement de sciences economiques.
    6. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.).
    7. Söderström, Ulf & Leitemo, Kai & ,, 2006. "Methods for Robust Control," CEPR Discussion Papers 5638, C.E.P.R. Discussion Papers.
    8. MONTMARQUETTE, Claude & CANNINGS, Kathy & MAHSEREDJIAN, Sophie, 1997. "How do Young People Choose College Majors?," Cahiers de recherche 9719, Universite de Montreal, Departement de sciences economiques.
    9. Jesper Linde, 2001. "Testing for the Lucas Critique: A Quantitative Investigation," American Economic Review, American Economic Association, vol. 91(4), pages 986-1005, September.
    10. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
    11. Christophe Rault, 2005. "Further Results on Weak-Exogeneity in Vector Error Correction Models," Documents de recherche 05-12, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    12. Yash P. Mehra, 2000. "Wage-price dynamics : are they consistent with cost push?," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 27-43.
    13. Issler, João Victor & Guillen, Osmani Teixeira Carvalho, 2003. "On the welfare costs of business cycles in the 20th century," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 481, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    14. Hernán Rincón & Édgar Caicedo & Norberto Rodríguez, 2007. "Exchange rate pass-through effects: a disaggregate analysis of Colombian imports of manufactured goods," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 25(54), pages 90-121, June.
    15. Carlo A. Favero, 2009. "The Econometrics of Monetary Policy: An Overview," Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 16, pages 821-850, Palgrave Macmillan.
    16. Shadman-Mehta, Fatemeh, 1996. "Does Modern Econometrics replicate the Phillips Curve?," LIDAM Discussion Papers IRES 1996015, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    17. Oscar Jorda & Massimiliano Marcellino, 2003. "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Working Papers 273, University of California, Davis, Department of Economics.
    18. Mª Mar Sánchez, 2002. "Interest-Rate Models For Us And Uk With Mixed Inflationary Expectations. A Comparison With The Rational And The Adaptive Scheme," Working Papers. Serie AD 2002-05, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    19. Hernán Rincón, 1999. "Testing the Short-Long-Run Exchange Rate Effects on Trade Balance: The Case of Colombia," Borradores de Economia 120, Banco de la Republica de Colombia.
    20. SOOREEA, Rajeev, 2007. "Are Taylor-Based Monetary Policy Rules Forward-Looking?. An Investigation Using Superexogeneity Tests," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(2), pages 87-94.
    21. Amano, R. A. & van Norden, S., 1998. "Oil prices and the rise and fall of the US real exchange rate," Journal of International Money and Finance, Elsevier, vol. 17(2), pages 299-316, April.
    22. Faust, Jon & Whiteman, Charles H., 1997. "General-to-specific procedures for fitting a data-admissible, theory-inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model to the DGP: A translation and criti," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 121-161, December.
    23. Jan Jacobs & Albert van der Horst,, 1996. "VAR-ing the economy of the Netherlands," Working Papers 24, Centre for Economic Research, University of Groningen and University of Twente.
    24. Sara G. Castellanos & Eduardo Camero, 2003. "La estructura temporal de tasas de interés en México: ¿Puede predecir la actividad económica futura?," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 18(2), pages 33-66, December.
    25. Jesper Linde, 2002. "Monetary Policy Analysis in Backward-Looking Models," Annals of Economics and Statistics, GENES, issue 67-68, pages 155-182.
    26. Bernd Hayo & Ali Kutan, 2001. "Investor Panic, IMF Actions, and Emerging Stock Market Returns and Volatility," International Finance 0112001, University Library of Munich, Germany.
    27. Fatih Ozatay, 1992. "The Role of Public Sector Prices in Price Dynamics in Turkey and the Lucas Critique," Discussion Papers 9208, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    28. Dennis L. Hoffman & Robert H. Rasche, 1997. "STLS/US-VECM6.1: a vector error-correction forecasting model of the U. S. economy," Working Papers 1997-008, Federal Reserve Bank of St. Louis.
    29. John Geweke, 1998. "Using simulation methods for Bayesian econometric models: inference, development, and communication," Staff Report 249, Federal Reserve Bank of Minneapolis.
    30. Yash P. Mehra, 1996. "Monetary policy and long-term interest rates," Economic Quarterly, Federal Reserve Bank of Richmond, issue Sum, pages 27-49.
    31. George Neumann, 1996. "Search Models and Duration Data," Econometrics 9602008, University Library of Munich, Germany, revised 07 Mar 1996.
    32. Augustin Kwasi Fosu, 2000. "The International Dimension of African Economic Growth," CID Working Papers 34A, Center for International Development at Harvard University.
    33. Javier Gardeazabal & María Carmen Iglesias, "undated". "oCausan los ciclos del G7 el ciclo español?," Studies on the Spanish Economy 22, FEDEA.
    34. Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics 310., Boston College Department of Economics.
    35. International Monetary Fund, 2007. "Oil Shocks and External Balances," IMF Working Papers 2007/110, International Monetary Fund.
    36. Francesco Guala & Andrea Salanti, 2002. "On the Robustness of Economic Models," Working Papers (-2012) 0208, University of Bergamo, Department of Economics.
    37. Kilian, Lutz & Rebucci, Alessandro & Spatafora, Nikola, 2007. "Oil Shocks and External Balances," CEPR Discussion Papers 6303, C.E.P.R. Discussion Papers.
    38. N. Vijayamohanan Pillai, 2001. "Electricity demand analysis and forecasting: The tradition is questioned," Centre for Development Studies, Trivendrum Working Papers 312, Centre for Development Studies, Trivendrum, India.
    39. Baffes, John & Elbadawi, Ibrahim A. & O'Connell, Stephen A., 1997. "Single-equation estimation of the equilibrium real exchange rate," Policy Research Working Paper Series 1800, The World Bank.
    40. Mr. Martin Petri & Tahsin Saadi Sedik, 2006. "The Jordanian Stock Market—Should You Invest in It for Risk Diversification or Performance?," IMF Working Papers 2006/187, International Monetary Fund.
    41. Todd Prono, 2006. "GARCH-based identification of triangular systems with an application to the CAPM: still living with the roll critique," Working Papers 07-1, Federal Reserve Bank of Boston.
    42. Ricardo Gimeno & Carmen Martínez-Carrascal, 2006. "The interaction between house prices and loans for house purchase. The Spanish case," Working Papers 0605, Banco de España.
    43. James H. Stock & Mark W. Watson, 1989. "A Simple MLE of Cointegrating Vectors in Higher Order Integrated Systems," NBER Technical Working Papers 0083, National Bureau of Economic Research, Inc.
    44. Masao Ogaki & Chi-Young Choi, 2001. "The Gauss-Markov Theorem and Spurious Regressions," Working Papers 01-13, Ohio State University, Department of Economics.

  102. David F. Hendry & Gordon J. Anderson, 1975. "Testing Dynamic Specification in Small Simultaneous Systems: An Application to a Model of Building Society Behavior in the United Kingdom," Cowles Foundation Discussion Papers 398, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Lafrance, R., 1982. "Evaluation de L'hypothese de la Moyenne-Variance: une Application au Portefeuille des Banques Canadiennes," Cahiers de recherche 8219, Universite de Montreal, Departement de sciences economiques.
    2. Sendhil, R. & Ramasundaram, P., 2014. "Performance and Relevance of Wheat Futures Market in India – An Exploratory Analysis," 2014 Annual Meeting, July 27-29, 2014, Minneapolis, Minnesota 174839, Agricultural and Applied Economics Association.
    3. Ramadas, Sendhil & Palanisamy, Ramasundaram & Kuruvila, Anil & Chandrasekaran, Sundaramoorthy & Singh, Randhir & Sharma, Indu, 2014. "Food Price Volatility in India – Drivers, Impact and Policy Response," MPRA Paper 91131, University Library of Munich, Germany.
    4. Lafrance, Robert, 1983. "Évaluation de l’hypothèse de la moyenne-variance : une application au portefeuille des banques canadiennes," L'Actualité Economique, Société Canadienne de Science Economique, vol. 59(1), pages 20-37, mars.
    5. D. Ventosa-Santaulària, 2009. "Spurious Regression," Journal of Probability and Statistics, Hindawi, vol. 2009, pages 1-27, August.

  103. Jurgen A. Doornik & David F. Hendry & Neil Shephard, "undated". "Computationally-intensive Econometrics using a Distributed Matrix-programming Language," Economics Papers 2001-W22, Economics Group, Nuffield College, University of Oxford.

    Cited by:

    1. Christopher Ferrall, 2003. "Solving Finite Mixture Models in Parallel," Computational Economics 0303003, University Library of Munich, Germany.
    2. Jurgen A. Doornik & Neil Shephard & David F. Hendry, 2004. "Parallel Computation in Econometrics: A Simplified Approach," Economics Papers 2004-W16, Economics Group, Nuffield College, University of Oxford.
    3. Mathur, Sudhanshu & Morozov, Sergei, 2009. "Massively Parallel Computation Using Graphics Processors with Application to Optimal Experimentation in Dynamic Control," MPRA Paper 16721, University Library of Munich, Germany.
    4. Michael Creel, 2005. "User-Friendly Parallel Computations with Econometric Examples," UFAE and IAE Working Papers 637.05, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).

Articles

  1. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2024. "Forecasting the UK top 1% income share in a shifting world," Economica, London School of Economics and Political Science, vol. 91(363), pages 1047-1074, July.

    Cited by:

    1. Gary Cornwall & Marina Gindelsky, 2024. "Nowcasting Distributional National Accounts for the United States: A Machine Learning Approach," BEA Papers 0130, Bureau of Economic Analysis.

  2. 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).

    Cited by:

    1. Zhang, Long & Padhan, Hemachandra & Singh, Sanjay Kumar & Gupta, Monika, 2024. "The impact of renewable energy on inflation in G7 economies: Evidence from artificial neural networks and machine learning methods," Energy Economics, Elsevier, vol. 136(C).
    2. Jennifer L. Castle & David F. Hendry, 2024. "What a Puzzle! Unravelling Why UK Phillips Curves were Unstable," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(4), pages 743-760, August.

  3. 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.
  4. 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:

    1. 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.
    2. Aljuneidi, Tariq & Punia, Sushil & Jebali, Aida & Nikolopoulos, Konstantinos, 2024. "Forecasting and planning for a critical infrastructure sector during a pandemic: Empirical evidence from a food supply chain," European Journal of Operational Research, Elsevier, vol. 317(3), pages 936-952.
    3. 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.
    4. 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.
    5. 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).
    6. Bårdsen, Gunnar & Nymoen, Ragnar, 2023. "Dynamic time series modelling and forecasting of COVID-19 in Norway," Memorandum 3/2023, Oslo University, Department of Economics.
    7. Evangelos Spiliotis & Fotios Petropoulos & Vassilios Assimakopoulos, 2023. "On the Disagreement of Forecasting Model Selection Criteria," Forecasting, MDPI, vol. 5(2), pages 1-12, June.
    8. 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.

  5. 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.
    See citations under working paper version above.
  6. 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:

    1. Friedrich, Marina & Lin, Yicong, 2024. "Sieve bootstrap inference for linear time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 239(1).

  7. 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:

    1. 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.
    2. 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.
    3. 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.
    4. 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.
    5. Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2024. "Improving models and forecasts after equilibrium-mean shifts," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1085-1100.
    6. 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.
    7. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021. "Selecting a Model for Forecasting," Econometrics, MDPI, vol. 9(3), pages 1-35, June.
    8. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2024. "Forecasting the UK top 1% income share in a shifting world," Economica, London School of Economics and Political Science, vol. 91(363), pages 1047-1074, July.
    9. Giacomo Sbrana & Andrea Silvestrini, 2024. "The structural Theta method and its predictive performance in the M4-Competition," Temi di discussione (Economic working papers) 1457, Bank of Italy, Economic Research and International Relations Area.

  8. 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.
  9. 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:

    1. 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.
    2. Hendry, David F. & Pretis, Felix, 2023. "Analysing differences between scenarios," International Journal of Forecasting, Elsevier, vol. 39(2), pages 754-771.
    3. 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.
    4. 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).
    5. 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.

  10. 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.
  11. 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:

    1. 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.).
    2. 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.
    3. 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.
    4. Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2024. "Improving models and forecasts after equilibrium-mean shifts," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1085-1100.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. 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).
    10. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021. "Selecting a Model for Forecasting," Econometrics, MDPI, vol. 9(3), pages 1-35, June.
    11. 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.
    12. 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.
    13. 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.
    14. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2024. "Forecasting the UK top 1% income share in a shifting world," Economica, London School of Economics and Political Science, vol. 91(363), pages 1047-1074, July.
    15. 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.

  12. 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:

    1. Blazsek, Szabolcs, 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 Economía.
    2. Chen, Liang & Ramos Ramirez, Andrey David, 2023. "Heterogeneous Predictive Association of CO2 with Global Warming," UC3M Working papers. Economics 36451, Universidad Carlos III de Madrid. Departamento de Economía.
    3. 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.).
    4. Blazsek, Szabolcs Istvan & Kristof, Erzsebet, 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 Economía.
    5. 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.
    6. Castle, Jennifer L. & Hendry, David F., 2024. "Five sensitive intervention points to achieve climate neutrality by 2050, illustrated by the UK," Renewable Energy, Elsevier, vol. 226(C).
    7. Jennifer L. Castle & David F. Hendry, 2024. "What a Puzzle! Unravelling Why UK Phillips Curves were Unstable," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(4), pages 743-760, August.
    8. 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.
    9. Marra, Alessandro & Colantonio, Emiliano & Cucculelli, Marco & Nissi, Eugenia, 2024. "The ‘complex’ transition: Energy intensity and CO2 emissions amidst technological and structural shifts. Evidence from OECD countries," Energy Economics, Elsevier, vol. 136(C).
    10. 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.
    11. 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.
    12. Chen, Liang & 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 Estadística.
    13. Vasco J.Gabriel & Luis F. Martins & Anthoulla Phella, 2021. "Modelling Low-Frequency Covariability of Paleoclimatic Data," Working Papers 2022_17, Business School - Economics, University of Glasgow.
    14. 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.

  13. 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.
    See citations under working paper version above.
  14. Hendry, David F., 2018. "Deciding between alternative approaches in macroeconomics," International Journal of Forecasting, Elsevier, vol. 34(1), pages 119-135.
    See citations under working paper version above.
  15. 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.
    See citations under working paper version above.
  16. 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:

    1. Darandary, Abdulelah & Mikayilov, Jeyhun I. & Soummane, Salaheddine, 2024. "Impacts of electricity price reform on Saudi regional fuel consumption and CO2 emissions," Energy Economics, Elsevier, vol. 131(C).
    2. 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.
    3. Guillaume Chevillon & Takamitsu Kurita, 2023. "What Does it Take to Control Global Temperatures? A toolbox for testing and estimating the impact of economic policies on climate," Papers 2307.05818, arXiv.org, revised Jul 2024.
    4. 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.
    5. Hendry, David F. & Pretis, Felix, 2023. "Analysing differences between scenarios," International Journal of Forecasting, Elsevier, vol. 39(2), pages 754-771.
    6. Rocco Mosconi & Paolo Paruolo, 2022. "Celebrated Econometricians: Katarina Juselius and Søren Johansen," Econometrics, MDPI, vol. 10(2), pages 1-4, May.
    7. David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
    8. Pretis, Felix, 2021. "Exogeneity in climate econometrics," Energy Economics, Elsevier, vol. 96(C).
    9. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
    10. 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.
    11. 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.
    12. 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).
    13. 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).
    14. 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.

  17. 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.
    See citations under working paper version above.
  18. Brian Chi-ang Lin & Siqi Zheng & 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.
    See citations under working paper version above.
  19. 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.
  20. 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.

    Cited by:

    1. Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019. "Models where the Least Trimmed Squares and Least Median of Squares estimators are maximum likelihood," CREATES Research Papers 2019-15, Department of Economics and Business Economics, Aarhus University.
    2. Senra, Eva, 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 Estadística.
    3. 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.

  21. 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.
    See citations under working paper version above.
  22. 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.
  23. 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:

    1. 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.
    2. 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.
    3. 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.).
    4. 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.
    5. 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.
    6. John Muellbauer, 2016. "Macroeconomics and Consumption," Economics Series Working Papers Paper-811, University of Oxford, Department of Economics.
    7. 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.
    8. 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.
    9. 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.
    10. 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.).
    11. 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.
    12. 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.
    13. 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.
    14. 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).
    15. 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).
    16. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    17. Apergis, Nicholas & Pan, Wei-Fong & Reade, James & Wang, Shixuan, 2023. "Modelling Australian electricity prices using indicator saturation," Energy Economics, Elsevier, vol. 120(C).
    18. Kenneth G. Stewart, 2023. "The Simple Macroeconometrics of the Quantity Theory And the Welfare Cost of Inflation," Department Discussion Papers 2301, Department of Economics, University of Victoria.
    19. 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.
    20. 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.
    21. 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.
    22. Marçal, Emerson Fernandes, 2024. "Testing rational expectations in a cointegrated VAR with structural change," International Review of Financial Analysis, Elsevier, vol. 95(PB).
    23. 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).
    24. 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.
    25. 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.
    26. 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.
    27. 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.
    28. 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.
    29. 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.
    30. Brian Chi-ang Lin & Siqi Zheng & 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.
    31. Hendry, David F. & Pretis, Felix, 2023. "Analysing differences between scenarios," International Journal of Forecasting, Elsevier, vol. 39(2), pages 754-771.
    32. Jennifer Castle & David Hendry, 2016. "Policy Analysis, Forediction, and Forecast Failure," Economics Series Working Papers 809, University of Oxford, Department of Economics.
    33. 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.
    34. 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.
    35. 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.
    36. Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2024. "Improving models and forecasts after equilibrium-mean shifts," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1085-1100.
    37. 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.
    38. Senra, Eva, 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 Estadística.
    39. 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.
    40. David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
    41. Jennifer L. Castle & David F. Hendry, 2024. "What a Puzzle! Unravelling Why UK Phillips Curves were Unstable," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(4), pages 743-760, August.
    42. 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.
    43. Dalano DaSouza & Mahalia Jackman, 2024. "Estimating the Impact of Education on Growth in a Small Data-Poor Country: the Case of Saint Vincent and the Grenadines," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(3), pages 13449-13469, September.
    44. 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).
    45. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
    46. Philippe Goulet Coulombe, 2020. "Time-Varying Parameters as Ridge Regressions," Papers 2009.00401, arXiv.org, revised Nov 2024.
    47. 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.
    48. 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.
    49. 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.
    50. 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).
    51. Ericsson, Neil R., 2017. "Interpreting estimates of forecast bias," International Journal of Forecasting, Elsevier, vol. 33(2), pages 563-568.
    52. 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.
    53. Castle, Jennifer L. & Kurita, Takamitsu, 2024. "Stability between cryptocurrency prices and the term structure," Journal of Economic Dynamics and Control, Elsevier, vol. 165(C).
    54. 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.
    55. 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.
    56. 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.
    57. 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).
    58. Pellini, Elisabetta, 2021. "Estimating income and price elasticities of residential electricity demand with Autometrics," Energy Economics, Elsevier, vol. 101(C).
    59. 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.
    60. 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).
    61. Roman Frydman & Soren Johansen & Anders Rahbek & Morten Nyboe Tabor, 2021. "Asset Prices Under Knightian Uncertainty," Working Papers Series inetwp172, Institute for New Economic Thinking.
    62. Sucarrat, Genaro, 2019. "User-Specified General-to-Specific and Indicator Saturation Methods," MPRA Paper 96148, University Library of Munich, Germany.
    63. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021. "Selecting a Model for Forecasting," Econometrics, MDPI, vol. 9(3), pages 1-35, June.
    64. 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.
    65. David F. Hendry, 2024. "A Brief History of General‐to‐specific Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 1-20, February.
    66. 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.
    67. 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.
    68. 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.
    69. Leighton Vaughan Williams & J. James Reade, 2016. "Prediction Markets, Social Media and Information Efficiency," Kyklos, Wiley Blackwell, vol. 69(3), pages 518-556, August.
    70. 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.
    71. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2024. "Forecasting the UK top 1% income share in a shifting world," Economica, London School of Economics and Political Science, vol. 91(363), pages 1047-1074, July.
    72. 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.
    73. 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.
    74. Kaufmann, Robert K., 2023. "Energy price volatility affects decisions to purchase energy using capital: Motor vehicles," Energy Economics, Elsevier, vol. 126(C).
    75. 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.
    76. 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.

  24. 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.
    See citations under working paper version above.
  25. 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.
  26. 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.
  27. 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.
  28. 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:

    1. 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).
    2. 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.
    3. 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.
    4. 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.).
    5. 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.).
    6. 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.
    7. Emmanuel Flachaire & Sullivan Hué & Sébastien Laurent & Gilles Hacheme, 2024. "Interpretable Machine Learning Using Partial Linear Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(3), pages 519-540, June.
    8. 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.
    9. Sullivan Hué, 2022. "GAM(L)A: An econometric model for interpretable machine learning," French Stata Users' Group Meetings 2022 19, Stata Users Group.
    10. 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.
    11. Valentina Corradi & Norman Swanson, 2013. "Testing for Structural Stability of Factor Augmented Forecasting Models," Departmental Working Papers 201314, Rutgers University, Department of Economics.
    12. 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).
    13. Charles Rahal, 2015. "Housing Market Forecasting with Factor Combinations," Discussion Papers 15-05, Department of Economics, University of Birmingham.
    14. 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.
    15. 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.
    16. 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..
    17. 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.
    18. 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.
    19. Jennifer Castle & David Hendry & Michael P. Clements, 2014. "Robust Approaches to Forecasting," Economics Series Working Papers 697, University of Oxford, Department of Economics.
    20. 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.
    21. 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.
    22. Anh Dinh Minh Nguyen, 2017. "U.K. Monetary Policy under Inflation Targeting," Bank of Lithuania Working Paper Series 41, Bank of Lithuania.
    23. 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.
    24. 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..
    25. 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.

  29. 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.
  30. 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.
  31. David Hendry, 2011. "Revisiting UK consumers' expenditure: cointegration, breaks and robust forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 21(1-2), pages 19-32.

    Cited by:

    1. Olayeni, Olaolu Richard & Tiwari, Aviral Kumar & Wohar, Mark E., 2020. "Global economic activity, crude oil price and production, stock market behaviour and the Nigeria-US exchange rate," Energy Economics, Elsevier, vol. 92(C).

  32. Hendry David F & Mizon Grayham E, 2011. "Econometric Modelling of Time Series with Outlying Observations," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-26, February.

    Cited by:

    1. 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).
    2. 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.
    3. 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.
    4. 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.
    5. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    6. 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.
    7. D. R. Cox, 2013. "A return to an old paper: ‘Tests of separate families of hypotheses’," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(2), pages 207-215, March.
    8. 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.
    9. 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.
    10. Barlow, David, 2023. "The stability of UK households Divisia money balances," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 451-459.
    11. Lukasz Gatarek & Søren Johansen, 2014. "Optimal hedging with the cointegrated vector autoregressive model," Discussion Papers 14-22, University of Copenhagen. Department of Economics.
    12. 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.
    13. 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).
    14. 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.
    15. David Hendry & Felix Pretis, 2011. "Anthropogenic Influences on Atmospheric CO2," Economics Series Working Papers 584, University of Oxford, Department of Economics.
    16. 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.
    17. 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.
    18. Javid, Muhammad & Khan, Farzana Naheed & Arif, Umaima, 2022. "Income and price elasticities of natural gas demand in Pakistan: A disaggregated analysis," Energy Economics, Elsevier, vol. 113(C).
    19. 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.
    20. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
    21. 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.
    22. Alexander Herzog-Stein & Camille Logeay, 2019. "Short-Term macroeconomic evaluation of the German minimum wage with a VAR/VECM," IMK Working Paper 197-2019, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
    23. David Hendry & Jurgen A. Doornik & Felix Pretis, 2013. "Step-indicator Saturation," Economics Series Working Papers 658, University of Oxford, Department of Economics.
    24. 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.
    25. 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).

  33. 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.
    See citations under working paper version above.
  34. Hendry, David F. & Hubrich, Kirstin, 2011. "Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 216-227.
    See citations under working paper version above.
  35. Hendry, David F., 2011. "On adding over-identifying instrumental variables to simultaneous equations," Economics Letters, Elsevier, vol. 111(1), pages 68-70, April.

    Cited by:

    1. Jan F. Kiviet, 2016. "Discriminating between (in)valid external instruments and (in)valid exclusion restrictions," Economic Growth Centre Working Paper Series 1508, Nanyang Technological University, School of Social Sciences, Economic Growth Centre.
    2. 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.
    3. 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.
    4. 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.

  36. 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.
  37. 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.
  38. 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:

    1. 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.
    2. 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.
    3. 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.
    4. Mogliani, Matteo & Simoni, Anna, 2021. "Bayesian MIDAS penalized regressions: Estimation, selection, and prediction," Journal of Econometrics, Elsevier, vol. 222(1), pages 833-860.
    5. 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.
    6. Alina Stundziene & Vaida Pilinkiene & Jurgita Bruneckiene & Andrius Grybauskas & Mantas Lukauskas & Irena Pekarskiene, 2024. "Future directions in nowcasting economic activity: A systematic literature review," Journal of Economic Surveys, Wiley Blackwell, vol. 38(4), pages 1199-1233, September.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. Pablo Duarte & Bernd Süssmuth, 2014. "Robust Implementation of a Parsimonious Dynamic Factor Model to Nowcast GDP," CESifo Working Paper Series 4574, CESifo.
    12. Carlomagno, Guillermo, 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 Estadística.
    13. 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.
    14. 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.
    15. Carlomagno, Guillermo, 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 Estadística.
    16. 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.
    17. 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.

  39. 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.

    Cited by:

    1. 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.
    2. 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.
    3. 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.
    4. Giacomo Caterini, 2018. "Classifying Firms with Text Mining," DEM Working Papers 2018/09, Department of Economics and Management.
    5. 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.
    6. 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.
    7. Mogliani, Matteo & Simoni, Anna, 2021. "Bayesian MIDAS penalized regressions: Estimation, selection, and prediction," Journal of Econometrics, Elsevier, vol. 222(1), pages 833-860.
    8. 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.
    9. Damien Challet & Ahmed Bel Hadj Ayed, 2015. "Do Google Trend data contain more predictability than price returns?," Post-Print hal-00960875, HAL.
    10. 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).
    11. Peter A.G. van Bergeijk, 2021. "Pandemic Economics," Books, Edward Elgar Publishing, number 20401.
    12. Fondeur, Y. & Karamé, F., 2013. "Can Google data help predict French youth unemployment?," Economic Modelling, Elsevier, vol. 30(C), pages 117-125.
    13. 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.
    14. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
    15. 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.
    16. Amstad, Marlene & Fischer, Andreas M., 2010. "Monthly pass-through ratios," Journal of Economic Dynamics and Control, Elsevier, vol. 34(7), pages 1202-1213, July.
    17. Pablo Duarte & Bernd Süssmuth, 2014. "Robust Implementation of a Parsimonious Dynamic Factor Model to Nowcast GDP," CESifo Working Paper Series 4574, CESifo.
    18. 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.
    19. 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.
    20. 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.
    21. 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.
    22. Anh Dinh Minh Nguyen, 2017. "U.K. Monetary Policy under Inflation Targeting," Bank of Lithuania Working Paper Series 41, Bank of Lithuania.
    23. 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.
    24. 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.
    25. 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.
    26. 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.
    27. 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.
    28. 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.
    29. 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.
    30. 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.

  40. 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.
  41. Hendry David, 2009. "Comment on "Excessive Ambitions" (by Jon Elster)," Capitalism and Society, De Gruyter, vol. 4(2), pages 1-21, October.

    Cited by:

    1. Attila Havas, 2015. "The persistent high-tech myth in the EC policy circles - Implications for the EU10 countries," CERS-IE WORKING PAPERS 1517, Institute of Economics, Centre for Economic and Regional Studies.

  42. Luigi Ermini & David F. Hendry, 2008. "Log Income vs. Linear Income: An Application of the Encompassing Principle," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 807-827, December.
    See citations under working paper version above.
  43. David F. Hendry & Massimiliano Marcellino & Grayham E. Mizon, 2008. "Guest Editors’ Introduction to Special Issue on Encompassing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 715-719, December.

    Cited by:

    1. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    2. D. R. Cox, 2013. "A return to an old paper: ‘Tests of separate families of hypotheses’," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 75(2), pages 207-215, March.

  44. Carlos Santos & David Hendry & Soren Johansen, 2008. "Automatic selection of indicators in a fully saturated regression," Computational Statistics, Springer, vol. 23(2), pages 317-335, April.

    Cited by:

    1. 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.
    2. 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.
    3. 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 Estadística.
    4. 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.).
    5. 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.
    6. Peter Jensen, 2010. "Testing the null of a low dimensional growth model," Empirical Economics, Springer, vol. 38(1), pages 193-215, February.
    7. 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.
    8. 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.).
    9. 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.
    10. Alexander Chudik & George Kapetanios & M. Hashem Pesaran, 2016. "Big Data Analytics: A New Perspective," CESifo Working Paper Series 5824, CESifo.
    11. 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.
    12. Bill Russell & Dooruj Rambaccussing, 2019. "Breaks and the statistical process of inflation: the case of estimating the ‘modern’ long-run Phillips curve," Empirical Economics, Springer, vol. 56(5), pages 1455-1475, May.
    13. Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010. "Evaluating Automatic Model Selection," Economics Series Working Papers 474, University of Oxford, Department of Economics.
    14. 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.
    15. Baiardi, Donatella & Morana, Claudio, 2021. "Climate change awareness: Empirical evidence for the European Union," Energy Economics, Elsevier, vol. 96(C).
    16. 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.
    17. Carlos Santos & Maria Alberta Oliveira, 2007. "Assessing French Inflation Persistence with Impulse Saturation Break Tests and Automatic General-to-Specific Modelling," Working Papers de Economia (Economics Working Papers) 10, Católica Porto Business School, Universidade Católica Portuguesa.
    18. 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.
    19. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2013. "Dynamic Stress Testing: The Framework for Assessing the Resilience of the Banking Sector Used by the Czech National Bank," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 63(6), pages 505-536, December.
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    21. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
    22. J. James Reade & Ulrich Volz, 2009. "Too Much to Lose, or More to Gain? Should Sweden Join the Euro?," Economics Series Working Papers 442, University of Oxford, Department of Economics.
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    24. Andrew B. Martinez, 2011. "Comparing Government Forecasts of the United States’ Gross Federal Debt," Working Papers 2011-002, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    25. Vanessa Berenguer-Rico & Søren Johansen & Bent Nielsen, 2019. "The analysis of marked and weighted empirical processes of estimated residuals," CREATES Research Papers 2019-06, Department of Economics and Business Economics, Aarhus University.
    26. 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.
    27. Guillaume Chevillon & Takamitsu Kurita, 2023. "What Does it Take to Control Global Temperatures? A toolbox for testing and estimating the impact of economic policies on climate," Papers 2307.05818, arXiv.org, revised Jul 2024.
    28. 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.
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    31. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    32. Claudio Morana, 2021. "A new macro-financial condition index for the euro area," Working Paper series 21-07, Rimini Centre for Economic Analysis, revised Sep 2021.
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    42. 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.
    43. Bauwens, Luc & Sucarrat, Genaro, 2010. "General-to-specific modelling of exchange rate volatility: A forecast evaluation," International Journal of Forecasting, Elsevier, vol. 26(4), pages 885-907, October.
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    46. 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.
    47. Marçal, Emerson Fernandes, 2024. "Testing rational expectations in a cointegrated VAR with structural change," International Review of Financial Analysis, Elsevier, vol. 95(PB).
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    50. 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.
    51. Neil R. Ericsson, 2008. "The fragility of sensitivity analysis: an encompassing perspective," International Finance Discussion Papers 959, Board of Governors of the Federal Reserve System (U.S.).
    52. Lukasz Gatarek & Søren Johansen, 2014. "Optimal hedging with the cointegrated vector autoregressive model," Discussion Papers 14-22, University of Copenhagen. Department of Economics.
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    58. 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.
    59. 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.
    60. 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.
    61. 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.
    62. Neil R. Ericsson & Steven B. Kamin, 2008. "Constructive data mining: modeling Argentine broad money demand," International Finance Discussion Papers 943, Board of Governors of the Federal Reserve System (U.S.).
    63. 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.
    64. 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.
    65. 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).
    66. Luigi Ermini & David F. Hendry, 2008. "Log Income vs. Linear Income: An Application of the Encompassing Principle," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 807-827, December.
    67. Gilli, Martino & Calcaterra, Matteo & Emmerling, Johannes & Granella, Francesco, 2024. "Climate change impacts on the within-country income distributions," Journal of Environmental Economics and Management, Elsevier, vol. 127(C).
    68. Campos, Nauro F. & Macchiarelli, Corrado, 2021. "The dynamics of core and periphery in the European monetary union: A new approach," Journal of International Money and Finance, Elsevier, vol. 112(C).
    69. Brian Chi-ang Lin & Siqi Zheng & 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.
    70. 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).
    71. Hendry, David F. & Pretis, Felix, 2023. "Analysing differences between scenarios," International Journal of Forecasting, Elsevier, vol. 39(2), pages 754-771.
    72. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
    73. Emerson Fernandes Marçal & Priscila Fernandes Ribeiro, 2011. "Levado pelos Fundamentos? Estimando o Desalinhamento Cambial Norte-Americano a partir de Técnicas de Cointegração," Discussion Papers 1674, Instituto de Pesquisa Econômica Aplicada - IPEA.
    74. Jennifer Castle & David Hendry, 2016. "Policy Analysis, Forediction, and Forecast Failure," Economics Series Working Papers 809, University of Oxford, Department of Economics.
    75. 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.
    76. Gamber, Edward N. & Liebner, Jeffrey P., 2017. "Comment on “How Biased are US Government Forecasts of the Federal Debt?”," International Journal of Forecasting, Elsevier, vol. 33(2), pages 560-562.
    77. Igor Pelipas, 2012. "Multiple Structural Breaks and Inflation Persistance in Belarus," BEROC Working Paper Series 21, Belarusian Economic Research and Outreach Center (BEROC).
    78. 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).
    79. Gianluca Cubadda & Barbara Guardabascio & Alain Hecq, 2012. "A General to Specific Approach for Constructing Composite Business Cycle Indicators," CEIS Research Paper 224, Tor Vergata University, CEIS, revised 27 Feb 2012.
    80. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
    81. David Hendry & Felix Pretis, 2011. "Anthropogenic Influences on Atmospheric CO2," Economics Series Working Papers 584, University of Oxford, Department of Economics.
    82. 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.
    83. Vassili Bazinas & Bent Nielsen, 2015. "Causal transmission in reduced-form models," Economics Papers 2015-W07, Economics Group, Nuffield College, University of Oxford.
    84. 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.
    85. Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2024. "Improving models and forecasts after equilibrium-mean shifts," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1085-1100.
    86. 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.
    87. Santos, Carlos, 2011. "The euro sovereign debt crisis, determinants of default probabilities and implied ratings in the CDS market: an econometric analysis," MPRA Paper 31341, University Library of Munich, Germany.
    88. 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.
    89. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
    90. Kristine Wika Haraldsen & Ragnar Nymoen & Victoria Sparrman, 2019. "Labour market institutions, shocks and the employment rate," Discussion Papers 901, Statistics Norway, Research Department.
    91. 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.
    92. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Business School, revised Sep 2013.
    93. Fakhri J. Hasanov & Moayad H. Al Rasasi & Salah S. Alsayaary & Ziyadh Alfawzan, 2022. "Money demand under a fixed exchange rate regime: the case of Saudi Arabia," Journal of Applied Economics, Taylor & Francis Journals, vol. 25(1), pages 385-411, December.
    94. 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.
    95. Dalano DaSouza & Mahalia Jackman, 2024. "Estimating the Impact of Education on Growth in a Small Data-Poor Country: the Case of Saint Vincent and the Grenadines," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(3), pages 13449-13469, September.
    96. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
    97. Ruqayya Aljifri, 2020. "The Macroeconomy, Oil and the Stock Market: A Multiple Equation Time Series Analysis of Saudi Arabia," Economics Discussion Papers em-dp2020-27, Department of Economics, University of Reading.
    98. Pretis, Felix, 2021. "Exogeneity in climate econometrics," Energy Economics, Elsevier, vol. 96(C).
    99. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
    100. Proietti, Tommaso & Pedregal, Diego J., 2023. "Seasonality in High Frequency Time Series," Econometrics and Statistics, Elsevier, vol. 27(C), pages 62-82.
    101. Xiyu Jiao & Felix Pretis, 2022. "Testing the Presence of Outliers in Regression Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 84(6), pages 1452-1484, December.
    102. 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.
    103. 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.
    104. Bill Russell & Dooruj Rambaccussing, 2016. "Breaks and the Statistical Process of Inflation: The Case of the ‘Modern’ Phillips Curve," Dundee Discussion Papers in Economics 294, Economic Studies, University of Dundee.
    105. Karen Croxson & J. James Reade, 2014. "Information and Efficiency: Goal Arrival in Soccer Betting," Economic Journal, Royal Economic Society, vol. 124(575), pages 62-91, March.
    106. 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.
    107. 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.
    108. Hendry David F & Mizon Grayham E, 2011. "Econometric Modelling of Time Series with Outlying Observations," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-26, February.
    109. 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).
    110. Ericsson, Neil R., 2017. "Interpreting estimates of forecast bias," International Journal of Forecasting, Elsevier, vol. 33(2), pages 563-568.
    111. 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.
    112. 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.
    113. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
    114. Castle, Jennifer L. & Kurita, Takamitsu, 2024. "Stability between cryptocurrency prices and the term structure," Journal of Economic Dynamics and Control, Elsevier, vol. 165(C).
    115. 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.
    116. 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.
    117. Hendry, David F., 2011. "On adding over-identifying instrumental variables to simultaneous equations," Economics Letters, Elsevier, vol. 111(1), pages 68-70, April.
    118. 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).
    119. Pellini, Elisabetta, 2021. "Estimating income and price elasticities of residential electricity demand with Autometrics," Energy Economics, Elsevier, vol. 101(C).
    120. 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.
    121. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
    122. Marçal, Emerson Fernandes, 2014. "Desalinhamentos Cambiais, Interdependência, Crises, Guerras cambiais: Uma avaliação empírica," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(2), June.
    123. 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.).
    124. 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).
    125. David Hendry & Jurgen A. Doornik & Felix Pretis, 2013. "Step-indicator Saturation," Economics Series Working Papers 658, University of Oxford, Department of Economics.
    126. Fernandes, Leonardo H.S. & Silva, José W.L. & de Araujo, Fernando H.A. & Tabak, Benjamin M., 2023. "Multifractal cross-correlations between green bonds and financial assets," Finance Research Letters, Elsevier, vol. 53(C).
    127. Sucarrat, Genaro, 2019. "User-Specified General-to-Specific and Indicator Saturation Methods," MPRA Paper 96148, University Library of Munich, Germany.
    128. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021. "Selecting a Model for Forecasting," Econometrics, MDPI, vol. 9(3), pages 1-35, June.
    129. 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.
    130. Carlomagno, Guillermo, 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 Estadística.
    131. Anh Dinh Minh Nguyen, 2017. "U.K. Monetary Policy under Inflation Targeting," Bank of Lithuania Working Paper Series 41, Bank of Lithuania.
    132. Santos, Carlos, 2008. "Impulse saturation break tests," Economics Letters, Elsevier, vol. 98(2), pages 136-143, February.
    133. 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.
    134. 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.
    135. Friedrich, Marina & Lin, Yicong, 2024. "Sieve bootstrap inference for linear time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 239(1).
    136. 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.
    137. Adam Gersl & Petr Jakubik & Tomas Konecny & Jakub Seidler, 2012. "Dynamic Stress Testing: The Framework for Testing Banking Sector Resilience Used by the Czech National Bank," Working Papers 2012/11, Czech National Bank.
    138. Nauro F Campos & Corrado Macchiarelli, 2020. "The United Kingdom and the stability of the Euro area: From Maastricht to Brexit," The World Economy, Wiley Blackwell, vol. 43(7), pages 1792-1808, July.
    139. David F. Hendry, 2024. "A Brief History of General‐to‐specific Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 1-20, February.
    140. Frédérique Bec & Matteo Mogliani, 2013. "Nowcasting French GDP in Real-Time from Survey Opinions : Information or Forecast Combinations ?," Working Papers 2013-21, Center for Research in Economics and Statistics.
    141. 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.
    142. Brown, Alasdair & Reade, J. James & Vaughan Williams, Leighton, 2019. "When are prediction market prices most informative?," International Journal of Forecasting, Elsevier, vol. 35(1), pages 420-428.
    143. Bent Nielsen & Xiyu Jiao, 2016. "Asymptotic Analysis of Iterated 1-step Huber-skip M-estimators with Varying Cut-offs," Economics Papers 2016-W08, Economics Group, Nuffield College, University of Oxford.
    144. 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).
    145. David E. Giles, 2022. "Some Consequences of Including Impulse-Indicator Dummy Variables in Econometric Models," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(2), pages 329-336, June.
    146. Leighton Vaughan Williams & J. James Reade, 2016. "Prediction Markets, Social Media and Information Efficiency," Kyklos, Wiley Blackwell, vol. 69(3), pages 518-556, August.
    147. 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).
    148. 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.
    149. 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.
    150. Marcelle Chauvet & Claudio Morana & Murilo Silva, 2025. "Extreme Weather in Europe: Determinants and Economic Impact," Working Paper series 25-01, Rimini Centre for Economic Analysis.
    151. Marçal, Emerson Fernandes, 2013. "Exchange rate misalignments, interdependence, crises, and currency wars: an empirical assessment," Textos para discussão 348, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
    152. Haraldsen, Kristine Wika & Ragnar, Nymoen & Sparrman, Victoria, 2019. "Labour market institutions, shocks and the employment rate," Memorandum 6/2019, Oslo University, Department of Economics.
    153. 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.
    154. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2024. "Forecasting the UK top 1% income share in a shifting world," Economica, London School of Economics and Political Science, vol. 91(363), pages 1047-1074, July.
    155. 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.
    156. 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.
    157. Ragnar Nymoen, 2017. "Between Institutions and Global Forces: Norwegian Wage Formation Since Industrialisation," Econometrics, MDPI, vol. 5(1), pages 1-54, January.
    158. Konstantin Belyaev & Aelita Belyaeva & Tomas Konecny & Jakub Seidler & Martin Vojtek, 2012. "Macroeconomic Factors as Drivers of LGD Prediction: Empirical Evidence from the Czech Republic," Working Papers 2012/12, Czech National Bank.
    159. 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.
    160. 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.

  45. Clements Michael P. & Hendry David F., 2008. "Economic Forecasting in a Changing World," Capitalism and Society, De Gruyter, vol. 3(2), pages 1-20, October.

    Cited by:

    1. David Hendry, 2010. "Climate Change: Lessons for our Future from the Distant Past," Economics Series Working Papers 485, University of Oxford, Department of Economics.
    2. Carl H. Korkpoe & Peterson Owusu Junior, 2018. "Behaviour of Johannesburg Stock Exchange All Share Index Returns - An Asymmetric GARCH and News Impact Effects Approach," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 68(1), pages 26-42, January-M.
    3. Skrove Falch, Nina & Nymoen, Ragnar, 2011. "The accuracy of a forecast targeting central bank," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 5, pages 1-36.
    4. Gunnar Bårdsen & Dag Kolsrud & Ragnar Nymoen, 2012. "Forecast robustness in macroeconometric models," Working Paper Series 13712, Department of Economics, Norwegian University of Science and Technology.
    5. Ericsson Neil R., 2008. "Comment on "Economic Forecasting in a Changing World" (by Michael Clements and David Hendry)," Capitalism and Society, De Gruyter, vol. 3(2), pages 1-18, October.
    6. Fakhri J. Hasanov & Lester C. Hunt & Ceyhun I. Mikayilov, 2016. "Modeling and Forecasting Electricity Demand in Azerbaijan Using Cointegration Techniques," Energies, MDPI, vol. 9(12), pages 1-31, December.
    7. 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).
    8. Fabio Bacchini & Cristina Brandimarte & Piero Crivelli & Roberta De Santis & Marco Fioramanti & Alessandro Girardi & Roberto Golinelli & Cecilia Jona-Lasinio & Massimo Mancini & Carmine Pappalardo & D, 2013. "Building the core of the Istat system of models for forecasting the Italian economy: MeMo-It," Rivista di statistica ufficiale, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), vol. 15(1), pages 17-45.
    9. Katarina Juselius, 2010. "On the Role of Theory and Evidence in Macroeconomics," Discussion Papers 10-12, University of Copenhagen. Department of Economics.
    10. 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.
    11. Golinelli, Roberto & Parigi, Giuseppe, 2014. "Tracking world trade and GDP in real time," International Journal of Forecasting, Elsevier, vol. 30(4), pages 847-862.
    12. Paula Bejarano Carbo, 2024. "The Nature of the Inflationary Surprise in Europe and the USA," National Institute of Economic and Social Research (NIESR) Discussion Papers 554, National Institute of Economic and Social Research.
    13. Katarina Juselius, 2009. "Time to reject the privileging of economic theory over empirical evidence? A Reply to Lawson (2009)," Discussion Papers 09-16, University of Copenhagen. Department of Economics.
    14. 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.
    15. David Mortimer Krainz, 2011. "An Evaluation of the Forecasting Performance of Three Econometric Models for the Eurozone and the USA," WIFO Working Papers 399, WIFO.
    16. Martínez-Ovando Juan Carlos & Walker Stephen G., 2011. "Time-series Modelling, Stationarity and Bayesian Nonparametric Methods," Working Papers 2011-08, Banco de México.
    17. Boris Salazar, 2016. "Mandelbrot, Fama and the emergence of econophysics," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 35(69), pages 637-662, April.
    18. 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).

  46. Aris Spanos & David F. Hendry & J. James Reade, 2008. "Linear vs. Log‐linear Unit‐Root Specification: An Application of Mis‐specification Encompassing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 829-847, December.

    Cited by:

    1. Katarina Juselius & Niels Framroze Møller & Finn Tarp, 2011. "The Long-Run Impact of Foreign Aid in 36 African Countries: Insights from Multivariate Time Series Analysis," WIDER Working Paper Series wp-2011-051, World Institute for Development Economic Research (UNU-WIDER).
    2. Luigi Ermini & David F. Hendry, 2008. "Log Income vs. Linear Income: An Application of the Encompassing Principle," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 807-827, December.
    3. Maozu Lu & Grayham E. Mizon & Chiara Monfardini, 2008. "Simulation Encompassing: Testing Non‐nested Hypotheses," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 781-806, December.
    4. Masayoshi Hayashi, 2013. "On the Decomposition of Regional Stabilization and Redistribution," CIRJE F-Series CIRJE-F-910, CIRJE, Faculty of Economics, University of Tokyo.
    5. 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.

  47. Hendry, David F. & Massmann, Michael, 2007. "Co-Breaking: Recent Advances and a Synopsis of the Literature," Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 33-51, January.

    Cited by:

    1. Cassola, Nuno & Morana, Claudio, 2008. "Modelling short-term interest rate spreads in the euro money market," Working Paper Series 982, European Central Bank.
    2. Claudio Morana, 2014. "Factor Vector Autoregressive Estimation of Heteroskedastic Persistent and Non Persistent Processes Subject to Structural Breaks," Working Papers 273, University of Milano-Bicocca, Department of Economics, revised May 2014.
    3. Håvard Hungnes, 2010. "Identifying Structural Breaks in Cointegrated Vector Autoregressive Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(4), pages 551-565, August.
    4. Kirstin Hubrich & Timo Teräsvirta, 2013. "Thresholds and Smooth Transitions in Vector Autoregressive Models," CREATES Research Papers 2013-18, Department of Economics and Business Economics, Aarhus University.
    5. Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2023. "Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models," CEIS Research Paper 555, Tor Vergata University, CEIS, revised 27 Feb 2023.
    6. Balázs Égert & Rebeca Jiménez-Rodríguez & Evžen Kočenda & Amalia Morales-Zumaquero, 2006. "Structural changes in Central and Eastern European economies: breaking news or breaking the ice?," Economic Change and Restructuring, Springer, vol. 39(1), pages 85-103, June.
    7. 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.).
    8. Noriega Antonio E. & Soria Luis M. & Velázquez Ramón, 2008. "International Evidence on Stochastic and Deterministic Monetary Neutrality," Working Papers 2008-04, Banco de México.
    9. 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.
    10. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    11. Philip Bertram & Robinson Kruse & Philipp Sibbertsen, 2013. "Fractional integration versus level shifts: the case of realized asset correlations," Statistical Papers, Springer, vol. 54(4), pages 977-991, November.
    12. Schreiber, Sven, 2009. "Explaining shifts in the unemployment rate with productivity slowdowns and accelerations: a co-breaking approach," Kiel Working Papers 1505, Kiel Institute for the World Economy (IfW Kiel).
    13. Kurita, Takamitsu, 2010. "Co-breaking, cointegration, and weak exogeneity: Modelling aggregate consumption in Japan," Economic Modelling, Elsevier, vol. 27(2), pages 574-584, March.
    14. Genaro, SUCARRAT, 2006. "The First Stage in Hendry’s Reduction Theory Revisited," Discussion Papers (ECON - Département des Sciences Economiques) 2006041, Université catholique de Louvain, Département des Sciences Economiques.
    15. Stephen G. Hall & George S. Tavlas & Yongli Wang, 2023. "Forecasting inflation: The use of dynamic factor analysis and nonlinear combinations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(3), pages 514-529, April.
    16. Ahumada, Hildegart A. & Garegnani, Maria Lorena, 2012. "Forecasting a monetary aggregate under instability: Argentina after 2001," International Journal of Forecasting, Elsevier, vol. 28(2), pages 412-427.
    17. Heather M Anderson & Farshid Vahid, 2010. "VARs, Cointegration and Common Cycle Restrictions," Monash Econometrics and Business Statistics Working Papers 14/10, Monash University, Department of Econometrics and Business Statistics.
    18. Burridge, Peter & Iacone, Fabrizio & Lazarová, Štěpána, 2015. "Spatial effects in a common trend model of US city-level CPI," Regional Science and Urban Economics, Elsevier, vol. 54(C), pages 87-98.
    19. 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.
    20. Becker, Janis & Leschinski, Christian & Sibbertsen, Philipp, 2019. "Robust Multivariate Local Whittle Estimation and Spurious Fractional Cointegration," Hannover Economic Papers (HEP) dp-660, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    21. Hendry, David F. & Pretis, Felix, 2023. "Analysing differences between scenarios," International Journal of Forecasting, Elsevier, vol. 39(2), pages 754-771.
    22. Jennifer Castle & David Hendry, 2016. "Policy Analysis, Forediction, and Forecast Failure," Economics Series Working Papers 809, University of Oxford, Department of Economics.
    23. Volz, Ulrich & Reade, J. James, 2011. "Chinese Monetary Policy and the Dollar Peg," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis 48740, Verein für Socialpolitik / German Economic Association.
    24. 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.
    25. Ricardo Bebczuk & Maria Lorena Garegnani, 2012. "Real State as Housing and as Financial Investment: A First Assessment for Argentina," Department of Economics, Working Papers 095, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
    26. Takamitsu Kurita & Bent Nielsen, 2019. "Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms," Econometrics, MDPI, vol. 7(4), pages 1-35, October.
    27. Claudio Morana, 2007. "On the macroeconomic causes of exchange rates volatility," ICER Working Papers 8-2007, ICER - International Centre for Economic Research.
    28. Vassili Bazinas & Bent Nielsen, 2015. "Causal transmission in reduced-form models," Economics Papers 2015-W07, Economics Group, Nuffield College, University of Oxford.
    29. Matthew T. Holt & Timo Teräsvirta, 2017. "Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis," CREATES Research Papers 2017-05, Department of Economics and Business Economics, Aarhus University.
    30. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Business School, revised Sep 2013.
    31. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
    32. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
    33. Takamitsu Kurita & B. Nielsen, 2018. "Partial cointegrated vector autoregressive models with structural breaks in deterministic terms," Economics Papers 2018-W03, Economics Group, Nuffield College, University of Oxford.
    34. Marco Centoni & Gianluca Cubadda, 2015. "Common Feature Analysis of Economic Time Series: An Overview and Recent Developments," CEIS Research Paper 355, Tor Vergata University, CEIS, revised 05 Oct 2015.
    35. 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.
    36. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
    37. Matteo Mogliani & Giovanni Urga & Carlos Winograd, 2009. "Monetary disorder and financial regimes - The demand for money in Argentina, 1900-2006," PSE Working Papers halshs-00575107, HAL.
    38. Takamitsu Kurita, 2019. "A Recursive Monte Carlo Study of Structural-Break Sensitivity of Adjustment Coefficients in Cointegrated VAR Systems," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 251-270, June.
    39. Leandro M. Magnusson & Sophocles Mavroeidis, 2011. "Identification Using Stability Restrictions," Working Papers 1116, Tulane University, Department of Economics.
    40. 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.
    41. Jiménez, Miguel A. & Ramírez, Francisco A., 2015. "Incidencia de los Choques Externos y Domésticos sobre la Dinámica de la Inflación: Evidencia a partir de un VAR Bayesiano [Incidence of External and Domestic Shocks on Inflation Dynamics: Evidence ," MPRA Paper 68334, University Library of Munich, Germany.
    42. Ahlgren, Niklas & Antell, Jan, 2008. "Cobreaking of Stock Prices and Contagion," Working Papers 537, Hanken School of Economics.
    43. Michael P. Clements & David F. Hendry, 2005. "Guest Editors’ Introduction: Information in Economic Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 713-753, December.
    44. 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.
    45. Elbakidze, Levan & Zaynutdinova, Gulnara, 2016. "Substitution in electricity generation: A state level analysis of structural change from hydraulic fracturing technology," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235780, Agricultural and Applied Economics Association.
    46. Ahlgren, Niklas & Antell, Jan, 2010. "Stock market linkages and financial contagion: A cobreaking analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 50(2), pages 157-166, May.
    47. 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.
    48. Terence C. Mills, 2013. "Trends, cycles and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 3, pages 45-60, Edward Elgar Publishing.
    49. Sophie van Huellen & Duo Qin & Shan Lu & Huiwen Wang & Qingchao Wang & Thanos Moraitis, 2019. "Modelling Opportunity Cost Effects in Money Demand due to Openness," Working Papers 225, Department of Economics, SOAS University of London, UK.

  48. Hendry, David F., 2006. "Robustifying forecasts from equilibrium-correction systems," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 399-426.

    Cited by:

    1. Barakchian , Seyed Mahdi, 2012. "Implications of Cointegration for Forecasting: A Review and an Empirical Analysis," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 7(1), pages 87-118, October.
    2. 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.).
    3. 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.
    4. Alfred A. Haug & Christie Smith, 2007. "Local linear impulse responses for a small open economy," Working Papers 0707, University of Otago, Department of Economics, revised Apr 2007.
    5. 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.
    6. Goodness C. Aye & Rangan Gupta & Stephen M. Miller & Mehmet Balcilar, 2014. "Forecasting US Real Private Residential Fixed Investment Using a Large Number of Predictors," Working papers 2014-10, University of Connecticut, Department of Economics.
    7. 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.).
    8. Md Altab Hossin & Shuwen Xiong & David Alemzero & Hermas Abudu, 2023. "Analyzing the Progress of China and the World in Achieving Sustainable Development Goals 7 and 13," Sustainability, MDPI, vol. 15(19), pages 1-16, September.
    9. 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.
    10. Winkelried, Diego, 2012. "Traspaso del tipo de cambio y metas de inflación en el Perú," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 23, pages 9-24.
    11. 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.).
    12. Skriner, Edith, 2007. "Forecasting Global Flows," Economics Series 214, Institute for Advanced Studies.
    13. 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.
    14. Andrew B. Martinez, 2011. "Comparing Government Forecasts of the United States’ Gross Federal Debt," Working Papers 2011-002, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting.
    15. Ron Alquist & Lutz Kilian & Robert Vigfusson, 2011. "Forecasting the Price of Oil," Staff Working Papers 11-15, Bank of Canada.
    16. 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.
    17. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2014. "Forecasting with factor-augmented error correction models," International Journal of Forecasting, Elsevier, vol. 30(3), pages 589-612.
    18. 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.
    19. Diego Winkelried, 2014. "Exchange rate pass-through and inflation targeting in Peru," Empirical Economics, Springer, vol. 46(4), pages 1181-1196, June.
    20. Kapetanios, George & Labhard, Vincent & Price, Simon, 2008. "Forecast combination and the Bank of England's suite of statistical forecasting models," Economic Modelling, Elsevier, vol. 25(4), pages 772-792, July.
    21. 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.
    22. 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.
    23. 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.
    24. Neil R. Ericsson & Steven B. Kamin, 2008. "Constructive data mining: modeling Argentine broad money demand," International Finance Discussion Papers 943, Board of Governors of the Federal Reserve System (U.S.).
    25. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    26. 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.
    27. Jennifer Castle & David Hendry, 2016. "Policy Analysis, Forediction, and Forecast Failure," Economics Series Working Papers 809, University of Oxford, Department of Economics.
    28. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
    29. 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.
    30. 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.
    31. Castle, Jennifer L. & Doornik, Jurgen A. & Hendry, David F., 2024. "Improving models and forecasts after equilibrium-mean shifts," International Journal of Forecasting, Elsevier, vol. 40(3), pages 1085-1100.
    32. Chevillon, Guillaume, 2009. "Multi-step forecasting in emerging economies: An investigation of the South African GDP," International Journal of Forecasting, Elsevier, vol. 25(3), pages 602-628, July.
    33. Robinson Durán & Evelyn Garrido & Carolina Godoy & Juan de Dios Tena, 2012. "Predicción de la inflación en México con modelos desagregados por componente," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 27(1), pages 133-167.
    34. David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
    35. Hilde C. Bjørnland & Karsten Gerdrup & Anne Sofie Jore & Christie Smith & Leif Anders Thorsrud, 2009. "Does forecast combination improve Norges Bank inflation forecasts?," Working Paper 2009/01, Norges Bank.
    36. 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.
    37. Jennifer Castle & David Hendry & Michael P. Clements, 2014. "Robust Approaches to Forecasting," Economics Series Working Papers 697, University of Oxford, Department of Economics.
    38. 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.
    39. Hendry David F & Mizon Grayham E, 2011. "Econometric Modelling of Time Series with Outlying Observations," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-26, February.
    40. Polito, Vito & Wickens, Mike, 2012. "A model-based indicator of the fiscal stance," European Economic Review, Elsevier, vol. 56(3), pages 526-551.
    41. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
    42. 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.
    43. 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.
    44. 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.
    45. 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.
    46. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
    47. 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.
    48. 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.).
    49. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021. "Selecting a Model for Forecasting," Econometrics, MDPI, vol. 9(3), pages 1-35, June.
    50. 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.
    51. Takamitsu Kurita & Mototsugu Shintani, 2023. "Johansen Test with Fourier-Type Smooth Nonlinear Trends in Cointegrating Relations," CIRJE F-Series CIRJE-F-1216, CIRJE, Faculty of Economics, University of Tokyo.
    52. David F. Hendry, 2024. "A Brief History of General‐to‐specific Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 1-20, February.
    53. Guillaume Chevillon, 2006. "Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts," Economics Series Working Papers 257, University of Oxford, Department of Economics.
    54. 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).
    55. Juan de Dios Tena & Antoni Espasa & Gabriel Pino, 2010. "Forecasting Spanish Inflation Using the Maximum Disaggregation Level by Sectors and Geographical Areas," International Regional Science Review, , vol. 33(2), pages 181-204, April.
    56. 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.
    57. Gabriel Pino & J. D. Tena & Antoni Espasa, 2016. "Geographical disaggregation of sectoral inflation. Econometric modelling of the Euro area and Spanish economies," Applied Economics, Taylor & Francis Journals, vol. 48(9), pages 799-815, February.
    58. 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.
    59. 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.
    60. 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.

  49. Hendry, David F., 2006. "A comment on "Specification searches in spatial econometrics: The relevance of Hendry's methodology"," Regional Science and Urban Economics, Elsevier, vol. 36(2), pages 309-312, March.

    Cited by:

    1. Montmartin, B. & Herrera, M. & Massard, N., 2017. "R&D policy regimes in France: New evidence from spatio-temporal analysis," Working Papers 2017-06, Grenoble Applied Economics Laboratory (GAEL).
    2. Montmartin, Benjamin & Herrera, Marcos & Massard, Nadine, 2018. "The impact of the French policy mix on business R&D: How geography matters," Research Policy, Elsevier, vol. 47(10), pages 2010-2027.
    3. Vitor Joao Pereira Domingues Martinho, 2011. "Spatial Autocorrelation and Verdoorn Law in the Portuguese NUTs III," Papers 1110.5578, arXiv.org.
    4. Claudio Djissey Shikida & Leonardo Monteiro Monasterio & Ari Francisco de Araujo Jr. & Andre Carraro & Otávio Menezes Damé, 2009. ""It is the economy, companheiro!": an empirical analysis of Lula's re-election based on municipal data," Economics Bulletin, AccessEcon, vol. 29(2), pages 976-991.
    5. Philip Kostov, 2010. "Model Boosting for Spatial Weighting Matrix Selection in Spatial Lag Models," Environment and Planning B, , vol. 37(3), pages 533-549, June.
    6. Pedro Amaral & Luc Anselin & Daniel Arribas-Bel, 2013. "Testing for spatial error dependence in probit models," Letters in Spatial and Resource Sciences, Springer, vol. 6(2), pages 91-101, July.
    7. Benjamin Montmartin & Marcos Herrera & Nadine Massard, 2015. "R&D Policies in France: New Evidence from a NUTS3 Spatial Analysis," GREDEG Working Papers 2015-26, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), Université Côte d'Azur, France.
    8. Torben Klarl, 2009. "Modelling the folk theorem of spatial economics: a heterogeneous regional growth model," Discussion Paper Series 305, Universitaet Augsburg, Institute for Economics.
    9. Pedro V. Amaral & Luc Anselin, 2014. "Finite sample properties of Moran's I test for spatial autocorrelation in tobit models," Papers in Regional Science, Wiley Blackwell, vol. 93(4), pages 773-781, November.

  50. Carlos Santos & David Hendry, 2006. "Saturation in Autoregressive Models," Notas Económicas, Faculty of Economics, University of Coimbra, issue 24, pages 8-19, December.

    Cited by:

    1. Carlos Santos & Maria Alberta Oliveira, 2007. "Assessing French Inflation Persistence with Impulse Saturation Break Tests and Automatic General-to-Specific Modelling," Working Papers de Economia (Economics Working Papers) 10, Católica Porto Business School, Universidade Católica Portuguesa.
    2. Igor Pelipas, 2012. "Multiple Structural Breaks and Inflation Persistance in Belarus," BEROC Working Paper Series 21, Belarusian Economic Research and Outreach Center (BEROC).
    3. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
    4. Santos, Carlos, 2008. "Impulse saturation break tests," Economics Letters, Elsevier, vol. 98(2), pages 136-143, February.
    5. 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.

  51. Michael P. Clements & David F. Hendry, 2005. "Evaluating a Model by Forecast Performance," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 931-956, December.

    Cited by:

    1. Bloom, David E. & Canning, David & Fink, Gunther & Finlay, Jocelyn E., 2007. "Does age structure forecast economic growth?," International Journal of Forecasting, Elsevier, vol. 23(4), pages 569-585.
    2. 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.
    3. 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.
    4. Bauwens, Luc & Sucarrat, Genaro, 2010. "General-to-specific modelling of exchange rate volatility: A forecast evaluation," International Journal of Forecasting, Elsevier, vol. 26(4), pages 885-907, October.
    5. Cepni, Oguzhan & Clements, Michael P., 2024. "How local is the local inflation factor? Evidence from emerging European countries," International Journal of Forecasting, Elsevier, vol. 40(1), pages 160-183.
    6. 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.
    7. Minford, Patrick & Zhou, Peng & Xu, Yongdeng, 2014. "How good are out of sample forecasting Tests on DSGE models?," CEPR Discussion Papers 10239, C.E.P.R. Discussion Papers.
    8. 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.
    9. Stekler, H.O., 2007. "The future of macroeconomic forecasting: Understanding the forecasting process," International Journal of Forecasting, Elsevier, vol. 23(2), pages 237-248.
    10. Odeck, James & Welde, Morten, 2017. "The accuracy of toll road traffic forecasts: An econometric evaluation," Transportation Research Part A: Policy and Practice, Elsevier, vol. 101(C), pages 73-85.
    11. Michael Funke & Hao Yu & Aaron Mehrota, 2011. "Tracking Chinese CPI inflation in real time," Quantitative Macroeconomics Working Papers 21112, Hamburg University, Department of Economics.
    12. Clements, Michael P. & Galvão, Ana Beatriz, 2017. "Model and survey estimates of the term structure of US macroeconomic uncertainty," International Journal of Forecasting, Elsevier, vol. 33(3), pages 591-604.

  52. David F. Hendry & Carlos Santos, 2005. "Regression Models with Data‐based Indicator Variables," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(5), pages 571-595, October.
    See citations under working paper version above.
  53. David F. Hendry & Hans-Martin Krolzig, 2005. "The Properties of Automatic "GETS" Modelling," Economic Journal, Royal Economic Society, vol. 115(502), pages 32-61, March.
    See citations under working paper version above.
  54. Chevillon, Guillaume & Hendry, David F., 2005. "Non-parametric direct multi-step estimation for forecasting economic processes," International Journal of Forecasting, Elsevier, vol. 21(2), pages 201-218.
    See citations under working paper version above.
  55. Michael P. Clements & David F. Hendry, 2005. "Guest Editors’ Introduction: Information in Economic Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 713-753, December.

    Cited by:

    1. Nilss Olekalns & Kalvinder Shields, 2008. "Nowcasting, Business Cycle Dating and the Interpretation of New Information when Real Time Data are Available," Department of Economics - Working Papers Series 1040, The University of Melbourne.
    2. Janke, Katharina & Lee, Kevin & Propper, Carol & Shields, Kalvinder & Shields, Michael A., 2020. "Macroeconomic Conditions and Health in Britain: Aggregation, Dynamics and Local Area Heterogeneity," IZA Discussion Papers 13091, Institute of Labor Economics (IZA).
    3. 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.).
    4. 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.
    5. Guillaume Chevillon, 2007. "Direct Multi‐Step Estimation And Forecasting," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 746-785, September.
    6. Chrystalleni Aristidou & Kevin Lee & Kalvinder Shields, 2015. "Real-Time Data should be used in Forecasting Output Growth and Recessionary Events in the US," Discussion Papers 2015/13, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    7. Ahumada, Hildegart A. & Garegnani, Maria Lorena, 2012. "Forecasting a monetary aggregate under instability: Argentina after 2001," International Journal of Forecasting, Elsevier, vol. 28(2), pages 412-427.
    8. 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.
    9. Janke, Katharina & Lee, Kevin & Propper, Carol & Shields, Kalvinder & Shields, Michael A., 2023. "Economic conditions and health: Local effects, national effect and local area heterogeneity," Journal of Economic Behavior & Organization, Elsevier, vol. 214(C), pages 801-828.
    10. 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.
    11. 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.
    12. 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.
    13. Georgios Papadopoulos & Dionysios Chionis & Nikolaos P. Rachaniotis, 2018. "Macro-financial linkages during tranquil and crisis periods: evidence from stressed economies," Risk Management, Palgrave Macmillan, vol. 20(2), pages 142-166, May.
    14. 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.

  56. Granger, Clive W.J. & Hendry, David F., 2005. "A Dialogue Concerning A New Instrument For Econometric Modeling," Econometric Theory, Cambridge University Press, vol. 21(1), pages 278-297, February.

    Cited by:

    1. Jane E. Ihrig & Mario Marazzi & Alexander D. Rothenberg, 2006. "Exchange-rate pass-through in the G-7 countries," International Finance Discussion Papers 851, Board of Governors of the Federal Reserve System (U.S.).
    2. Pesaran, M.H. & Timmermann, A., 2004. "‘Real Time Econometrics’," Cambridge Working Papers in Economics 0432, Faculty of Economics, University of Cambridge.
    3. Hansen, Bruce E., 2005. "Challenges For Econometric Model Selection," Econometric Theory, Cambridge University Press, vol. 21(1), pages 60-68, February.
    4. Ulaşan, Bülent, 2011. "Cross-country growth empirics and model uncertainty: An overview," Economics Discussion Papers 2011-37, Kiel Institute for the World Economy (IfW Kiel).
    5. 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.
    6. Hassler, Uwe, 2010. "Testing regression coefficients after model selection through sign restrictions," Economics Letters, Elsevier, vol. 107(2), pages 220-223, May.
    7. Marquez, Jaime, 2006. "Estimating elasticities for U.S. trade in services," Economic Modelling, Elsevier, vol. 23(2), pages 276-307, March.
    8. David F. Hendry & Søren Johansen & Carlos Santos, 2007. "Selecting a Regression Saturated by Indicators," Discussion Papers 07-26, University of Copenhagen. Department of Economics.
    9. Marcin Blazejowski & Pawel Kufel & Tadeusz Kufel, 2009. "Automatic Procedure of Building Congruent Dynamic Model in Gretl," EHUCHAPS, in: Ignacio Díaz-Emparanza & Petr Mariel & María Victoria Esteban (ed.), Econometrics with gretl. Proceedings of the gretl Conference 2009, edition 1, chapter 5, pages 75-89, Universidad del País Vasco - Facultad de Ciencias Económicas y Empresariales.
    10. Sean Fahle & Jaime R. Marquez & Charles P. Thomas, 2008. "Measuring U.S. international relative prices: a WARP view of the world," International Finance Discussion Papers 917, Board of Governors of the Federal Reserve System (U.S.).
    11. Ulaşan, Bülent, 2012. "Cross-country growth empirics and model uncertainty: An overview," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 6, pages 1-69.
    12. Jaime R. Marquez, 2005. "Estimating elasticities for U.S. trade in services," International Finance Discussion Papers 836, Board of Governors of the Federal Reserve System (U.S.).

  57. David F. Hendry, 2004. "The Nobel Memorial Prize for Clive W. J. Granger," Scandinavian Journal of Economics, Wiley Blackwell, vol. 106(2), pages 187-213, June.

    Cited by:

    1. Peter Hans Matthews, 2004. "Paradise Lost and Found? The Econometric Contributions of Clive W.J. Granger and Robert F. Engle," Middlebury College Working Paper Series 0416, Middlebury College, Department of Economics.
    2. 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.).
    3. 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.).
    4. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    5. Massimo Franchi & Paolo Paruolo, 2019. "A general inversion theorem for cointegration," Econometric Reviews, Taylor & Francis Journals, vol. 38(10), pages 1176-1201, November.
    6. 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.
    7. James Davidson, 2013. "Cointegration and error correction," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 7, pages 165-188, Edward Elgar Publishing.
    8. David F. Hendry, 2024. "A Brief History of General‐to‐specific Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 1-20, February.

  58. David F. Hendry & Michael P. Clements, 2004. "Pooling of forecasts," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 1-31, June.
    See citations under working paper version above.
  59. 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.
    See citations under working paper version above.
  60. Hendry, David F., 2003. "J. Denis Sargan And The Origins Of Lse Econometric Methodology," Econometric Theory, Cambridge University Press, vol. 19(3), pages 457-480, June.

    Cited by:

    1. Aris Spanos, 2018. "Mis†Specification Testing In Retrospect," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 541-577, April.
    2. Bauwens, Luc & Sucarrat, Genaro, 2010. "General-to-specific modelling of exchange rate volatility: A forecast evaluation," International Journal of Forecasting, Elsevier, vol. 26(4), pages 885-907, October.
    3. 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.
    4. Sucarrat, Genaro, 2009. "Econometric reduction theory and philosophy," UC3M Working papers. Economics we091005, Universidad Carlos III de Madrid. Departamento de Economía.
    5. David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
    6. David F. Hendry & Peter C.B. Phillips, 2017. "John Denis Sargan at the London School of Economics," Cowles Foundation Discussion Papers 2082, Cowles Foundation for Research in Economics, Yale University.
    7. Jennifer L. Castle & David F. Hendry, 2024. "What a Puzzle! Unravelling Why UK Phillips Curves were Unstable," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(4), pages 743-760, August.
    8. Dalano DaSouza & Mahalia Jackman, 2024. "Estimating the Impact of Education on Growth in a Small Data-Poor Country: the Case of Saint Vincent and the Grenadines," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 15(3), pages 13449-13469, September.
    9. Anya McGuirk & Aris Spanos, 2009. "Revisiting Error‐Autocorrelation Correction: Common Factor Restrictions and Granger Non‐Causality," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(2), pages 273-294, April.
    10. Qin, Duo, 2015. "Resurgence of the endogeneity-backed instrumental variable methods," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 9, pages 1-35.
    11. David F. Hendry, 2024. "A Brief History of General‐to‐specific Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 1-20, February.
    12. 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.
    13. Peter C.B. Phillips, 2003. "Vision and Influence in Econometrics: John Denis Sargan," Cowles Foundation Discussion Papers 1393, Cowles Foundation for Research in Economics, Yale University.
    14. Duo Qin, 2010. "Modelling of the Inflation-Unemployment Tradeoff from the Perspective of the History of Econometrics," Working Papers 661, Queen Mary University of London, School of Economics and Finance.
    15. Rahmanov, Ramiz, 2014. "A Historical Sketch of Macroeconometrics," MPRA Paper 56869, University Library of Munich, Germany.
    16. Spanos, Aris, 2008. "The 'Pre-Eminence of Theory' versus the 'General-to-Specific' Cointegrated VAR Perspectives in Macro-Econometric Modeling," Economics Discussion Papers 2008-25, Kiel Institute for the World Economy (IfW Kiel).
    17. Hoang‐Phuong Do & Aris Spanos, 2024. "Revisiting the Phillips Curve: The Empirical Relationship Yet to be Validated," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(4), pages 761-793, August.
    18. Duo Qin & Yanqun Zhang, 2013. "A History of Polyvalent Structural Parameters: the Case of Instrument Variable Estimators," Working Papers 183, Department of Economics, SOAS University of London, UK.
    19. Qin, Duo, 2014. "Resurgence of instrument variable estimation and fallacy of endogeneity," Economics Discussion Papers 2014-42, Kiel Institute for the World Economy (IfW Kiel).

  61. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    See citations under working paper version above.
  62. Julia Campos & David F. Hendry & Hans‐Martin Krolzig, 2003. "Consistent Model Selection by an Automatic Gets Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 803-819, December.

    Cited by:

    1. Steven Lehrer & Tian Xie, 2020. "The Bigger Picture: Combining Econometrics with Analytics Improve Forecasts of Movie Success," Working Paper 1449, Economics Department, Queen's University.
    2. Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010. "Evaluating Automatic Model Selection," Economics Series Working Papers 474, University of Oxford, Department of Economics.
    3. Carlos Santos & Maria Alberta Oliveira, 2007. "Assessing French Inflation Persistence with Impulse Saturation Break Tests and Automatic General-to-Specific Modelling," Working Papers de Economia (Economics Working Papers) 10, Católica Porto Business School, Universidade Católica Portuguesa.
    4. 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).
    5. J. James Reade & Carl Singleton & Alasdair Brown, 2019. "Evaluating Strange Forecasts: The Curious Case of Football Match Scorelines," Economics Discussion Papers em-dp2019-18, Department of Economics, University of Reading, revised 01 Aug 2020.
    6. 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," Post-Print halshs-00917797, HAL.
    7. 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.
    8. David F. Hendry & Hans-Martin Krolzig, 2004. "We Ran One Regression," Economics Papers 2004-W17, Economics Group, Nuffield College, University of Oxford.
    9. Clements, Michael P. & Galvao, Ana Beatriz, 2006. "Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US output growth and inflation," Economic Research Papers 269743, University of Warwick - Department of Economics.
    10. Hoerova, Marie & Bekaert, Geert, 2014. "The VIX, the variance premium and stock market volatility," Working Paper Series 1675, European Central Bank.
    11. 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.
    12. 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.
    13. David F. Hendry & Søren Johansen & Carlos Santos, 2007. "Selecting a Regression Saturated by Indicators," Discussion Papers 07-26, University of Copenhagen. Department of Economics.
    14. Costantini, Mauro & Kunst, Robert M., 2011. "On the Usefulness of the Diebold-Mariano Test in the Selection of Prediction Models," Economics Series 276, Institute for Advanced Studies.
    15. Reade, J. James & Volz, Ulrich, 2011. "Leader of the pack? German monetary dominance in Europe prior to EMU," Economic Modelling, Elsevier, vol. 28(1-2), pages 239-250, January.
    16. Rodriguez, Abel & Puggioni, Gavino, 2010. "Mixed frequency models: Bayesian approaches to estimation and prediction," International Journal of Forecasting, Elsevier, vol. 26(2), pages 293-311, April.
    17. J. James Reade & Carl Singleton & Leighton Vaughan Williams, 2020. "Betting markets for English Premier League results and scorelines: evaluating a forecasting model," Economics Discussion Papers em-dp2020-03, Department of Economics, University of Reading.
    18. 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.
    19. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
    20. Xie, Tian, 2017. "Heteroscedasticity-robust model screening: A useful toolkit for model averaging in big data analytics," Economics Letters, Elsevier, vol. 151(C), pages 119-122.
    21. João Sousa Andrade & Adelaide Duarte & Marta Simões, 2011. "Inequality and Growth in Portugal: a time series analysis," GEMF Working Papers 2011-11, GEMF, Faculty of Economics, University of Coimbra.
    22. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
    23. David Hendry & Søren Johansen & Carlos Santos, 2008. "Automatic selection of indicators in a fully saturated regression," Computational Statistics, Springer, vol. 23(2), pages 337-339, April.
    24. 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.
    25. Reinhold Heinlein & Hans-Martin Krolzig, 2013. "Monetary Policy and Exchange Rates: A Balanced Two-Country Cointegrated VAR Model Approach," Studies in Economics 1321, School of Economics, University of Kent.
    26. Steven Lehrer & Tian Xie, 2016. "Box Office Buzz: Does Social Media Data Steal the Show from Model Uncertainty When Forecasting for Hollywood?," NBER Working Papers 22959, National Bureau of Economic Research, Inc.
    27. 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.
    28. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2021. "Selecting a Model for Forecasting," Econometrics, MDPI, vol. 9(3), pages 1-35, June.
    29. SANTOS, Carlos & OLIVEIRA, Maria Alberta, 2007. "Modelling The German Yield Curve And Testing The Lucas Critique, 1975-2001," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(1).
    30. David F. Hendry, 2024. "A Brief History of General‐to‐specific Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 1-20, February.
    31. Dalibor Roháč, 2012. "On economists and garbagemen: Reflections on Šťastný (2010)," The Review of Austrian Economics, Springer;Society for the Development of Austrian Economics, vol. 25(2), pages 173-183, June.
    32. Khan, Muhammad Arshad, 2015. "Modelling and forecasting the demand for natural gas in Pakistan," Renewable and Sustainable Energy Reviews, Elsevier, vol. 49(C), pages 1145-1159.
    33. Peter Winker & Dietmar Maringer, 2004. "Optimal Lag Structure Selection in VEC-Models," Contributions to Economic Analysis, in: New Directions in Macromodelling, pages 213-234, Emerald Group Publishing Limited.
    34. Reinhold Heinlein & Hans-Martin Krolzig, 2011. "Effects of monetary policy on the $/£ exchange rate. Is there a 'delayed overshooting puzzle'?," Studies in Economics 1124, School of Economics, University of Kent.
    35. 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.
    36. Eduardo Acosta-González & Fernando Fernández-Rodríguez, 2007. "Model selection via genetic algorithms illustrated with cross-country growth data," Empirical Economics, Springer, vol. 33(2), pages 313-337, September.
    37. Kirstin Hubrich & David F. Hendry, 2005. "Forecasting Aggregates by Disaggregates," Computing in Economics and Finance 2005 270, Society for Computational Economics.
    38. Heinlein, Reinhold & Krolzig, Hans-Martin, 2012. "On the construction of two-country cointegrated VAR models with an application to the UK and US," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62310, Verein für Socialpolitik / German Economic Association.

  63. Michael P. Clements & David F. Hendry, 2002. "Modelling methodology and forecast failure," Econometrics Journal, Royal Economic Society, vol. 5(2), pages 319-344, June.

    Cited by:

    1. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    2. Timmermann, Allan & Elliott, Graham, 2007. "Economic Forecasting," CEPR Discussion Papers 6158, C.E.P.R. Discussion Papers.
    3. Norman Swanson & Oleg Korenok, 2006. "The Incremental Predictive Information Associated with Using Theoretical New Keynesian DSGE Models Versus Simple Linear Alternatives," Departmental Working Papers 200615, Rutgers University, Department of Economics.
    4. Hubrich, Kirstin, 2005. "Forecasting euro area inflation: Does aggregating forecasts by HICP component improve forecast accuracy?," International Journal of Forecasting, Elsevier, vol. 21(1), pages 119-136.
    5. Janine Aron & John Muellbauer, 2013. "New Methods for Forecasting Inflation, Applied to the US," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 75(5), pages 637-661, October.
    6. David Hendry & Maozu Lu & Grayham E. Mizon, 2001. "Model Identification and Non-unique Structure," Economics Papers 2002-W10, Economics Group, Nuffield College, University of Oxford.
    7. Janine Aron & John Muellbauer & Rachel Sebudde, 2015. "Inflation forecasting models for Uganda: is mobile money relevant?," CSAE Working Paper Series 2015-17, Centre for the Study of African Economies, University of Oxford.
    8. Valentina Corradi & Norman Swanson, 2013. "Testing for Structural Stability of Factor Augmented Forecasting Models," Departmental Working Papers 201314, Rutgers University, Department of Economics.
    9. Heather M Anderson & Farshid Vahid, 2010. "VARs, Cointegration and Common Cycle Restrictions," Monash Econometrics and Business Statistics Working Papers 14/10, Monash University, Department of Econometrics and Business Statistics.
    10. Clements, M.P. & Franses, Ph.H.B.F. & Smith, J., 1999. "On SETAR non- linearity and forecasting," Econometric Institute Research Papers EI 9914-/A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    11. Janine Aron & John Muellbauer, 2008. "New methods for forecasting inflation and its sub-components: application to the USA," Economics Series Working Papers 406, University of Oxford, Department of Economics.
    12. Muellbauer, John & Aron, Janine, 2009. "Some Issues in Modeling and Forecasting Inflation in South Africa," CEPR Discussion Papers 7183, C.E.P.R. Discussion Papers.
    13. Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502.
    14. Cesar Carrera & Alan Ledesma, 2015. "Aggregate Inflation Forecast with Bayesian Vector Autoregressive Models," Working Papers 50, Peruvian Economic Association.
    15. Roberto Golinelli & Giuseppe Parigi, 2003. "What is this thing called confidence? A comparative analysis of consumer confidence indices in eight major countries," Temi di discussione (Economic working papers) 484, Bank of Italy, Economic Research and International Relations Area.
    16. Qin, Duo & Cagas, Marie Anne & Ducanes, Geoffrey & Magtibay-Ramos, Nedelyn & Quising, Pilipinas, 2008. "Automatic leading indicators versus macroeconometric structural models: A comparison of inflation and GDP growth forecasting," International Journal of Forecasting, Elsevier, vol. 24(3), pages 399-413.
    17. 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).
    18. WAN, Shui-Ki & WANG, Shin-Huei & WOO, Chi-Keung, 2012. "Total tourist arrival forecast: aggregation vs. disaggregation," LIDAM Discussion Papers CORE 2012039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    19. Lombardi, Marco J. & Maier, Philipp, 2011. "Forecasting economic growth in the euro area during the Great Moderation and the Great Recession," Working Paper Series 1379, European Central Bank.
    20. Tannura, Michael A. & Irwin, Scott H. & Good, Darrel L., 2008. "Weather, Technology, and Corn and Soybean Yields in the U.S. Corn Belt," Marketing and Outlook Research Reports 37501, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
    21. Aron, Janine & Muellbauer, John, 2012. "Improving forecasting in an emerging economy, South Africa: Changing trends, long run restrictions and disaggregation," International Journal of Forecasting, Elsevier, vol. 28(2), pages 456-476.
    22. Carrera, Cesar & Ledesma, Alan, 2015. "Proyección de la inflación agregada con modelos de vectores autorregresivos bayesianos," Working Papers 2015-003, Banco Central de Reserva del Perú.
    23. Nymoen, Ragnar, 2005. "Evaluating a Central Bank’s Recent Forecast Failure," Memorandum 22/2005, Oslo University, Department of Economics.
    24. Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas Quising, 2007. "Automatic Leading Indicators (ALIs) versus Macro Econometric Structural Models (MESMs): Comparison of Inflation and GDP growth Forecasting," EcoMod2007 23900072, EcoMod.
    25. G. Solomon Osho, 2019. "A General Framework for Time Series Forecasting Model Using Autoregressive Integrated Moving Average-ARIMA and Transfer Functions," International Journal of Statistics and Probability, Canadian Center of Science and Education, vol. 8(6), pages 1-23, November.
    26. 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.
    27. Salisu, Afees A. & Vo, Xuan Vinh, 2020. "Predicting stock returns in the presence of COVID-19 pandemic: The role of health news," International Review of Financial Analysis, Elsevier, vol. 71(C).
    28. Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas Quising, 2006. "Forecasting Inflation and GDP growth: Comparison of Automatic Leading Indicator (ALI) Method with Macro Econometric Structural Models (MESMs)," Working Papers 554, Queen Mary University of London, School of Economics and Finance.
    29. Rishabh Choudhary & Chetan Ghate & Md Arbaj Meman, 2023. "Forecasting Core Inflation in India: A Four-Step Approach," IEG Working Papers 461, Institute of Economic Growth.
    30. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.

  64. David F. Hendry, 2002. "Forecast Failure, Expectations Formation and the Lucas Critique," Annals of Economics and Statistics, GENES, issue 67-68, pages 21-40.
    See citations under working paper version above.
  65. David F. Hendry, 2002. "Applied Econometrics without Sinning," Journal of Economic Surveys, Wiley Blackwell, vol. 16(4), pages 591-604, September.

    Cited by:

    1. Ducanes, Geoffrey & Cagas, Marie Anne & Qin, Duo & Quising, Pilipinas & Magtibay-Ramos, Nedelyn, 2005. "A Small Macroeconometric Model of the Philippine Economy," ADB Economics Working Paper Series 62, Asian Development Bank.
    2. Christopher L. Gilbert & Duo Qin, 2005. "The First Fifty Years of Modern Econometrics," Working Papers 544, Queen Mary University of London, School of Economics and Finance.
    3. Qin, Duo & Cagas, Marie Anne & Ducanes, Geoffrey & Magtibay-Ramos, Nedelyn & Quising, Pilipinas, 2006. "Empirical assessment of sustainability and feasibility of government debt: The Philippines case," Journal of Asian Economics, Elsevier, vol. 17(1), pages 63-84, February.
    4. Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502.
    5. Constantin ANGHELACHE & Ioan PARTACHI & Madalina – Gabriela Anghel & Cristina SACALA & Andreea Ioana MARINESCU, 2016. "Statistical-econometric Model for dispersion Analysis," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(5), pages 94-102, May.
    6. Madalina-Gabriela ANGHEL & Aurelian DIACONU, 2016. "Equilibrium and auto regression models used for macroeconomic prognosis," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(7), pages 70-78, July.

  66. David F. Hendry & M. Hashem Pesaran, 2001. "A special issue in memory of John Denis Sargan: studies in empirical macroeconometrics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 197-202.

    Cited by:

    1. 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.).
    2. Ansgar Belke & Robert Czudaj, 2010. "Is Euro Area Money Demand (Still) Stable?: Cointegrated VAR versus Single Equation Techniques," Discussion Papers of DIW Berlin 982, DIW Berlin, German Institute for Economic Research.
    3. David F. Hendry & Peter C.B. Phillips, 2017. "John Denis Sargan at the London School of Economics," Cowles Foundation Discussion Papers 2082, Cowles Foundation for Research in Economics, Yale University.
    4. T. P. Sinha, 2022. "A Macro-Econometric VAR Model of India Incorporating Black Income," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 20(3), pages 629-660, September.
    5. Yasin Yılmaz & Abdullah Miraç Bükey, 2021. "Ekonomik Büyüme ve Enflasyonist Baskının Grevlere Etkisi: Türkiye Örneği," Journal of Social Policy Conferences, Istanbul University, Faculty of Economics, vol. 0(80), pages 365-402, June.
    6. Ooms, M., 2008. "Trends in Applied Econometrics Software Development 1985-2008, an analysis of Journal of Applied Econometrics research articles, software reviews, data and code," Serie Research Memoranda 0021, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    7. Tsermenidis, Konstantinos, 2014. "Προσδιοριστικοί Παράγοντες Της Εθνικής Αποταμίευσης Κατά Την Περίοδο 1990-2010 Και Μέτρα Ενίσχυσης Της Οικονομικής Ανάπτυξης [The Determinants of National Savings in Greece during the period 1990-2," MPRA Paper 56773, University Library of Munich, Germany.
    8. Abdul Hadi Sultani & U. Faisal, 2024. "Exploring the dynamics of the balance of payments problems: the case of Afghanistan," International Economics and Economic Policy, Springer, vol. 21(3), pages 569-592, July.

  67. Clements, Michael P. & Hendry, David F., 2001. "An Historical Perspective on Forecast Errors," National Institute Economic Review, National Institute of Economic and Social Research, vol. 177, pages 100-112, July.

    Cited by:

    1. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    2. Ilhan Kilic & Faruk Balli, 2024. "Measuring economic country-specific uncertainty in Türkiye," Empirical Economics, Springer, vol. 67(4), pages 1649-1689, October.
    3. David Hendry & Grayham E. Mizon, 2001. "Forecasting in the Presence of Structural Breaks and Policy Regime Shifts," Economics Papers 2002-W12, Economics Group, Nuffield College, University of Oxford.
    4. 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.
    5. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.

  68. Michael P. Clements & David F.Hendry, 2001. "Forecasting with difference-stationary and trend-stationary models," Econometrics Journal, Royal Economic Society, vol. 4(1), pages 1-19.
    See citations under working paper version above.
  69. Hendry, David F., 2001. "Achievements and challenges in econometric methodology," Journal of Econometrics, Elsevier, vol. 100(1), pages 7-10, January.

    Cited by:

    1. Ana Jordânia De Oliveira & Gabriel Caldas Montes & Rodolfo Nicolay, 2018. "Fiscal Credibility And Central Bank Credibility: How Do We Build Them? Empirical Evidence From Brazil," Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting] 43, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    2. Marc Simpson & Jose Moreno & Teofilo Ozuna, 2012. "The makings of an information leader: the intraday price discovery process for individual stocks in the DJIA," Review of Quantitative Finance and Accounting, Springer, vol. 38(3), pages 347-365, April.
    3. Danilov, D.L. & Magnus, J.R., 2001. "On the Harm that Pretesting Does," Discussion Paper 2001-37, Tilburg University, Center for Economic Research.
    4. G. C. Montes & L. V. Oliveira & A. Curi & R. T. F. Nicolay, 2016. "Effects of transparency, monetary policy signalling and clarity of central bank communication on disagreement about inflation expectations," Applied Economics, Taylor & Francis Journals, vol. 48(7), pages 590-607, February.
    5. Gabriel Caldas Montes & Iven Silva Valpassos, 2018. "Discretionary fiscal policy and sovereign risk," Economics Bulletin, AccessEcon, vol. 38(3), pages 1343-1365.
    6. Gabriel Caldas Montes & Rodolfo Tomás da Fonseca Nicolay, 2015. "Central bank’s perception on inflation and inflation expectations of experts," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 42(6), pages 1142-1158, November.
    7. Danilov, Dmitry & Magnus, J.R.Jan R., 2004. "On the harm that ignoring pretesting can cause," Journal of Econometrics, Elsevier, vol. 122(1), pages 27-46, September.
    8. Axel Grossmann & Gökçe Soydemir, 2006. "The impact of productivity adjusted deviations from PPP on the U.S. inbound FDI: Evidence from Japan, U.K. and Germany," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 30(2), pages 140-154, June.
    9. Montes, Gabriel Caldas & Souza, Ivan, 2020. "Sovereign default risk, debt uncertainty and fiscal credibility: The case of Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    10. Caldas Montes, Gabriel & Ferrari Ferreira, Caio, 2019. "Effect of monetary policy credibility on the fear of floating: Evidence from Brazil," Journal of Policy Modeling, Elsevier, vol. 41(5), pages 981-1004.
    11. Grossmann, Axel & Simpson, Marc W. & Brown, Cynthia J., 2009. "The impact of deviation from relative purchasing power parity equilibrium on U.S. foreign direct investment," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(2), pages 521-550, May.
    12. Addison, Douglas M., 2003. "Productivity growth and product variety : gains from imitation and education," Policy Research Working Paper Series 3023, The World Bank.
    13. Montes, Gabriel Caldas & Nicolay, Rodolfo Tomás da Fonseca & Acar, Tatiana, 2019. "Do fiscal communication and clarity of fiscal announcements affect public debt uncertainty? Evidence from Brazil," Journal of Economics and Business, Elsevier, vol. 103(C), pages 38-60.
    14. Gabriel Caldas Montes & Paulo henrique Luna, 2021. "Effects of discretionary fiscal policy and fiscal communication on fiscal credibility: Empirical evidence from Brazil," Economics Bulletin, AccessEcon, vol. 41(3), pages 1486-1500.
    15. Roberto Meurer & Hoyêdo Nunes Lins, 2018. "The effects of the 2014 World Cup and the 2016 Olympic Games on Brazilian international travel receipts," Tourism Economics, , vol. 24(4), pages 486-491, June.
    16. André Filipe Guedes Almeida & Gabriel Caldas Montes, 2020. "Effects of crime and violence on business confidence: evidence from Rio de Janeiro," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 47(7), pages 1669-1688, May.
    17. Peter C.B. Phillips, 2003. "Vision and Influence in Econometrics: John Denis Sargan," Cowles Foundation Discussion Papers 1393, Cowles Foundation for Research in Economics, Yale University.
    18. Montes, Gabriel Caldas & Almeida, André Filipe Guedes, 2016. "Compromisso fiscal, expectativas empresariais e produção industrial: o caso brasileiro," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 70(2), July.
    19. Gabriel Caldas Montes & José Américo Pereira Antunes & Alexei Ferreira Araújo, 2021. "Effects of monetary policy and credibility on financial intermediation: evidence from the Brazilian banking sector," Empirical Economics, Springer, vol. 60(3), pages 1191-1219, March.
    20. Tao Sun, 2004. "Forecasting Thailand’s Core Inflation," IMF Working Papers 2004/090, International Monetary Fund.
    21. Roberto Meurer, 2011. "Measuring the impact of financial flows on macroeconomic variables: the case of Brazil after the 2008 crisis," Working Papers 0117, Universidade Federal do Paraná, Department of Economics.

  70. Beyer, Andreas & Doornik, Jurgen A & Hendry, David F, 2001. "Constructing Historical Euro-Zone Data," Economic Journal, Royal Economic Society, vol. 111(469), pages 102-121, February.
    See citations under working paper version above.
  71. Krolzig, Hans-Martin & Hendry, David F., 2001. "Computer automation of general-to-specific model selection procedures," Journal of Economic Dynamics and Control, Elsevier, vol. 25(6-7), pages 831-866, June.
    See citations under working paper version above.
  72. David F. Hendry, 2001. "Modelling UK inflation, 1875-1991," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 255-275.

    Cited by:

    1. 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.
    2. Eilev S. Jansen, 2004. "Modelling inflation in the Euro Area," Working Paper 2004/10, Norges Bank.
    3. 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).
    4. Michael Arghyrou & Christopher Martin & Costas Milas, 2005. "Non-linear inflationary dynamics: evidence from the UK," Oxford Economic Papers, Oxford University Press, vol. 57(1), pages 51-69, January.
    5. 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.
    6. 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.
    7. Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2010. "EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?," CESifo Working Paper Series 3074, CESifo.
    8. 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.
    9. Juan de Dios TENA & Antoni ESPASA & Gabriel PINO, 2010. "Forecasting Inflation and Relative Prices in the European Regions: A Case Study," Regional and Urban Modeling 284100040, EcoMod.
    10. Marcin Błażejowski & Paweł Kufel & Jacek Kwiatkowski, 2020. "Model simplification and variable selection: A replication of the UK inflation model by Hendry (2001)," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(5), pages 645-652, August.
    11. Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2009. "Rating Assignments: Lessons from International Banks," CESifo Working Paper Series 2618, CESifo.
    12. 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.
    13. 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.
    14. Cogley, Timothy & Sargent, Thomas J. & Surico, Paolo, 2015. "Price-level uncertainty and instability in the United Kingdom," Journal of Economic Dynamics and Control, Elsevier, vol. 52(C), pages 1-16.
    15. Ellington, Michael & Milas, Costas, 2019. "Global liquidity, money growth and UK inflation," Journal of Financial Stability, Elsevier, vol. 42(C), pages 67-74.
    16. Mark F. J. Steel, 2020. "Model Averaging and Its Use in Economics," Journal of Economic Literature, American Economic Association, vol. 58(3), pages 644-719, September.
    17. Yunus Aksoy & Miguel León-Ledesma, 2004. "Interest Rates and Output in the Long-run," Studies in Economics 0409, School of Economics, University of Kent.
    18. 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.
    19. Johannes Fedderke & Yang Liu, 2018. "Inflation in South Africa: An Assessment of Alternative Inflation Models," South African Journal of Economics, Economic Society of South Africa, vol. 86(2), pages 197-230, June.
    20. Bowdler, Christopher & Jansen, Eilev S., 2004. "A markup model of inflation for the euro area," Working Paper Series 306, European Central Bank.
    21. Sule Akkoyunlu & Boriss Siliverstovs, 2014. "Does the law of one price hold in a high-inflation environment? A tale of two cities in Turkey," Applied Economics, Taylor & Francis Journals, vol. 46(26), pages 3236-3245, September.
    22. Garcés Díaz, Daniel Guillermo, 2008. "Efectos de los cambios de la política monetaria en las dinámicas del tipo de cambio, el dinero y los precios en México (1945-2000)," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(299), pages 683-713, julio-sep.
    23. 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.
    24. Carlisle E. Moody & Thomas B. Marvell, 2010. "On the Choice of Control Variables in the Crime Equation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 72(5), pages 696-715, October.
    25. Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502.
    26. Tim Bulman & John Simon, 2003. "Productivity and Inflation," RBA Research Discussion Papers rdp2003-10, Reserve Bank of Australia.
    27. Bowdler, Christopher & Jansen, Eilev S., 2004. "Testing for a time-varying price-cost markup in the Euro area inflation process," University of California at San Diego, Economics Working Paper Series qt4s75w541, Department of Economics, UC San Diego.
    28. Ornela SHALARI & Fejzi KOLANECI, 2014. "Statistical analysis of the inflation in the case of Albania," EuroEconomica, Danubius University of Galati, issue 2(33), pages 67-77, November.
    29. Luca Fanelli, 2006. "Testing the New Keynesian Phillips Curve through Vector Autoregressive models : Results from the Euro area," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna.
    30. David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
    31. Mohammad Naim Azimi, 2016. "Drawing on Phillips curve: does the inverse relation between inflation and unemployment persist in transitional economies," International Journal of Economics and Accounting, Inderscience Enterprises Ltd, vol. 7(2), pages 89-100.
    32. 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.
    33. Chen, Sheng-Syan & Chen, Hsien-Yi & Yang, Shu-Ling & Chang, Chong-Chuo, 2016. "Output spillovers from changes in sovereign credit ratings," Journal of International Money and Finance, Elsevier, vol. 63(C), pages 48-63.
    34. Cristopher Spencer & Paul Temple, 2013. "Standards, Learning and Growth in Britain 1901-2009," School of Economics Discussion Papers 0613, School of Economics, University of Surrey.
    35. Sule Akkoyunlu & Boriss Siliverstovs, 2010. "Does the Law of One Price Hold in a High-Inflation Environment?," KOF Working papers 10-248, KOF Swiss Economic Institute, ETH Zurich.
    36. Chengsi Zhang, 2010. "Inflation Uncertainty and Monetary Policy in China," China & World Economy, Institute of World Economics and Politics, Chinese Academy of Social Sciences, vol. 18(3), pages 40-55, May.
    37. Massmann, Michael, 2007. "Cobra: A package for co-breaking analysis," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 663-679, October.
    38. 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.
    39. Anne-Laure Delatte & Antonia Lòpez-Villavicencio, 2012. "Asymmetric exchange rate pass-through: Evidence from major countries," Post-Print hal-00779761, HAL.
    40. Martin, Christopher & Costas Milas, 2002. "Modelling Monetary Policy: Inflation Targeting in Practice," Royal Economic Society Annual Conference 2002 137, Royal Economic Society.
    41. Juan de Dios Tena & Jorge Dresdner & Iván Araya, 2009. "A Multimarket Approach for Estimating a New Keynesian Phillips Curve," Working Papers 02-2009, Departamento de Economía, Universidad de Concepción.
    42. Neil R. Ericsson, 2004. "The ET interview: professor David F. Hendry," International Finance Discussion Papers 811, Board of Governors of the Federal Reserve System (U.S.).
    43. 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.
    44. Gerardo Esquivel & Raúl Razo, 2003. "Fuentes de la inflación en México, 1989-2000: Un análisis multicausal de corrección de errores," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 18(2), pages 181-226.
    45. Sahin, Sule Onsel & Ulengin, Fusun & Ulengin, Burc, 2006. "A Bayesian causal map for inflation analysis: The case of Turkey," European Journal of Operational Research, Elsevier, vol. 175(2), pages 1268-1284, December.
    46. Paresh Kumar Narayan, 2019. "Understanding Indonesia’S City-Level Consumer Price Formation: Implications For Price Stability," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 22(4), pages 405-422, December.
    47. Chen, Hsien-Yi & Chen, Sheng-Syan, 2018. "Quality of government institutions and spreads on sovereign credit default swaps," Journal of International Money and Finance, Elsevier, vol. 87(C), pages 82-95.
    48. Christopher Martin & Michael Arghyrou & Costas Milas, 2004. "Nonlinear inflation dynamics: evidence from the UK," Money Macro and Finance (MMF) Research Group Conference 2003 59, Money Macro and Finance Research Group.

  73. Andreas Beyer & Jurgen A. Doornik & David F. Hendry, 2000. "Reconstructing Aggregate Euro‐zone Data," Journal of Common Market Studies, Wiley Blackwell, vol. 38(4), pages 613-624, November.

    Cited by:

    1. Eilev S. Jansen, 2004. "Modelling inflation in the Euro Area," Working Paper 2004/10, Norges Bank.
    2. Marc-Alexandre Sénégas, 2002. "La politique monétaire face à l'incertitude : un survol méthodologique des contributions relatives à la zone euro," Revue d'Économie Financière, Programme National Persée, vol. 65(1), pages 177-200.
    3. Beyer, Andreas & Juselius, Katarina, 2010. "Does it matter how aggregates are measured? The case of monetary transmission mechanisms in the euro area," Working Paper Series 1149, European Central Bank.
    4. Gianni Amisano & Roberta Colavecchio, 2013. "Money Growth and Inflation: evidence from a Markov Switching Bayesian VAR," Macroeconomics and Finance Series 201304, University of Hamburg, Department of Socioeconomics.
    5. Amisano, Gianni & Fagan, Gabriel, 2013. "Money growth and inflation: A regime switching approach," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 118-145.
    6. Dreger, Christian & Wolters, Jürgen, 2010. "Investigating M3 money demand in the euro area," Journal of International Money and Finance, Elsevier, vol. 29(1), pages 111-122, February.
    7. Andrén, Niclas & Oxelheim, Lars, 2002. "Exchange-Rate and Interest-Rate Driven Competitive Advantages in the EMU," Working Paper Series 576, Research Institute of Industrial Economics.
    8. Monteforte, Libero, 2007. "Aggregation bias in macro models: Does it matter for the euro area?," Economic Modelling, Elsevier, vol. 24(2), pages 236-261, March.
    9. Hahn, Elke, 2002. "Core inflation in the Euro area: Evidence from the structural VAR approach," CFS Working Paper Series 2001/09, Center for Financial Studies (CFS).
    10. Sabine Stephan, 2002. "German Exports to the Euro Area," Discussion Papers of DIW Berlin 286, DIW Berlin, German Institute for Economic Research.
    11. Massimiliano Caporin & Domenico Sartore, 2006. "Methodological aspects of time series back-calculation," Working Papers 2006_56, Department of Economics, University of Venice "Ca' Foscari".
    12. Rabeya Khatoon & Md Emran Hasan & Md Wahid Ferdous Ibon & Shahidul Islam & Jeenat Mehareen & Rubaiya Murshed & Md Nahid Ferdous Pabon & Md. Jillur Rahman & Musharrat Shabnam Shuchi, 2022. "Aggregation, asymmetry, and common factors for Bangladesh’s exchange rate–trade balance relation," Empirical Economics, Springer, vol. 62(6), pages 2739-2770, June.
    13. Arnold, Ivo J.M. & Roelands, Sebastian, 2010. "The demand for euros," Journal of Macroeconomics, Elsevier, vol. 32(2), pages 674-684, June.
    14. Bosker, E.M., 2006. "On the aggregation of eurozone data," Economics Letters, Elsevier, vol. 90(2), pages 260-265, February.
    15. Mike Artis & Andreas Beyer, 2004. "Issues in Money Demand: The Case of Europe," Journal of Common Market Studies, Wiley Blackwell, vol. 42(4), pages 717-736, November.
    16. Libero Monteforte & Stefano Siviero, 2002. "The economic consequences of euro area modelling shortcuts," Temi di discussione (Economic working papers) 458, Bank of Italy, Economic Research and International Relations Area.
    17. Manh Ha Duong & Camille Logeay & Sabine Stephan & Rudolf Zwiener & Serhiy Yahnych, 2005. "Modelling European Business Cycles (EBC Model): A Macroeconometric Model of Germany ; Version March 2005," Data Documentation 5, DIW Berlin, German Institute for Economic Research.
    18. Ulrich Fritsche & Camille Logeay & Kirsten Lommatzsch & Katja Rietzler & Sabine Stephan & Rudolf Zwiener unter Mitarb. von Cansel Kiziltepe & Christian Proano-Acosta, 2005. "Auswirkungen von länderspezifischen Differenzen in der Lohn-, Preisniveau- und Produktivitätsentwicklung auf Wachstum und Beschäftigung in den Ländern des Euroraums: Endbericht ; Forschungsprojekt im ," DIW Berlin: Politikberatung kompakt, DIW Berlin, German Institute for Economic Research, volume 8, number pbk8, April.
    19. Michael Murach & Helmut Wagner, 2021. "The effects of external shocks on the business cycle in China: A structural change perspective," Review of International Economics, Wiley Blackwell, vol. 29(3), pages 681-702, August.
    20. Brand, Claus & Reimers, Hans-Eggert & Seitz, Franz, 2003. "Forecasting real GDP: what role for narrow money?," Working Paper Series 254, European Central Bank.
    21. De Grauwe, Paul & Senegas, Marc-Alexandre, 2006. "Monetary policy design and transmission asymmetry in EMU: Does uncertainty matter?," European Journal of Political Economy, Elsevier, vol. 22(4), pages 787-808, December.
    22. Mariano Matilla-Garcia, 2005. "A SVAR model for estimating core inflation in the Euro zone," Applied Economics Letters, Taylor & Francis Journals, vol. 12(3), pages 149-154.

  74. Hendry, David F & Mizon, Grayham E, 2000. "Reformulating Empirical Macroeconomic Modelling," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 16(4), pages 138-159, Winter.

    Cited by:

    1. 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.).
    2. Amit Kara & Edward Nelson, 2004. "International Evidence on the Stability of the Optimizing IS Equation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(s1), pages 687-712, September.
    3. Katarina Juselius, 2022. "A Theory-Consistent CVAR Scenario for a Monetary Model with Forward-Looking Expectations," Econometrics, MDPI, vol. 10(2), pages 1-15, April.
    4. Ericsson Neil R., 2008. "Comment on "Economic Forecasting in a Changing World" (by Michael Clements and David Hendry)," Capitalism and Society, De Gruyter, vol. 3(2), pages 1-18, October.
    5. Benjamin Leiva & Mar Rubio-Varas, 2020. "The Energy and Gross Domestic Product Causality Nexus in Latin America 1900-2010," International Journal of Energy Economics and Policy, Econjournals, vol. 10(1), pages 423-435.
    6. Rodríguez-Caballero, Carlos Vladimir & Ventosa-Santaulària, Daniel, 2017. "Energy-growth long-term relationship under structural breaks. Evidence from Canada, 17 Latin American economies and the USA," Energy Economics, Elsevier, vol. 61(C), pages 121-134.
    7. Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502.
    8. Janine Aron & John Muellbauer, 2002. "Interest rate effects on output: evidence from a GDP forecasting model for South Africa," CSAE Working Paper Series 2002-04, Centre for the Study of African Economies, University of Oxford.
    9. Christopher Allsopp, 2002. "Macroeconomic Policy Rules in Theory and in Practice," Discussion Papers 10, Monetary Policy Committee Unit, Bank of England.
    10. Katarina Juselius, 2017. "A CVAR scenario for a standard monetary model using theory-consistent expectations," Discussion Papers 17-08, University of Copenhagen. Department of Economics.
    11. Leiva, Benjamin & Liu, Zhongyuan, 2019. "Energy and economic growth in the USA two decades later: Replication and reanalysis," Energy Economics, Elsevier, vol. 82(C), pages 89-99.
    12. Goyal, Ashima, 2002. "Coordinating monetary and fiscal policies: a role for rules?," MPRA Paper 29200, University Library of Munich, Germany.

  75. David F. Hendry & Katarina Juselius, 2000. "Explaining Cointegration Analysis: Part 1," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1), pages 1-42.
    See citations under working paper version above.
  76. Hendry, David F., 2000. "On detectable and non-detectable structural change," Structural Change and Economic Dynamics, Elsevier, vol. 11(1-2), pages 45-65, July.

    Cited by:

    1. Kelly Burns & Imad Moosa, 2017. "Demystifying the Meese–Rogoff puzzle: structural breaks or measures of forecasting accuracy?," Applied Economics, Taylor & Francis Journals, vol. 49(48), pages 4897-4910, October.
    2. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    3. Marcellino, Massimiliano & Kapetanios, George & Dendramis, Yiannis, 2020. "A Similarity-based Approach for Macroeconomic Forecasting," CEPR Discussion Papers 14469, C.E.P.R. Discussion Papers.
    4. Akram,Q.F. & Nymoen,R., 2001. "Employment behaviour in slack and tight labour markets," Memorandum 27/2001, Oslo University, Department of Economics.
    5. Fernando N. de Oliveira, 2015. "Financial and Real Sector Leading Indicators of Recessions in Brazil using Probabilistic Models," Working Papers Series 402, Central Bank of Brazil, Research Department.
    6. Wilson Luiz Rotatori & Jan M Podivinsky, 2007. "Dynamic Macroeconometric Modelling: Evidence on the Brazilian Monetary System," EcoMod2007 23900078, EcoMod.
    7. David Hendry & Guillaume Chevillon, 2004. "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Series Working Papers 196, University of Oxford, Department of Economics.
    8. David Hendry & Maozu Lu & Grayham E. Mizon, 2001. "Model Identification and Non-unique Structure," Economics Papers 2002-W10, Economics Group, Nuffield College, University of Oxford.
    9. Ericsson Neil R., 2008. "Comment on "Economic Forecasting in a Changing World" (by Michael Clements and David Hendry)," Capitalism and Society, De Gruyter, vol. 3(2), pages 1-18, October.
    10. David Hendry & Michael P. Clements, 2001. "Pooling of Forecasts," Economics Papers 2002-W9, Economics Group, Nuffield College, University of Oxford.
    11. Gantungalag Altansukh & Denise R. Osborn, 2022. "Using structural break inference for forecasting time series," Empirical Economics, Springer, vol. 63(1), pages 1-41, July.
    12. 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.
    13. Guglielmo Maria Caporale & Davide Ciferri & Alessandro Girardi, 2014. "Time-Varying Spot and Futures Oil Price Dynamics," Scottish Journal of Political Economy, Scottish Economic Society, vol. 61(1), pages 78-97, February.
    14. David Hendry, 2000. "A General Forecast-error Taxonomy," Econometric Society World Congress 2000 Contributed Papers 0608, Econometric Society.
    15. Alessandro Girardi & Claudio Impenna, 2013. "Price discovery in the Italian sovereign bonds market: the role of order flow," Temi di discussione (Economic working papers) 906, Bank of Italy, Economic Research and International Relations Area.
    16. Joerg Scheibe & David Vines, 2005. "A Phillips Curve For China," CAMA Working Papers 2005-02, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    17. Aaron G Grech, "undated". "The evolution of the Maltese economy since independence," CBM Working Papers WP/05/2015, Central Bank of Malta.
    18. Inoue,Tomoo & Kaya,Demet & Ohshige,Hitoshi, 2015. "The impact of China?s slowdown on the Asia Pacific region : an application of the GVAR model," Policy Research Working Paper Series 7442, The World Bank.
    19. 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.
    20. Jana Eklund & George Kapetanios & Simon Price, 2011. "Forecasting in the presence of recent structural change," CAMA Working Papers 2011-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    21. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
    22. 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.
    23. Aaron G. Grech (ed.), 2015. "The evolution of the Maltese Economy since Independence," CBM Ebooks, Central Bank of Malta, edition 1, number 02.
    24. David Hendry & Grayham E. Mizon, 2001. "Forecasting in the Presence of Structural Breaks and Policy Regime Shifts," Economics Papers 2002-W12, Economics Group, Nuffield College, University of Oxford.
    25. Hendry, David F., 2006. "Robustifying forecasts from equilibrium-correction systems," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 399-426.
    26. David Hendry, 2000. "Forecast Failure, Expectations Formation, and the Lucas Critique," Economics Papers 2002-W8, Economics Group, Nuffield College, University of Oxford.
    27. 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.
    28. 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.
    29. Jana Eklund & George Kapetanios & Simon Price, 2013. "Robust Forecast Methods and Monitoring during Structural Change," Manchester School, University of Manchester, vol. 81, pages 3-27, October.
    30. 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.
    31. Todd E. Clark & Michael W. McCracken, 2002. "Forecast-based model selection in the presence of structural breaks," Research Working Paper RWP 02-05, Federal Reserve Bank of Kansas City.
    32. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
    33. Barassi, Marco R. & Caporale, Guglielmo Maria & Hall, Stephen G., 2005. "Interest rate linkages: a Kalman filter approach to detecting structural change," Economic Modelling, Elsevier, vol. 22(2), pages 253-284, March.
    34. Takamitsu Kurita, 2019. "A Recursive Monte Carlo Study of Structural-Break Sensitivity of Adjustment Coefficients in Cointegrated VAR Systems," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 251-270, June.
    35. Takamitsu Kurita & Mototsugu Shintani, 2023. "Johansen Test with Fourier-Type Smooth Nonlinear Trends in Cointegrating Relations," CIRJE F-Series CIRJE-F-1216, CIRJE, Faculty of Economics, University of Tokyo.
    36. Vasco J. Gabriel & Luis F. Martins, 2000. "The Properties of Cointegration Tests in Models with Structural Change," NIPE Working Papers 1/2000, NIPE - Universidade do Minho.
    37. 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).
    38. Jan J.J. Groen & George Kapetanios & Simon Price, 2010. "Multivariate Methods for Monitoring Structural Change," Working Papers 658, Queen Mary University of London, School of Economics and Finance.
    39. Michael P. Clements & David F. Hendry, 2005. "Guest Editors’ Introduction: Information in Economic Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 713-753, December.
    40. Hinich, Melvin J. & Foster, John & Wild, Phillip, 2006. "Structural change in macroeconomic time series: A complex systems perspective," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 136-150, March.
    41. Akram, Q. Farooq & Nymoen, Ragnar, 2006. "Econometric modelling of slack and tight labour markets," Economic Modelling, Elsevier, vol. 23(4), pages 579-596, July.
    42. 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.
    43. Davit Gondauri & Ekaterine Mikautadze, 2024. "Impact of R&D and AI Investments on Economic Growth and Credit Rating," Papers 2411.07817, arXiv.org.
    44. Ragnar Nymoen, 2017. "Between Institutions and Global Forces: Norwegian Wage Formation Since Industrialisation," Econometrics, MDPI, vol. 5(1), pages 1-54, January.

  77. Michael P. Clements & David F. Hendry, 1999. "On winning forecasting competitions in economics," Spanish Economic Review, Springer;Spanish Economic Association, vol. 1(2), pages 123-160.

    Cited by:

    1. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    2. Norman R. Swanson & Weiqi Xiong, 2018. "Big data analytics in economics: What have we learned so far, and where should we go from here?," Canadian Journal of Economics, Canadian Economics Association, vol. 51(3), pages 695-746, August.
    3. Corradi, Valentina & Swanson, Norman R., 2002. "A consistent test for nonlinear out of sample predictive accuracy," Journal of Econometrics, Elsevier, vol. 110(2), pages 353-381, October.
    4. Corradi, Valentina & Swanson, Norman R., 2004. "Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives," International Journal of Forecasting, Elsevier, vol. 20(2), pages 185-199.
    5. Francis X. Diebold & Lutz Kilian, 1999. "Unit Root Tests are Useful for Selecting Forecasting Models," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-063, New York University, Leonard N. Stern School of Business-.
    6. Valentina Corradi & Norman R. Swanson, 2003. "The Effect of Data Transformation on Common Cycle, Cointegration and Unit Root Tests: Monte Carlo Results and a Simple Test," Departmental Working Papers 200322, Rutgers University, Department of Economics.
    7. David Hendry, 2000. "A General Forecast-error Taxonomy," Econometric Society World Congress 2000 Contributed Papers 0608, Econometric Society.
    8. T. Thanh-Binh Nguyen & Kuan-Min Wang, 2010. "Causality between housing returns, inflation and economic growth with endogenous breaks," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 8(1), pages 95-115.
    9. Hendry, David F., 2000. "On detectable and non-detectable structural change," Structural Change and Economic Dynamics, Elsevier, vol. 11(1-2), pages 45-65, July.
    10. David Hendry, 2000. "Forecast Failure, Expectations Formation, and the Lucas Critique," Economics Papers 2002-W8, Economics Group, Nuffield College, University of Oxford.
    11. Chien-Chung Nieh & Hwey-Yun Yau & Ken Hung & Hong-Kou Ou & Shine Hung, 2013. "Cointegration and causal relationships among steel prices of Mainland China, Taiwan, and USA in the presence of multiple structural changes," Empirical Economics, Springer, vol. 44(2), pages 545-561, April.
    12. Simon C. Smith, 2020. "Equity premium prediction and structural breaks," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 25(3), pages 412-429, July.
    13. Hyein Shim & Hyeyoen Kim & Sunghyun Kim & Doojin Ryu, 2016. "Testing the relative purchasing power parity hypothesis: the case of Korea," Applied Economics, Taylor & Francis Journals, vol. 48(25), pages 2383-2395, May.
    14. Corradi, Valentina & Swanson, Norman R. & Olivetti, Claudia, 2001. "Predictive ability with cointegrated variables," Journal of Econometrics, Elsevier, vol. 104(2), pages 315-358, September.
    15. Theologos Pantelidis & Nikitas Pittis, 2009. "Estimation and forecasting in first-order vector autoregressions with near to unit roots and conditional heteroscedasticity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 612-630.
    16. Dungey, Mardi & Fry, Renee, 2000. "A Multi-Country Structural VAR Model," Departmental Working Papers 2001-04, The Australian National University, Arndt-Corden Department of Economics.
    17. Frugier, Alain, 2016. "Returns, volatility and investor sentiment: Evidence from European stock markets," Research in International Business and Finance, Elsevier, vol. 38(C), pages 45-55.

  78. David F. Hendry & Hans-Martin Krolzig, 1999. "Improving on 'Data mining reconsidered' by K.D. Hoover and S.J. Perez," Econometrics Journal, Royal Economic Society, vol. 2(2), pages 202-219.

    Cited by:

    1. Hans-Martin Krolzig, 2000. "Computer Automation of General-to-Specific Model Selection Procedures," Econometric Society World Congress 2000 Contributed Papers 0411, Econometric Society.
    2. Bernd Hayo, 2007. "Is European Monetary Policy Appropriate for the EMU Member Countries? A Counterfactual Analysis," Palgrave Macmillan Books, in: David Cobham (ed.), The Travails of the Eurozone, chapter 4, pages 67-94, Palgrave Macmillan.
    3. 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.
    4. Barkbu,B.B. & Nymoen,R. & Roed,K., 2001. "Wage coordination and unemployment dynamics in Norway and Sweden," Memorandum 11/2001, Oslo University, Department of Economics.
    5. Stan du Plessis & Ronelle Burger, 2006. "Examining the Robustness of Competing Explanations of Slow Growth in African Countries," Working Papers 03/2006, Stellenbosch University, Department of Economics.
    6. Bernd Hayo & Boris Hofmann, 2005. "Comparing Monetary Policy Reaction Functions: ECB versus Bundesbank," Marburg Working Papers on Economics 200502, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    7. Anindya Banerjee & Massimiliano Marcellino, 2003. "Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?," Working Papers 236, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    8. Bauwens, Luc & Sucarrat, Genaro, 2010. "General-to-specific modelling of exchange rate volatility: A forecast evaluation," International Journal of Forecasting, Elsevier, vol. 26(4), pages 885-907, October.
    9. Neil R. Ericsson, 2008. "The fragility of sensitivity analysis: an encompassing perspective," International Finance Discussion Papers 959, Board of Governors of the Federal Reserve System (U.S.).
    10. Marie Bessec, 2010. "Étalonnages du taux de croissance du PIB français sur la base des enquêtes de conjoncture," Économie et Prévision, Programme National Persée, vol. 193(2), pages 77-99.
    11. Bårdsen, Gunnar & den Reijer, Ard & Jonasson, Patrik & Nymoen, Ragnar, 2012. "MOSES: Model for studying the economy of Sweden," Economic Modelling, Elsevier, vol. 29(6), pages 2566-2582.
    12. Muellbauer, John & Nunziata, Luca, 2001. "Credit, the Stock Market and Oil: Forecasting US GDP," CEPR Discussion Papers 2906, C.E.P.R. Discussion Papers.
    13. Q. Lafféter & M. Pak, 2015. "Tax elasticity to business cycle: an overview of three taxes from 1979 to 2013 in France," Documents de Travail de l'Insee - INSEE Working Papers g2015-08, Institut National de la Statistique et des Etudes Economiques.
    14. Neil R. Ericsson & Steven B. Kamin, 2008. "Constructive data mining: modeling Argentine broad money demand," International Finance Discussion Papers 943, Board of Governors of the Federal Reserve System (U.S.).
    15. Fratzscher, Marcel & Rime, Dagfinn & Sarno, Lucio & Zinna, Gabriele, 2015. "The scapegoat theory of exchange rates: the first tests," Journal of Monetary Economics, Elsevier, vol. 70(C), pages 1-21.
    16. 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.
    17. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2005. "Leading Indicators for Euro‐area Inflation and GDP Growth," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 785-813, December.
    18. Kornstad, Tom & Nymoen, Ragnar & Skjerpen, Terje, 2013. "Macroeconomic shocks and the probability of being employed," Economic Modelling, Elsevier, vol. 33(C), pages 572-587.
    19. Hayo, Bernd & Vollan, Björn, 2012. "Group interaction, heterogeneity, rules, and co-operative behaviour: Evidence from a common-pool resource experiment in South Africa and Namibia," Journal of Economic Behavior & Organization, Elsevier, vol. 81(1), pages 9-28.
    20. Alvaro Escribano & Genaro Sucarrat, 2011. "Automated model selection in finance: General-to-speci c modelling of the mean and volatility speci cations," Working Papers 2011-09, Instituto Madrileño de Estudios Avanzados (IMDEA) Ciencias Sociales.
    21. Ramiro J. Rodriguez & Simon Sosvilla-Rivero, 2017. "Office Market Dynamics in Madrid: Modelling with a Single-Equation Error Correction Mechanism," International Real Estate Review, Global Social Science Institute, vol. 20(4), pages 451-491.
    22. Janine Aron & John Muellbauer, 2002. "Interest rate effects on output: evidence from a GDP forecasting model for South Africa," CSAE Working Paper Series 2002-04, Centre for the Study of African Economies, University of Oxford.
    23. R. Quentin Grafton & Tom Kompas & P. Dorian Owen, 2004. "Productivity, Factor Accumulation and Social Networks: Theory and Evidence," Economics and Environment Network Working Papers 0401, Australian National University, Economics and Environment Network.
    24. Janine Aron & John Muellbauer & B. Smit, 2004. "A Structural Model of the Inflation Process in South Africa," CSAE Working Paper Series 2004-08, Centre for the Study of African Economies, University of Oxford.
    25. Teodosio Perez‐Amaral & Giampiero M. Gallo & Halbert White, 2003. "A Flexible Tool for Model Building: the Relevant Transformation of the Inputs Network Approach (RETINA)," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 65(s1), pages 821-838, December.
    26. Steven Cook, 2001. "Observations on the practice of data-mining: comments on the JEM symposium," Journal of Economic Methodology, Taylor & Francis Journals, vol. 8(3), pages 415-419.
    27. Sucarrat, Genaro, 2009. "Automated financial multi-path GETS modelling," UC3M Working papers. Economics we093620, Universidad Carlos III de Madrid. Departamento de Economía.
    28. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
    29. Stekler, H.O., 2007. "The future of macroeconomic forecasting: Understanding the forecasting process," International Journal of Forecasting, Elsevier, vol. 23(2), pages 237-248.
    30. Pillai N., Vijayamohanan, 2008. "In Quest of Truth: The War of Methods in Economics," MPRA Paper 8866, University Library of Munich, Germany.
    31. Phillips, Peter C.B., 2005. "Automated Discovery In Econometrics," Econometric Theory, Cambridge University Press, vol. 21(1), pages 3-20, February.
    32. Hayo, Bernd & Voigt, Stefan, 2007. "Explaining de facto judicial independence," International Review of Law and Economics, Elsevier, vol. 27(3), pages 269-290, September.
    33. Dahlqvist, Carl-Henrik & Gnabo, Jean-Yves, 2018. "Effective network inference through multivariate information transfer estimation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 376-394.
    34. Hans-Martin Krolzig, 2001. "General--to--Specific Reductions of Vector Autoregressive Processes," Computing in Economics and Finance 2001 164, Society for Computational Economics.
    35. Dubois, 2005. "Grocer 1.0, an Econometric Toolbox for Scilab: an Econometrician Point of View," Econometrics 0501014, University Library of Munich, Germany.
    36. José-Joaquín del-Pozo-Antúnez & Horacio Molina-Sánchez & Francisco Fernández-Navarro & Antonio Ariza-Montes, 2021. "Accountancy as a Meaningful Work. Main Determinants from a Job Quality and Optimization Algorithm Approach," Sustainability, MDPI, vol. 13(16), pages 1-14, August.
    37. 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.
    38. P. Dorian Owen, 2003. "General‐to‐Specific Modelling Using PcGets," Journal of Economic Surveys, Wiley Blackwell, vol. 17(4), pages 609-628, September.
    39. R. Quentin Grafton & Tom Kompas & P. Dorian Owen, 2004. "Bridging the Barriers: Knowledge Connections, Productivity, and Capital Accumulation," International and Development Economics Working Papers idec04-5, International and Development Economics.
    40. Bernd Hayo & Stefan Voigt, 2008. "The Relevance of Judicial Procedure for Economic Growth," CESifo Working Paper Series 2514, CESifo.
    41. Todd E. Clark, 2004. "Can out-of-sample forecast comparisons help prevent overfitting?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 115-139.
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    2. Malmberg, Bo & Lindh, Thomas, 2004. "Demographically based global income forecasts up to the year 2050," Arbetsrapport 2004:7, Institute for Futures Studies.
    3. Pesaran, M. Hashem & Timmermann, Allan, 2004. "How costly is it to ignore breaks when forecasting the direction of a time series?," International Journal of Forecasting, Elsevier, vol. 20(3), pages 411-425.
    4. Book Review, 2000. "Book review," International Journal of Forecasting, Elsevier, vol. 16(1), pages 132-133.
    5. Bloom, David E. & Canning, David & Fink, Gunther & Finlay, Jocelyn E., 2007. "Does age structure forecast economic growth?," International Journal of Forecasting, Elsevier, vol. 23(4), pages 569-585.
    6. Clements, Michael & Smith, Jeremy, 1997. "Forecasting Seasonal Uk Consumption Components," Economic Research Papers 268761, University of Warwick - Department of Economics.
    7. Raphael Markellos & Terence Mills, 2003. "Asset pricing dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 9(6), pages 533-556.
    8. 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.
    9. Anyfantakis, Costas & Caporale, Guglielmo M. & Pittis, Nikitas, 2004. "Parameter Instability and Forecasting Performance. A Monte Carlo Study," Economics Series 160, Institute for Advanced Studies.
    10. Marc Brisson & Bryan Campbell & John W. Galbraith, 2001. "Forecasting Some Low-Predictability Time Series Using Diffusion Indices," CIRANO Working Papers 2001s-46, CIRANO.
    11. Rangan Gupta & Marius Jurgilas & Alan Kabundi & Stephen M. Miller, 2009. "Monetary Policy and Housing Sector Dynamics in a Large-Scale Bayesian Vector Autoregressive Mode," Working Papers 0919, University of Nevada, Las Vegas , Department of Economics.
    12. Maghyereh, Aktham, 2003. "Financial Liberalization and Stability Demand for Money in Emerging Economies: Evidence from Jordan," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(2).
    13. Rangan Gupta & Marius Jurgilas & Stephen M. Miller & Dylan van Wyk, 2010. "Financial Market Liberalization, Monetary Policy, and Housing Price Dynamics," Working Papers 201009, University of Pretoria, Department of Economics.
    14. David Hendry & Guillaume Chevillon, 2004. "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Series Working Papers 196, University of Oxford, Department of Economics.
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    17. Wani, M.H. & Paul, Ranjit Kumar & Bazaz, Naseer H. & Manzoor, M., 2015. "Market integration and Price Forecasting of Apple in India," Indian Journal of Agricultural Economics, Indian Society of Agricultural Economics, vol. 70(2), pages 1-13.
    18. Stephane Dees & Filippo di Mauro & M. Hashem Pesaran & L. Vanessa Smith, 2005. "Exploring the International Linkages of the Euro Area: a Global VAR Analysis," CESifo Working Paper Series 1425, CESifo.
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    20. Victor Bystrov, 2006. "Forecasting Emerging Market Indicators: Brazil and Russia," Economics Working Papers ECO2006/12, European University Institute.
    21. Timmermann, Allan & Patton, Andrew, 2003. "Properties of Optimal Forecasts," CEPR Discussion Papers 4037, C.E.P.R. Discussion Papers.
    22. Vasco J. Gabriel & Luis F. Martins, 2000. "The Forecast Performance of Long Memory and Markov Switching Models," NIPE Working Papers 2/2000, NIPE - Universidade do Minho.
    23. Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2004. "‘Forecasting Time Series Subject to Multiple Structural Breaks’," Cambridge Working Papers in Economics 0433, Faculty of Economics, University of Cambridge.
    24. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Boston University - Department of Economics - Working Papers Series WP2019-02, Boston University - Department of Economics.
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    27. Lorena Skufi & Adam Gersl, 2022. "Using Macro-Financial Models to Simulate Macroeconomic Developments During the Covid-19 Pandemic: The Case of Albania," Working Papers IES 2022/24, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2022.
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    38. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Regime Switching and Artificial Neural Network Forecasting," Working Papers 0502, University of Crete, Department of Economics.
    39. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & Georgios P. Kouretas, 2006. "Regime switching and artificial neural network forecasting of the Cyprus Stock Exchange daily returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(4), pages 371-383.
    40. Batchelor, Roy & Alizadeh, Amir & Visvikis, Ilias, 2007. "Forecasting spot and forward prices in the international freight market," International Journal of Forecasting, Elsevier, vol. 23(1), pages 101-114.
    41. Zaher, Fadi, 2007. "Evaluating factor forecasts for the UK: The role of asset prices," International Journal of Forecasting, Elsevier, vol. 23(4), pages 679-693.
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    43. Li, Yong & Huang, Wei-Ping & Zhang, Jie, 2013. "Forecasting volatility in the Chinese stock market under model uncertainty," Economic Modelling, Elsevier, vol. 35(C), pages 231-234.

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    1. Justin Doran & Bernard Fingleton, 2014. "Economic shocks and growth: Spatio-temporal perspectives on Europe's economies in a time of crisis," Papers in Regional Science, Wiley Blackwell, vol. 93, pages 137-165, November.
    2. 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 Estadística.
    3. Bampinas, Georgios & Panagiotidis, Theodore, 2015. "Are gold and silver a hedge against inflation? A two century perspective," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 267-276.
    4. 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.).
    5. 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.
    6. Akram,Q.F. & Nymoen,R., 2001. "Employment behaviour in slack and tight labour markets," Memorandum 27/2001, Oslo University, Department of Economics.
    7. 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.
    8. Levent KORAP, 2008. "Exchange Rate Determination Of Tl/Us$:A Co-Integration Approach," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 7(1), pages 24-50, May.
    9. Becker, Ralf & Osborn, Denise R. & Yildirim, Dilem, 2012. "A threshold cointegration analysis of interest rate pass-through to UK mortgage rates," Economic Modelling, Elsevier, vol. 29(6), pages 2504-2513.
    10. Irfan Civcir, 2002. "Before The Fall Was The Turkish Lira Overvalued?," Working Papers 0220, Economic Research Forum, revised 11 Jul 2002.
    11. CIVCIR Irfan, 2010. "The Monetary Models of the Turkish Lira/Dollar Exchange Rate: Long-run Relationships, Short-run Dynamics and Forecasting," EcoMod2003 330700038, EcoMod.
    12. Marcellino, Massimiliano & Mizon, Grayham E., 2000. "Modelling shifts in the wage-price and unemployment-inflation relationships in Italy, Poland and the UK," Economic Modelling, Elsevier, vol. 17(3), pages 387-413, August.
    13. Kindie Getnet, 2009. "Optimising the policy cost of market stabilisation: Which commodity matters most in Ethiopia?," Journal of International Development, John Wiley & Sons, Ltd., vol. 21(3), pages 362-378.
    14. Martin Hoesli & Elias Oikarinen, 2012. "Are REITs Real Estate? Evidence from International Sector Level Data," Swiss Finance Institute Research Paper Series 12-15, Swiss Finance Institute.
    15. Kurita, Takamitsu, 2010. "Co-breaking, cointegration, and weak exogeneity: Modelling aggregate consumption in Japan," Economic Modelling, Elsevier, vol. 27(2), pages 574-584, March.
    16. Nejib Hachicha, 2003. "Capital Inflows-National Saving Dynamics in Tunisia: Evidence from Cointegration, Weak Exogeneity and Simultaneous Error Correction Modelling," International Economic Journal, Taylor & Francis Journals, vol. 17(4), pages 43-60.
    17. Philip Hans Franses, 2001. "How to deal with intercept and trend in practical cointegration analysis?," Applied Economics, Taylor & Francis Journals, vol. 33(5), pages 577-579.
    18. Anindya Banerjee & Bill Russell, 2000. "Industry Structure and the Dynamics of Price Adjstment," Dundee Discussion Papers in Economics 121, Economic Studies, University of Dundee.
    19. Ang, James B., 2008. "What are the mechanisms linking financial development and economic growth in Malaysia," Economic Modelling, Elsevier, vol. 25(1), pages 38-53, January.
    20. Hendry, David F., 2000. "On detectable and non-detectable structural change," Structural Change and Economic Dynamics, Elsevier, vol. 11(1-2), pages 45-65, July.
    21. Maxym Chaban, 2010. "Cointegration analysis with structural breaks and deterministic trends: an application to the Canadian dollar," Applied Economics, Taylor & Francis Journals, vol. 42(23), pages 3023-3037.
    22. Bent Nielsen, 2008. "Power of Tests for Unit Roots in the Presence of a Linear Trend," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 619-644, October.
    23. Irfan Civcir, 2002. "The Long-Run Validity of Monetary Exchange Rate Model for A High Inflation Country and Misalignment: The Case of Turkey," Working Papers 0223, Economic Research Forum, revised 08 Aug 2002.
    24. Brian Chi-ang Lin & Siqi Zheng & 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.
    25. Søren Johansen & Morten Ørregaard Nielsen, 2016. "The cointegrated vector autoregressive model with general deterministic terms," Discussion Papers 16-07, University of Copenhagen. Department of Economics.
    26. H. Peter Boswijk & Jurgen A. Doornik, 1999. "Distribution Approximations for Cointegration Tests with Stationary Exogenous Regressors," Tinbergen Institute Discussion Papers 99-013/4, Tinbergen Institute.
    27. Matei Demetrescu & Helmut Luetkepohl & Pentti Saikkonen, 2008. "Testing for the Cointegrating Rank of a Vector Autoregressive Process with Uncertain Deterministic Trend Term," Economics Working Papers ECO2008/24, European University Institute.
    28. Heimonen, Kari, 2008. "Substituting a substitute currency," International Review of Economics & Finance, Elsevier, vol. 17(1), pages 66-84.
    29. Jane Binner & Rakesh Bissoondeeal & Thomas Elger & Alicia Gazely & Andrew Mullineux, 2005. "A comparison of linear forecasting models and neural networks: an application to Euro inflation and Euro Divisia," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 665-680.
    30. Lütkepohl,Helmut & Krätzig,Markus (ed.), 2004. "Applied Time Series Econometrics," Cambridge Books, Cambridge University Press, number 9780521547871, November.
    31. Hans Christian Kongsted & Heino Bohn Nielsen, 2004. "Analysing I(2) Systems by Transformed Vector Autoregressions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(3), pages 379-397, July.
    32. Mustafa Ismihan & Aysit Tansel & Kivilcim Metin-Ozcan, 2002. "Macroeconomic Instability, Capital Accumulation and Growth : The Case of Turkey 1963-1999," Working Papers 0205, Department of Economics, Bilkent University.
    33. Takamitsu Kurita & Bent Nielsen, 2019. "Partial Cointegrated Vector Autoregressive Models with Structural Breaks in Deterministic Terms," Econometrics, MDPI, vol. 7(4), pages 1-35, October.
    34. Elias Oikarinen & Martin Hoesli & Camilo Serrano, 2013. "Do Public Real Estate Returns Really Lead Private Returns?," ERES eres2013_145, European Real Estate Society (ERES).
    35. Alessandra Dal Colle, 2011. "Finance–growth nexus: does causality withstand financial liberalization? Evidence from cointegrated VAR," Empirical Economics, Springer, vol. 41(1), pages 127-154, August.
    36. Takamitsu Kurita, 2010. "Time Series Analysis of Transatlantic Market Interactions: Evidence from Crude Oil and Gasoline Prices," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 9(2), pages 157-173, August.
    37. Roberto Golinelli & Sergio Pastorello, 2002. "Modelling the demand for M3 in the Euro area," The European Journal of Finance, Taylor & Francis Journals, vol. 8(4), pages 371-401.
    38. 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.
    39. Binner, Jane & Elger, Thomas, 2002. "The UK Personal Sector Demand for Risky Money," Working Papers 2002:9, Lund University, Department of Economics.
    40. Noriega Antonio E. & Ramos Francia Manuel & Rodríguez-Pérez Cid Alonso, 2015. "Money Demand Estimations in Mexico and of its Stability 1986-2010, as well as Some Examples of its Uses," Working Papers 2015-13, Banco de México.
    41. Hubrich, Kirstin & Lütkepohl, Helmut & Saikkonen, Pentti, 1998. "A review of systemscointegration tests," SFB 373 Discussion Papers 1998,101, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    42. Majocchi Antonio & Pavione Enrica, 2002. "International franchising in Italy: trends and perspectives," Economics and Quantitative Methods qf0215, Department of Economics, University of Insubria.
    43. Almaas, Synne S. & Kurita, Takamitsu, 2019. "Modelling the real yen–dollar rate and inflation dynamics based on international parity conditions," Journal of Asian Economics, Elsevier, vol. 61(C), pages 51-64.
    44. Hans Christian Kongsted, 2002. "Testing the Nominal-to-Real Transformation," Discussion Papers 02-06, University of Copenhagen. Department of Economics.
    45. Diamandis, Panayiotis F. & Drakos, Anastassios A., 2005. "Long-run dynamics of official and black-market exchange rates in Latin America," Global Finance Journal, Elsevier, vol. 15(3), pages 219-237, February.
    46. Akram, Q. Farooq, 2006. "PPP in the medium run: The case of Norway," Journal of Macroeconomics, Elsevier, vol. 28(4), pages 700-719, December.
    47. 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.
    48. Takamitsu Kurita & B. Nielsen, 2018. "Partial cointegrated vector autoregressive models with structural breaks in deterministic terms," Economics Papers 2018-W03, Economics Group, Nuffield College, University of Oxford.
    49. Özgür Aslan & Levent Korap, 2007. "Testing Quantity Theory of Money for the Turkish Economy," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, vol. 1(2), pages 93-109.
    50. Arize, Augustine C. & Malindretos, John & Nam, Kiseok, 2010. "Cointegration, dynamic structure, and the validity of purchasing power parity in African countries," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 755-768, October.
    51. Hendry David F & Mizon Grayham E, 2011. "Econometric Modelling of Time Series with Outlying Observations," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-26, February.
    52. Kurita, Takamitsu, 2020. "Likelihood-based tests for parameter constancy in I(2) CVAR models with an application to fixed-term deposit data," Journal of Multivariate Analysis, Elsevier, vol. 178(C).
    53. Castle, Jennifer L. & Kurita, Takamitsu, 2024. "Stability between cryptocurrency prices and the term structure," Journal of Economic Dynamics and Control, Elsevier, vol. 165(C).
    54. Mkenda, Beatrice Kalinda, 2001. "Long-run and Short-run Determinants of the Real Exchange Rate in Zambia," Working Papers in Economics 40, University of Gothenburg, Department of Economics.
    55. Elger Thomas & Binner Jane M., 2004. "The UK Household Sector Demand for Risky Money," The B.E. Journal of Macroeconomics, De Gruyter, vol. 4(1), pages 1-22, March.
    56. Aurelijus Dabušinskas, 2005. "Money and Prices in Estonia," Bank of Estonia Working Papers 2005-07, Bank of Estonia, revised 10 Nov 2005.
    57. Carlomagno, Guillermo, 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 Estadística.
    58. Takamitsu Kurita, 2019. "A Recursive Monte Carlo Study of Structural-Break Sensitivity of Adjustment Coefficients in Cointegrated VAR Systems," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 251-270, June.
    59. Gaolu Zou & Kwong Wing Chau, 2020. "Effects of International Crude Oil Prices on Energy Consumption in China," Energies, MDPI, vol. 13(15), pages 1-17, July.
    60. Bent Nielsen, 2000. "Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend," Econometric Society World Congress 2000 Contributed Papers 1494, Econometric Society.
    61. Takamitsu Kurita & Mototsugu Shintani, 2023. "Johansen Test with Fourier-Type Smooth Nonlinear Trends in Cointegrating Relations," CIRJE F-Series CIRJE-F-1216, CIRJE, Faculty of Economics, University of Tokyo.
    62. Choi, Daniel & Oxley, Les, 2004. "Modelling the demand for money in New Zealand," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 64(1), pages 185-191.
    63. Charalambos Pattichis & Chongcheul Cheong & Tesfa Mehari & Leighton Vaughan Williams, 2004. "Exchange rate uncertainty, UK trade and the euro," Applied Financial Economics, Taylor & Francis Journals, vol. 14(12), pages 885-893.
    64. Hjelm, Goran & Johansson, Martin W., 2005. "A Monte Carlo study on the pitfalls in determining deterministic components in cointegrating models," Journal of Macroeconomics, Elsevier, vol. 27(4), pages 691-703, December.
    65. Kurita, Takamitsu, 2011. "An empirical model for Japan's business fixed investment," Journal of Economics and Business, Elsevier, vol. 63(2), pages 107-120, March.
    66. Niels Møller & Paul Sharp, 2014. "Malthus in cointegration space: evidence of a post-Malthusian pre-industrial England," Journal of Economic Growth, Springer, vol. 19(1), pages 105-140, March.
    67. Kouretas, Georgios P. & Yannopoulos, Andreas, 2006. "Dynamic modelling of trade union behaviour: Evidence from the Greek manufacturing sector," Economic Modelling, Elsevier, vol. 23(2), pages 316-338, March.
    68. Vincent R. Nijs & Marnik G. Dekimpe & Jan-Benedict E.M. Steenkamps & Dominique M. Hanssens, 2001. "The Category-Demand Effects of Price Promotions," Marketing Science, INFORMS, vol. 20(1), pages 1-22, September.
    69. Berhanu, Denu, 2006. "Dynamic Money Demand Function for Ethiopia," Ethiopian Journal of Economics, Ethiopian Economics Association, vol. 12(2), pages 1-81, November.
    70. Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A., 2015. "Does the euro area macroeconomy affect global commodity prices? Evidence from a SVAR approach," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 485-503.
    71. Brüggemann, Ralf, 2002. "On the small sample properties of weak exogeneity tests in cointegrated VAR models," SFB 373 Discussion Papers 2002,2, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    72. 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.
    73. Georgoutsos, Dimitris A. & Kouretas, Georgios P., 2016. "Interest parity, cointegration, and the term structure: Testing in an integrated framework," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 281-294.
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    75. Linzert Tobias, 2004. "Sources of German Unemployment: Evidence from a Structural VAR Model / Die Hintergründe deutscher Arbeitslosigkeit: Evidenz von einem Strukturellen VAR," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 224(3), pages 317-336, June.
    76. Johann Burgstaller, 2002. "Are stock returns a leading indicator for real macroeconomic developments?," Economics working papers 2002-07, Department of Economics, Johannes Kepler University Linz, Austria.
    77. Kurita, Takamitsu, 2011. "An empirical model for Japan’s business fixed investment," Journal of Economics and Business, Elsevier, vol. 63(2), pages 107-120.
    78. Christian Hertrich, 2013. "Asset Allocation Considerations for Pension Insurance Funds," Springer Books, Springer, edition 127, number 978-3-658-02167-2, June.
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    Cited by:

    1. Vincenzo Cassino & Richard Thornton, 2002. "Do changes in structural factors explain movements in the equilibrium rate of unemployment?," Bank of England working papers 153, Bank of England.
    2. Zou, Gao Lu, 2012. "The long-term relationships among China's energy consumption sources and adjustments to its renewable energy policy," Energy Policy, Elsevier, vol. 47(C), pages 456-467.
    3. Neil R. Ericsson & John S. Irons & Ralph W. Tryon, 2000. "Output and inflation in the long run," International Finance Discussion Papers 687, Board of Governors of the Federal Reserve System (U.S.).
    4. Budina, Nina & Maliszewski, Wojciech & de Menil, Georges & Turlea, Geomina, 2006. "Money, inflation and output in Romania, 1992-2000," Journal of International Money and Finance, Elsevier, vol. 25(2), pages 330-347, March.
    5. Milcheva, Stanimira, 2013. "Cross-country effects of regulatory capital arbitrage," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5329-5345.
    6. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.).
    7. Noriega Antonio E. & Soria Luis M. & Velázquez Ramón, 2008. "International Evidence on Stochastic and Deterministic Monetary Neutrality," Working Papers 2008-04, Banco de México.
    8. Peter Spencer & Zhuoshi Liu, "undated". "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers 09/16, Department of Economics, University of York.
    9. Anh D.M. Nguyen & Jemma Dridib & Filiz D. Unsal & Oral H. Williams, 2017. "On the drivers of inflation in Sub-Saharan Africa," International Economics, CEPII research center, issue 151, pages 71-84.
    10. Stephane Dees, 2016. "Credit, asset prices and business cycles at the global level," Post-Print hal-03897004, HAL.
    11. Andrea Bucci, 2024. "A sequential test procedure for the choice of the number of regimes in multivariate nonlinear models," Papers 2406.02152, arXiv.org.
    12. Christian Müller-Kademann, 2009. "Biased Estimation in a Simple Extension of a Standard Error Correction Model," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 145(I), pages 37-60, March.
    13. Matthew T. Holt & Timo Teräsvirta, 2012. "Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis," CREATES Research Papers 2012-54, Department of Economics and Business Economics, Aarhus University.
    14. Mouchart, M. & Orsi, R., 2015. "Building a structural model: parameterization and structurality," LIDAM Discussion Papers CORE 2015056, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    15. Mahamitra Das & Nityananda Sarkar, 2020. "Revisiting the Anomalous Relationship between Inflation and Real Estate Investment Trust Returns in Presence of Structural Breaks: Empirical Evidence from the USA and the UK," International Journal of Economics and Financial Issues, Econjournals, vol. 10(1), pages 250-258.
    16. Stéphane Lemarié & Valérie Orozco & Jean-Pierre Butault & Antonio Musolesi & Michel Simioni & Bertrand Schmitt, 2019. "Assessing the long-term impact of agricultural research on productivity: evidence from France," Working Papers hal-02791517, HAL.
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    18. Amir Kia, 2006. "Deficits, Debt Financing, Monetary Policy and Inflation in Developing Countries: Internal or External Factors? Evidence from Iran," Carleton Economic Papers 06-03, Carleton University, Department of Economics, revised Nov 2006.
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    20. Engle, Robert F. & Marcucci, Juri, 2006. "A long-run Pure Variance Common Features model for the common volatilities of the Dow Jones," Journal of Econometrics, Elsevier, vol. 132(1), pages 7-42, May.
    21. Ralf Brueggemann & Helmut Luetkepohl, 2004. "A Small Monetary System for the Euro Area Based on German Data," Economics Working Papers ECO2004/24, European University Institute.
    22. Tatsushi Oka & Pierre Perron, 2018. "Testing for common breaks in a multiple equations system," Monash Econometrics and Business Statistics Working Papers 3/18, Monash University, Department of Econometrics and Business Statistics.
    23. Marçal, Emerson Fernandes, 2024. "Testing rational expectations in a cointegrated VAR with structural change," International Review of Financial Analysis, Elsevier, vol. 95(PB).
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    25. Andrea Vaona, 2015. "Anomalous empirical evidence on money long-run super-neutrality and the vertical long-run Phillips curve," Working Papers 17/2015, University of Verona, Department of Economics.
    26. Kia, Amir, 2006. "Deficits, debt financing, monetary policy and inflation in developing countries: Internal or external factors?: Evidence from Iran," Journal of Asian Economics, Elsevier, vol. 17(5), pages 879-903, November.
    27. Reza Anglingkusumo, 2005. "Stability of the Demand for Real Narrow Money in lndonesia," Tinbergen Institute Discussion Papers 05-051/4, Tinbergen Institute.
    28. Ambrogio Cesa-Bianchi & M. Hashem Pesaran & Alessandro Rebucci & TengTeng Xu, 2012. "China’s Emergence in the World Economy and Business Cycles in Latin America," Staff Working Papers 12-32, Bank of Canada.
    29. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
    30. R. Velazquez & A.E. Noriega & L.M. Soria, 2004. "International Evidence on Monetary Neutrality Under Broken Trend Stationary Models," Econometric Society 2004 Latin American Meetings 57, Econometric Society.
    31. Stéphane Dées & Alessandro Galesi, 2019. "The global financial cycle and us monetary policy in an interconnected world," Working Papers 1942, Banco de España.
    32. Matthew T. Holt & Timo Teräsvirta, 2017. "Global Hemispheric Temperatures and Co–Shifting: A Vector Shifting–Mean Autoregressive Analysis," CREATES Research Papers 2017-05, Department of Economics and Business Economics, Aarhus University.
    33. David F. Hendry & Massimiliano Marcellino & Chiara Monfardini, 2008. "Foreword," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 711-714, December.
    34. Ms. Carolina Osorio-Buitron & Ms. Filiz D Unsal, 2011. "Inflation Dynamics in Asia: Causes, Changes, and Spillovers From China," IMF Working Papers 2011/257, International Monetary Fund.
    35. Amir Kia, 2005. "Developing a Market-Based Monetary Policy Transparency Index and Testing Its Impact on Risk and Volatility in the United States," Carleton Economic Papers 05-02, Carleton University, Department of Economics.
    36. Błażejowski, Marcin & Kufel, Paweł & Kufel, Tadeusz & Kwiatkowski, Jacek & Osińska, Magdalena, 2018. "Model selection for modeling the demand for narrow money in transitional economies," MPRA Paper 90458, University Library of Munich, Germany.
    37. Magdalena Osinska & Marcin Blazejowski & Pawel Kufel & Tadeusz Kufel & Jacek Kwiatkowski, 2020. "Narrow Money Demand in Indonesia and in Other Transitional Economies – Model Selection and Forecasting," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 1291-1311.
    38. Timo Bettendorf, 2012. "Investigating Global Imbalances: Empirical Evidence from a GVAR Approach," Studies in Economics 1217, School of Economics, University of Kent.
    39. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Business School, revised Sep 2013.
    40. Helmut Lütkepohl & Jürgen Wolters, 2001. "The Transmission of German Monetary Policy in the Pre-Euro Period," CESifo Working Paper Series 604, CESifo.
    41. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
    42. Hall, Stephen & Mizon, Grayham E. & Welfe, Aleksander, 2000. "Modelling economies in transition: an introduction," Economic Modelling, Elsevier, vol. 17(3), pages 339-357, August.
    43. Chang, Roberto, 2012. "Comment," LSE Research Online Documents on Economics 123286, London School of Economics and Political Science, LSE Library.
    44. Kia , Amir, 2009. "Deficits, Debt Financing, Monetary Policy and Inflation in Developing Countries: Internal or External Factors? Evidence from Iran," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 5(1), pages 65-113, December.
    45. Massmann, Michael, 2007. "Cobra: A package for co-breaking analysis," Computational Statistics & Data Analysis, Elsevier, vol. 52(2), pages 663-679, October.
    46. Reza Anglingkusumo, 2005. "Money - Inflation Nexus in Indonesia: Evidence from a P-Star Analysis," Tinbergen Institute Discussion Papers 05-054/4, Tinbergen Institute.
    47. Amir Kia, 2004. "Deficits, Debt Financing, Monetary Policy and Inflation in Developing Countries: Internal or External Factors?," Carleton Economic Papers 04-15, Carleton University, Department of Economics.
    48. Lütkepohl, Helmut, 1999. "Vector autoregressions," SFB 373 Discussion Papers 1999,4, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    49. Tilak Abeysinghe & Gulasekaran Rajaguru, 2004. "Temporal aggregation, causality distortions and a sign rule," Econometric Society 2004 Australasian Meetings 73, Econometric Society.
    50. Marie Podevin, 2001. "Interaction entre taux d'intérêt allemands et français : un réexamen de l'hypothèse de dominance allemande," Économie et Prévision, Programme National Persée, vol. 148(2), pages 49-70.
    51. Considine, Jennifer & Hatipoglu, Emre & Aldayel, Abdullah, 2022. "The sensitivity of oil price shocks to preexisting market conditions: A GVAR analysis," Journal of Commodity Markets, Elsevier, vol. 27(C).
    52. Gaolu Zou & Kwong Wing Chau, 2020. "Effects of International Crude Oil Prices on Energy Consumption in China," Energies, MDPI, vol. 13(15), pages 1-17, July.
    53. Holinski, N. & Vermeulen, R., 2009. "The international wealth effect : a global error-correcting analysis," Research Memorandum 019, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
    54. Das, Mahamitra & Sarkar, Nityananda, 2019. "Revisiting the Anomalous Relationship between Inflation and REIT Returns in Presence of Structural Breaks: Empirical Evidence from the USA and the UK," MPRA Paper 95130, University Library of Munich, Germany, revised 05 Nov 2019.
    55. Rajaguru, Gulasekaran & Abeysinghe, Tilak, 2008. "Temporal aggregation, cointegration and causality inference," Economics Letters, Elsevier, vol. 101(3), pages 223-226, December.
    56. Håvard Hungnes, 2005. "Identifying Structural Breaks in Cointegrated VAR Models," Discussion Papers 422, Statistics Norway, Research Department.
    57. Anindya Banerjee & Bill Russell, 2000. "The Relationship between the Markup and Inflation in the G7 Economies and Australia," Dundee Discussion Papers in Economics 119, Economic Studies, University of Dundee.

  83. Neil R. Ericsson & David F. Hendry & Kevin M. Prestwich, 1998. "The Demand for Broad Money in the United Kingdom, 1878–1993," Scandinavian Journal of Economics, Wiley Blackwell, vol. 100(1), pages 289-324, March.
    See citations under working paper version above.
  84. David F. Hendry & Kevin M. Prestwich & Neil R. Ericsson, 1998. "Friedman and Schwartz (1982) revisited: Assessing annual and phase-average models of money demand in the United Kingdom," Empirical Economics, Springer, vol. 23(3), pages 401-415.

    Cited by:

    1. Hondroyiannis, George & Swamy, P. A. V. B. & Tavlas, George S., 2001. "Modelling the long-run demand for money in the United Kingdom: a random coefficient analysis," Economic Modelling, Elsevier, vol. 18(3), pages 475-501, August.

  85. Ericsson, Neil R & Hendry, David F & Mizon, Grayham E, 1998. "Exogeneity, Cointegration, and Economic Policy Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 16(4), pages 370-387, October.
    See citations under working paper version above.
  86. Desai, Meghnad J & Hendry, David F & Mizon, Grayham E, 1997. "John Denis Sargan," Economic Journal, Royal Economic Society, vol. 107(443), pages 1121-1125, July.

    Cited by:

    1. Neil R. Ericsson & Esfandiar Maasoumi & Grayham E. Mizon, 2001. "A retrospective on J. Denis Sargan and his contributions to econometrics," International Finance Discussion Papers 700, Board of Governors of the Federal Reserve System (U.S.).

  87. David F. Hendry & Jurgen A. Doornik, 1997. "The Implications for Econometric Modelling of Forecast Failure," Scottish Journal of Political Economy, Scottish Economic Society, vol. 44(4), pages 437-461, September.

    Cited by:

    1. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    2. Steve Cook, 2012. "An historical perspective on the forecasting performance of the Treasury Model: forecasting the growth in UK consumers’ expenditure," Applied Economics, Taylor & Francis Journals, vol. 44(5), pages 555-563, February.
    3. 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.).
    4. Juan Nicolás Hernández A, 2006. "Revisión de los determinantes macroeconómicos del consumo total de los hogares para el caso colombiano," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 24(52), pages 80-109, December.
    5. David Hendry & Michael P. Clements, 2001. "Pooling of Forecasts," Economics Papers 2002-W9, Economics Group, Nuffield College, University of Oxford.
    6. David Hendry, 2000. "A General Forecast-error Taxonomy," Econometric Society World Congress 2000 Contributed Papers 0608, Econometric Society.
    7. Hendry, David F., 2000. "On detectable and non-detectable structural change," Structural Change and Economic Dynamics, Elsevier, vol. 11(1-2), pages 45-65, July.
    8. Hendry, David F., 1997. "On congruent econometric relations : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 163-190, December.
    9. Anders Rygh Swensen & Pål Boug & Ådne Cappelen & Eilev S. Jansen, 2019. "The consumption Euler equation or the Keynesian consumption function?," Discussion Papers 904, Statistics Norway, Research Department.
    10. David Hendry & Grayham E. Mizon, 2001. "Forecasting in the Presence of Structural Breaks and Policy Regime Shifts," Economics Papers 2002-W12, Economics Group, Nuffield College, University of Oxford.
    11. Clements, Michael P. & Hendry, David F., 1998. "Forecasting economic processes," International Journal of Forecasting, Elsevier, vol. 14(1), pages 111-131, March.
    12. Hendry, David F., 2006. "Robustifying forecasts from equilibrium-correction systems," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 399-426.
    13. Hall, Stephen & Mizon, Grayham E. & Welfe, Aleksander, 2000. "Modelling economies in transition: an introduction," Economic Modelling, Elsevier, vol. 17(3), pages 339-357, August.
    14. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
    15. Ari, Ali & Dagtekin, Rustem, 2007. "Early Warning Signals of the 2000/2001 Turkish Financial Crisis," MPRA Paper 25857, University Library of Munich, Germany.
    16. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
    17. Eitrheim, Oyvind & Husebo, Tore Anders & Nymoen, Ragnar, 1999. "Equilibrium-correction vs. differencing in macroeconometric forecasting," Economic Modelling, Elsevier, vol. 16(4), pages 515-544, December.
    18. Eitrheim,O. & Jansen,E.S. & Nymoen,R., 2000. "Progress from forecast failure : the Norwegian consumption function," Memorandum 32/2000, Oslo University, Department of Economics.
    19. Takamitsu Kurita, 2019. "A Recursive Monte Carlo Study of Structural-Break Sensitivity of Adjustment Coefficients in Cointegrated VAR Systems," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 251-270, June.
    20. Gunnar Bårdsen & Eilev S. Jansen & Ragnar Nymoen, 2000. "Model Specification and Inflation Forecast Uncertainty," Working Paper Series 1302, Department of Economics, Norwegian University of Science and Technology, revised 29 Jan 2002.
    21. Ekaterina Pirozhkova, 2017. "Bank loan components, uncertainty and monetary transmission mechanism," BCAM Working Papers 1702, Birkbeck Centre for Applied Macroeconomics.

  88. Clements, Michael P. & Hendry, David F., 1997. "An empirical study of seasonal unit roots in forecasting," International Journal of Forecasting, Elsevier, vol. 13(3), pages 341-355, September.

    Cited by:

    1. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    2. Mårten Löf & Johan Lyhagen, 2003. "On seasonal error correction when the processes include different numbers of unit roots," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(5), pages 377-389.
    3. Guorui Bian & Michael McAleer & Wing-Keung Wong, 2012. "Robust Estimation and Forecasting of the Capital Asset Pricing Model," Documentos de Trabajo del ICAE 2012-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, revised Apr 2012.
    4. Bharat Barot, 2004. "How accurate are the Swedish forecasters on GDB-Growth, CPI-inflation and unemployment? (1993 - 2001)," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 47(2), pages 249-278.
    5. Clements, Michael & Smith, Jeremy, 1997. "Forecasting Seasonal Uk Consumption Components," Economic Research Papers 268761, University of Warwick - Department of Economics.
    6. Andrew Martinez, 2017. "Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter," Working Papers (Old Series) 1717, Federal Reserve Bank of Cleveland.
    7. Bharat Barot & Zan Yang, 2004. "House Prices and Housing Investment in Sweden and the UK. Econometric analysis for the period 1970-1998," Macroeconomics 0409022, University Library of Munich, Germany.
    8. Ericsson Neil R., 2008. "Comment on "Economic Forecasting in a Changing World" (by Michael Clements and David Hendry)," Capitalism and Society, De Gruyter, vol. 3(2), pages 1-18, October.
    9. Barot, Bharat & Yang, Zan, 2002. "House Prices and Housing Investment in Sweden and the United Kingdom: Econometric Analysis for the Period 1970-1998," Working Papers 80, National Institute of Economic Research.
    10. Luetkepohl Helmut & Xu Fang, 2011. "Forecasting Annual Inflation with Seasonal Monthly Data: Using Levels versus Logs of the Underlying Price Index," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-23, February.
    11. 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.
    12. Pami Dua & Lokendra Kumawat, 2010. "Modelling and Forecasting Seasonality in Indian Macroeconomic Time Series," Working Papers id:3005, eSocialSciences.
    13. Tommaso, Proietti & Helmut, Luetkepohl, 2011. "Does the Box-Cox transformation help in forecasting macroeconomic time series?," MPRA Paper 32294, University Library of Munich, Germany.
    14. Patrik Gustavsson & Jonas Nordström, 2001. "The Impact of Seasonal Unit Roots and Vector ARMA Modelling on Forecasting Monthly Tourism Flows," Tourism Economics, , vol. 7(2), pages 117-133, June.
    15. Löf, Mårten & Franses, Philip Hans, 2000. "On Forecasting Cointegrated Seasonal Time Series," SSE/EFI Working Paper Series in Economics and Finance 350, Stockholm School of Economics.
    16. John D. Levendis, 2018. "Time Series Econometrics," Springer Texts in Business and Economics, Springer, number 978-3-319-98282-3, June.
    17. Harri, Ardian & Brorsen, B. Wade & Muhammad, Andrew & Anderson, John D., 2010. "Estimating a Demand System with Seasonally Differenced Data," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 42(2), May.
    18. Bharat Barot, 2004. "Growth and Business Cycles for the Swedish Economy 1963-1999," Macroeconomics 0409017, University Library of Munich, Germany.
    19. Paulo M.M. Rodrigues & Pedro M.D.C.B. Gouveia, 2004. "An Application of PAR Models for Tourism Forecasting," Tourism Economics, , vol. 10(3), pages 281-303, September.
    20. Dillon Alleyne, 2006. "Can Seasonal Unit Root Testing Improve the Forecasting Accuracy of Tourist Arrivals?," Tourism Economics, , vol. 12(1), pages 45-64, March.
    21. A. Asrat Atsedeweyn & K. Srinivasa Rao, 2014. "Linear regression model with new symmetric distributed errors," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(2), pages 364-381, February.
    22. Franses, Philip Hans & van Dijk, Dick, 2005. "The forecasting performance of various models for seasonality and nonlinearity for quarterly industrial production," International Journal of Forecasting, Elsevier, vol. 21(1), pages 87-102.
    23. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    24. Sujata Kar, 2010. "A Periodic Autoregressive Model of Indian WPI Inflation," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 4(3), pages 279-292, August.
    25. Wing-Keung Wong & Guorui Bian, 2005. "Robust Estimation of Multiple Regression Model with Non-normal Error: Symmetric Distribution," Monash Economics Working Papers 09/05, Monash University, Department of Economics.
    26. Jan G. De Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Monash Econometrics and Business Statistics Working Papers 12/05, Monash University, Department of Econometrics and Business Statistics.
    27. Anna Serena Vergori, 2012. "Forecasting Tourism Demand: The Role of Seasonality," Tourism Economics, , vol. 18(5), pages 915-930, October.
    28. Elena Ganón & Ina Tiscordio, 2007. "Un análisis de variables fiscales del Gobierno Central del Uruguay para el período 1989-2006," Documentos de trabajo 2007005, Banco Central del Uruguay.
    29. Osborn, Denise R. & Heravi, Saeed & Birchenhall, C. R., 1999. "Seasonal unit roots and forecasts of two-digit European industrial production," International Journal of Forecasting, Elsevier, vol. 15(1), pages 27-47, February.
    30. Carmine Pappalardo & Gianfranco Piras, 2004. "Vector-Autoregression Approach to Forecast Italian Imports," ISAE Working Papers 42, ISTAT - Italian National Institute of Statistics - (Rome, ITALY).

  89. Hendry, David F., 1997. "On congruent econometric relations : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 163-190, December.

    Cited by:

    1. Kapetanios, George & Marcellino, Massimiliano & Papailias, Fotis, 2016. "Forecasting inflation and GDP growth using heuristic optimisation of information criteria and variable reduction methods," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 369-382.
    2. Abberger, Klaus & Graff, Michael & Siliverstovs, Boriss & Sturm, Jan-Egbert, 2018. "Using rule-based updating procedures to improve the performance of composite indicators," Economic Modelling, Elsevier, vol. 68(C), pages 127-144.
    3. Bauwens, Luc & Sucarrat, Genaro, 2010. "General-to-specific modelling of exchange rate volatility: A forecast evaluation," International Journal of Forecasting, Elsevier, vol. 26(4), pages 885-907, October.
    4. Chevillon, Guillaume & Rifflart, Christine, 2007. "Physical Market Determinants of the Price of Crude Oil and the Market Premium," ESSEC Working Papers DR 07020, ESSEC Research Center, ESSEC Business School.
    5. Kapetanios, George, 2007. "Variable selection in regression models using nonstandard optimisation of information criteria," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 4-15, September.
    6. Michael Graff & Dominik Studer, 2018. "Konstruktion von Sammelindikatoren für den Konjunkturverlauf bei prekärer Datenlage am Beispiel Montenegros," KOF Analysen, KOF Swiss Economic Institute, ETH Zurich, vol. 12(3), pages 81-91, October.
    7. Lars E.O. Svensson & Kjetil Houg & Haakon O.Aa. Solheim & Erling Steigum, 2002. "An Independent Review of Monetary Policy and Institutions in Norway," Working Papers 120, Princeton University, Department of Economics, Center for Economic Policy Studies..

  90. Hendry, David F, 1997. "The Econometrics of Macroeconomic Forecasting," Economic Journal, Royal Economic Society, vol. 107(444), pages 1330-1357, September.

    Cited by:

    1. 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.).
    2. Andreou, Elena & Ghysels, Eric, 2006. "Monitoring disruptions in financial markets," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 77-124.
    3. Rolando F. Peláez, 2015. "A recession‐and‐state forecasting model," Southern Economic Journal, John Wiley & Sons, vol. 81(4), pages 1025-1039, April.
    4. Rob J. Hyndman & Yeasmin Khandakar, 2007. "Automatic time series forecasting: the forecast package for R," Monash Econometrics and Business Statistics Working Papers 6/07, Monash University, Department of Econometrics and Business Statistics.
    5. Filippo Altissimo & Valentina Corradi, 2000. "Strong Rules for Detecting the Number of Breaks in a Time Series," Econometric Society World Congress 2000 Contributed Papers 0574, Econometric Society.
    6. Mayes, David G. & Razzak, W. A., 1998. "Transparency and accountability: Empirical models and policy making at the Reserve Bank of New Zealand," Economic Modelling, Elsevier, vol. 15(3), pages 377-394, July.
    7. Reza Anglingkusumo, 2005. "Stability of the Demand for Real Narrow Money in lndonesia," Tinbergen Institute Discussion Papers 05-051/4, Tinbergen Institute.
    8. Muellbauer, John & Williams, David M, 2011. "Credit Conditions and the Real Economy: The Elephant in the Room," CEPR Discussion Papers 8386, C.E.P.R. Discussion Papers.
    9. Q. Farooq Akram, 2010. "Policy analysis in real time using IMF's monetary model," Working Paper 2010/10, Norges Bank.
    10. Costantini, Mauro & Kunst, Robert M., 2021. "On using predictive-ability tests in the selection of time-series prediction models: A Monte Carlo evaluation," International Journal of Forecasting, Elsevier, vol. 37(2), pages 445-460.
    11. Fiess, Norbert, 2003. "Capital flows, country risk, and contagion," Policy Research Working Paper Series 2943, The World Bank.
    12. Elena Andreou & Eric Ghysels, 2004. "Monitoring for Disruptions in Financial Markets," CIRANO Working Papers 2004s-26, CIRANO.
    13. Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
    14. John Muellbauer, 2000. "Earnings, Unemployment, and Housing: Evidence from a Panel of British Regions," Econometric Society World Congress 2000 Contributed Papers 1608, Econometric Society.
    15. Ruben Atoyan & Patrick Conway, 2011. "Projecting macroeconomic outcomes: Evidence from the IMF," The Review of International Organizations, Springer, vol. 6(3), pages 415-441, September.
    16. Reza Anglingkusumo, 2005. "Money - Inflation Nexus in Indonesia: Evidence from a P-Star Analysis," Tinbergen Institute Discussion Papers 05-054/4, Tinbergen Institute.
    17. Arndt, Channing & Robinson, Sherman & Tarp, Finn, 2002. "Parameter estimation for a computable general equilibrium model: a maximum entropy approach," Economic Modelling, Elsevier, vol. 19(3), pages 375-398, May.
    18. Constantinou Anthony Costa & Fenton Norman Elliott, 2012. "Solving the Problem of Inadequate Scoring Rules for Assessing Probabilistic Football Forecast Models," Journal of Quantitative Analysis in Sports, De Gruyter, vol. 8(1), pages 1-14, March.
    19. Daniel Wilson, 2003. "Embodying Embodiment in a Structural, Macroeconomic Input-Output Model," Economic Systems Research, Taylor & Francis Journals, vol. 15(3), pages 371-398.
    20. Bent Nielsen, 2000. "Cointegration Analysis in the Presence of Structural Breaks in the Deterministic Trend," Econometric Society World Congress 2000 Contributed Papers 1494, Econometric Society.
    21. Döpke, Jörg, 1998. "Leading indicators for Euroland's business cycle," Kiel Working Papers 886, Kiel Institute for the World Economy (IfW Kiel).
    22. Sinha, Pankaj & Singhal, Anushree & Sondhi, Kriti, 2012. "Economic scenario of United States of America before and after 2012 U.S. Presidential Election," MPRA Paper 41886, University Library of Munich, Germany.
    23. Gavin Cameron & John Muellbauer, 2001. "Earnings, unemployment, and housing in Britain," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(3), pages 203-220.
    24. Michael P. Clements & David F. Hendry, 2005. "Guest Editors’ Introduction: Information in Economic Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 713-753, December.
    25. John Muellbauer & Pierre St-Amant & David Williams, 2015. "Credit Conditions and Consumption, House Prices and Debt: What Makes Canada Different?," Staff Working Papers 15-40, Bank of Canada.

  91. Clements, Michael P & Hendry, David F, 1996. "Multi-step Estimation for Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 58(4), pages 657-684, November.
    See citations under working paper version above.
  92. Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1996. "Cointegration tests in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 70(1), pages 187-220, January.
    See citations under working paper version above.
  93. Florens, Jean-Pierre & Hendry, David F. & Richard, Jean-François, 1996. "Encompassing and Specificity," Econometric Theory, Cambridge University Press, vol. 12(4), pages 620-656, October.

    Cited by:

    1. Dridi, Ramdan & Renault, Eric, 2000. "Semi-parametric indirect inference," LSE Research Online Documents on Economics 6864, London School of Economics and Political Science, LSE Library.
    2. Lapenta, Elia & Lavergne, Pascal, 2022. "Encompassing Tests for Nonparametric Regressions," TSE Working Papers 22-1332, Toulouse School of Economics (TSE).
    3. Jurgen A. Doornik, 2008. "Encompassing and Automatic Model Selection," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 915-925, December.
    4. Christophe Bontemps & Jean‐Pierre Florens & Jean‐François Richard, 2008. "Parametric and Non‐parametric Encompassing Procedures," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 751-780, December.
    5. Christophe Bontemps & Grayham E. Mizon, 2008. "Encompassing: Concepts and Implementation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 721-750, December.
    6. Elia Lapenta & Pascal Lavergne, 2022. "Encompassing Tests for Nonparametric Regressions," Papers 2203.06685, arXiv.org, revised Oct 2023.

  94. Clements, Michael P & Hendry, David F, 1996. "Intercept Corrections and Structural Change," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(5), pages 475-494, Sept.-Oct.

    Cited by:

    1. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    2. Barakchian , Seyed Mahdi, 2012. "Implications of Cointegration for Forecasting: A Review and an Empirical Analysis," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 7(1), pages 87-118, October.
    3. Clements, Michael P., 2002. "Comments on 'The state of macroeconomic forecasting'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 469-482, December.
    4. Geoffrey Shuetrim & Christopher Thompson, 2003. "The Implications of Uncertainty for Monetary Policy," The Economic Record, The Economic Society of Australia, vol. 79(246), pages 370-379, September.
    5. 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.
    6. Basdevant, Olivier, 2000. "An econometric model of the Russian Federation," Economic Modelling, Elsevier, vol. 17(2), pages 305-336, April.
    7. 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.
    8. Todd E. Clark & Michael W. McCracken, 2010. "Averaging forecasts from VARs with uncertain instabilities," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 5-29.
    9. Clements, Michael & Smith, Jeremy, 1997. "Forecasting Seasonal Uk Consumption Components," Economic Research Papers 268761, University of Warwick - Department of Economics.
    10. 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.).
    11. Richard H. Clarida & Lucio Sarno & Mark P. Taylor & Giorgio Valente, 2006. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1193-1224, May.
    12. Raffaella Giacomini & Barbara Rossi, 2013. "Forecasting in macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 17, pages 381-408, Edward Elgar Publishing.
    13. Peter Spencer & Zhuoshi Liu, "undated". "An Open-Economy Macro-Finance Model of Internatinal Interdependence: The OECD, US and the UK," Discussion Papers 09/16, Department of Economics, University of York.
    14. Todd E. Clark & Michael W. McCracken, 2006. "Forecasting of small macroeconomic VARs in the presence of instabilities," Research Working Paper RWP 06-09, Federal Reserve Bank of Kansas City.
    15. Lima, Luiz Renato Regis de Oliveira & Issler, João Victor, 2007. "A panel data approach to economic forecasting: the bias-corrected average forecast," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 650, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    16. 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.
    17. Galvão, Ana Beatriz & Garratt, Anthony & Mitchell, James, 2021. "Does judgment improve macroeconomic density forecasts?," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1247-1260.
    18. CIVCIR Irfan, 2010. "The Monetary Models of the Turkish Lira/Dollar Exchange Rate: Long-run Relationships, Short-run Dynamics and Forecasting," EcoMod2003 330700038, EcoMod.
    19. Moosa, Imad A. & Vaz, John J., 2016. "Cointegration, error correction and exchange rate forecasting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 44(C), pages 21-34.
    20. Yoga Sasmita & Heri Kuswanto & Dedy Dwi Prastyo, 2024. "State-Dependent Model Based on Singular Spectrum Analysis Vector for Modeling Structural Breaks: Forecasting Indonesian Export," Forecasting, MDPI, vol. 6(1), pages 1-18, February.
    21. Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2011. "Bayesian VARs: Specification Choices and Forecast Accuracy," CEPR Discussion Papers 8273, C.E.P.R. Discussion Papers.
    22. 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.
    23. Christopher G. Gibbs & Andrey L. Vasnev, 2017. "Conditionally Optimal Weights and Forward-Looking Approaches to Combining Forecasts," Discussion Papers 2017-10, School of Economics, The University of New South Wales.
    24. Neil R. Ericsson & David F. Hendry & Kevin M. Prestwich, 1998. "The Demand for Broad Money in the United Kingdom, 1878–1993," Scandinavian Journal of Economics, Wiley Blackwell, vol. 100(1), pages 289-324, March.
    25. Ricardo Mestre & Peter McAdam, 2011. "Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(3), pages 303-324, April.
    26. Aaron Smith, 2005. "Forecasting in the presence of level shifts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 557-574.
    27. Lance J. Bachmeier & Norman R. Swanson, 2003. "Predicting Inflation: Does The Quantity Theory Help?," Departmental Working Papers 200317, Rutgers University, Department of Economics.
    28. Berta, Paolo & Lovaglio, Pietro Giorgio & Paruolo, Paolo & Verzillo, Stefano, 2020. "Real Time Forecasting of Covid-19 Intensive Care Units demand," JRC Working Papers in Economics and Finance 2020-08, Joint Research Centre, European Commission.
    29. 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.
    30. David Hendry, 2000. "A General Forecast-error Taxonomy," Econometric Society World Congress 2000 Contributed Papers 0608, Econometric Society.
    31. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.
    32. Scott Moss, 2007. "Alternative Approaches to the Empirical Validation of Agent-Based Models," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 11(1), pages 1-5.
    33. Milan Deskar-Škrbić & Karlo Kotarac & Davor Kunovac, 2019. "The Third Round of the Euro Area Enlargement: Are the Candidates Ready?," Working Papers 57, The Croatian National Bank, Croatia.
    34. 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.
    35. 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).
    36. Jorge Luis Tonetto & Adelar Fochezatto & Josep Miquel Pique, 2023. "The Impact of the COVID-19 Pandemic on the Use of the Menor Preço Brasil Application," Administrative Sciences, MDPI, vol. 13(11), pages 1-19, October.
    37. Xiaojie Xu, 2017. "Short-run price forecast performance of individual and composite models for 496 corn cash markets," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(14), pages 2593-2620, October.
    38. Arvid Raknerud, 2001. "A State Space Approach for Estimating VAR Models for Panel Data with Latent Dynamic Components," Discussion Papers 295, Statistics Norway, Research Department.
    39. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    40. 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.
    41. Carlos A. Medel, 2018. "A Comparison Between Direct and Indirect Seasonal Adjustment of the Chilean GDP 1986–2009 with X-12-ARIMA," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 14(1), pages 47-87, April.
    42. Patrik Gustavsson & Jonas Nordström, 2001. "The Impact of Seasonal Unit Roots and Vector ARMA Modelling on Forecasting Monthly Tourism Flows," Tourism Economics, , vol. 7(2), pages 117-133, June.
    43. Carlos Medel, 2021. "Searching for the Best Inflation Forecasters within a Consumer Perceptions Survey: Microdata Evidence from Chile," Working Papers Central Bank of Chile 899, Central Bank of Chile.
    44. Clements, Michael P. & Hendry, David F., 1997. "An empirical study of seasonal unit roots in forecasting," International Journal of Forecasting, Elsevier, vol. 13(3), pages 341-355, September.
    45. Huyn Hak Kim & Norman R. Swanson, 2011. "Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence," Departmental Working Papers 201119, Rutgers University, Department of Economics.
    46. David Hendry & Grayham E. Mizon, 2001. "Forecasting in the Presence of Structural Breaks and Policy Regime Shifts," Economics Papers 2002-W12, Economics Group, Nuffield College, University of Oxford.
    47. Clements, Michael P. & Hendry, David F., 1998. "Forecasting economic processes," International Journal of Forecasting, Elsevier, vol. 14(1), pages 111-131, March.
    48. Inoue, Atsushi & Jin, Lu & Rossi, Barbara, 2017. "Rolling window selection for out-of-sample forecasting with time-varying parameters," Journal of Econometrics, Elsevier, vol. 196(1), pages 55-67.
    49. David Hendry, 2000. "Forecast Failure, Expectations Formation, and the Lucas Critique," Economics Papers 2002-W8, Economics Group, Nuffield College, University of Oxford.
    50. Yousuf, Kashif & Ng, Serena, 2021. "Boosting high dimensional predictive regressions with time varying parameters," Journal of Econometrics, Elsevier, vol. 224(1), pages 60-87.
    51. Pablo Guerrón-Quintana & Molin Zhong, 2017. "Macroeconomic Forecasting in Times of Crises," Finance and Economics Discussion Series 2017-018, Board of Governors of the Federal Reserve System (U.S.).
    52. Wagatha, Matthias, 2007. "Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen [Integration, Cointegration and Long-Horizont Forecasting of Credit-Default-Cycles]," MPRA Paper 8602, University Library of Munich, Germany.
    53. Christopher G. Gibbs, 2015. "Overcoming the Forecast Combination Puzzle: Lessons from the Time-Varying Effciency of Phillips Curve Forecasts of U.S. Inflation," Discussion Papers 2015-09, School of Economics, The University of New South Wales.
    54. Sarno, Lucio & Giorgio Valente, 2002. "Modelling and Forecasting Stock Returns: Exploiting the Futures Market, Regime Shifts and International Spillovers," Royal Economic Society Annual Conference 2002 160, Royal Economic Society.
    55. Hall, Stephen & Mizon, Grayham E. & Welfe, Aleksander, 2000. "Modelling economies in transition: an introduction," Economic Modelling, Elsevier, vol. 17(3), pages 339-357, August.
    56. Adriatik Hoxha, 2016. "The Switch to Near-Rational Wage-Price Setting Behaviour: The Case of United Kingdom," EuroEconomica, Danubius University of Galati, issue 1(35), pages 127-148, may.
    57. Massimiliano Marcellino, "undated". "Further Results on MSFE Encompassing," Working Papers 143, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    58. Hanan Naser, 2015. "Estimating and forecasting Bahrain quarterly GDP growth using simple regression and factor-based methods," Empirical Economics, Springer, vol. 49(2), pages 449-479, September.
    59. Neil R. Ericsson, David F. Hendry & Kevin M. Prestiwch, "undated". "The UK Demand for Broad Money over the Long run," Economics Papers W29, Economics Group, Nuffield College, University of Oxford.
    60. Adriatik Hoxha, 2016. "The Wage-Price Setting Behavior: Comparing The Evidence from EU28 and EMU," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 19(60), pages 61-102, June.
    61. Hännikäinen, Jari, 2014. "Multi-step forecasting in the presence of breaks," MPRA Paper 55816, University Library of Munich, Germany.
    62. 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.
    63. Brian Goff, 2005. "Supreme Court consensus and dissent: Estimating the role of the selection screen," Public Choice, Springer, vol. 122(3), pages 483-499, March.
    64. Basdevant, Olivier & Hall, Stephen G., 2002. "The 1998 Russian crisis: could the exchange rate volatility have predicted it?," Journal of Policy Modeling, Elsevier, vol. 24(2), pages 151-168, May.
    65. Markus Baltzer & Gerhard Kling, 2005. "Predictability of future economic growth and the credibility of different monetary regimes in Germany, 1870 - 2003," Working Papers 5023, Economic History Society.
    66. Corradi, Valentina & Swanson, Norman R. & Olivetti, Claudia, 2001. "Predictive ability with cointegrated variables," Journal of Econometrics, Elsevier, vol. 104(2), pages 315-358, September.
    67. Eitrheim, Oyvind & Husebo, Tore Anders & Nymoen, Ragnar, 1999. "Equilibrium-correction vs. differencing in macroeconometric forecasting," Economic Modelling, Elsevier, vol. 16(4), pages 515-544, December.
    68. Michael P. Clements & Marianne Sensier, 2003. "Asymmetric output‐gap effects in Phillips Curve and mark‐up pricing models: Evidence for the US and the UK," Scottish Journal of Political Economy, Scottish Economic Society, vol. 50(4), pages 359-374, September.
    69. Rebecca A Emerson & David Hendry, 1994. "An evaluation of forecasting using leading indicators," Economics Papers 5., Economics Group, Nuffield College, University of Oxford.
    70. Wei, Jie & Zhang, Yonghui, 2020. "A time-varying diffusion index forecasting model," Economics Letters, Elsevier, vol. 193(C).
    71. Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, vol. 22(3), pages 475-492.
    72. Brian Goff, 2006. "Supreme Court consensus and dissent: Estimating the role of the selection screen," Public Choice, Springer, vol. 127(3), pages 367-383, June.
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    Cited by:

    1. Barakchian , Seyed Mahdi, 2012. "Implications of Cointegration for Forecasting: A Review and an Empirical Analysis," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 7(1), pages 87-118, October.
    2. Mohammad Reza FARZANEGAN & Gunther MARKWARDT, 2008. "The Effects of Oil Price Shocks on the Iranian Economy," EcoMod2008 23800037, EcoMod.
    3. Sajjad Faraji Dizaji, 2019. "Trade openness, political institutions, and military spending (evidence from lifting Iran’s sanctions)," Empirical Economics, Springer, vol. 57(6), pages 2013-2041, December.
    4. 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.).
    5. Andrew Martinez, 2017. "Testing for Differences in Path Forecast Accuracy: Forecast-Error Dynamics Matter," Working Papers (Old Series) 1717, Federal Reserve Bank of Cleveland.
    6. 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.).
    7. Siliverstovs, Boriss & Engsted, Tom & Haldrup, Niels, 2002. "Long-Run Forecasting in Multicointegrated Systems," Finance Working Papers 02-14, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    8. Banerjee, Anindya & Marcellino, Massimiliano & Masten, Igor, 2014. "Forecasting with factor-augmented error correction models," International Journal of Forecasting, Elsevier, vol. 30(3), pages 589-612.
    9. Wang, Zijun & Bessler, David A, 2002. "The Homogeneity Restriction and Forecasting Performance of VAR-Type Demand Systems: An Empirical Examination of US Meat Consumption," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 21(3), pages 193-206, April.
    10. Zahra Zarepour, 2022. "Short- and long-run macroeconomic impacts of the 2010 Iranian energy subsidy reform," SN Business & Economics, Springer, vol. 2(10), pages 1-32, October.
    11. Josef Baumgartner, 2008. "Die Preistransmission entlang der Wertschöpfungskette in Österreich für ausgewählte Produktgruppen," WIFO Studies, WIFO, number 33139, January.
    12. Mihaela Bratu (Simionescu), 2013. "How to Improve the SPF Forecasts?," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 9(2), pages 153-165, April.
    13. Mohammad Reza Farzanegan & Jerg Gutmann, 2024. "International Sanctions and Internal Conflict: The Case of Iran," CESifo Working Paper Series 11578, CESifo.
    14. Anderson, Richard G. & Hoffman, Dennis L. & Rasche, Robert H., 2002. "A vector error-correction forecasting model of the US economy," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 569-598, December.
    15. Barnett, Alina & Mumtaz, Haroon & Theodoridis, Konstantinos, 2012. "Forecasting UK GDP growth, inflation and interest rates under structural change: a comparison of models with time-varying parameters," Bank of England working papers 450, Bank of England.
    16. Patrick BISCIARI & Alain DURRE & Alain NYSSENS, 2003. "Stock Market Valuation In The United States," Finance 0312011, University Library of Munich, Germany.
    17. Wani, M.H. & Paul, Ranjit Kumar & Bazaz, Naseer H. & Manzoor, M., 2015. "Market integration and Price Forecasting of Apple in India," Indian Journal of Agricultural Economics, Indian Society of Agricultural Economics, vol. 70(2), pages 1-13.
    18. Hakan Berument & Nukhet Dogan & Aysit Tansel, 2008. "Macroeconomic Policy and Unemployment by Economic Activity: Evidence from Turkey," Working Papers 429, Economic Research Forum, revised 09 Jan 2008.
    19. Raffaella Giacomini, 2014. "Economic theory and forecasting: lessons from the literature," CeMMAP working papers 41/14, Institute for Fiscal Studies.
    20. Narayan, Seema & Smyth, Russell, 2015. "The financial econometrics of price discovery and predictability," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 380-393.
    21. Pena, Daniel & Poncela, Pilar, 2004. "Forecasting with nonstationary dynamic factor models," Journal of Econometrics, Elsevier, vol. 119(2), pages 291-321, April.
    22. S. F. Dizaji & M. R. Farzanegan & A. Naghavi, 2015. "Political Institutions and Government Spending Behavior: Theory and Evidence from Iran," Working Papers wp986, Dipartimento Scienze Economiche, Universita' di Bologna.
    23. Patrick Ologbenla, 2019. "Fiscal Policy and External Shocks in Nigeria," Journal of Economics and Behavioral Studies, AMH International, vol. 11(1), pages 129-138.
    24. 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.
    25. Fakhri J. Hasanov & Lester C. Hunt & Ceyhun I. Mikayilov, 2016. "Modeling and Forecasting Electricity Demand in Azerbaijan Using Cointegration Techniques," Energies, MDPI, vol. 9(12), pages 1-31, December.
    26. Giacomini, Raffaella, 2014. "Economic theory and forecasting: lessons from the literature," CEPR Discussion Papers 10201, C.E.P.R. Discussion Papers.
    27. 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.
    28. Michael P. Clements, 2014. "Long-Run Restrictions and Survey Forecasts of Output, Consumption and Investment," ICMA Centre Discussion Papers in Finance icma-dp2014-02, Henley Business School, University of Reading.
    29. 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.
    30. Hiroaki Chigira & Taku Yamamoto, 2009. "Forecasting in large cointegrated processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 631-650.
    31. Kuo, Chen-Yin, 2016. "Does the vector error correction model perform better than others in forecasting stock price? An application of residual income valuation theory," Economic Modelling, Elsevier, vol. 52(PB), pages 772-789.
    32. 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.
    33. Farzanegan, Mohammad Reza & Hassan, Mai & Badreldin, Ahmed Mohamed, 2020. "Economic liberalization in Egypt: A way to reduce the shadow economy?," Journal of Policy Modeling, Elsevier, vol. 42(2), pages 307-327.
    34. Bratu Simionescu Mihaela, 2012. "Variables Aggregation-Source of Uncertainty in Forecasting," Scientific Annals of Economics and Business, Sciendo, vol. 59(2), pages 1-13, December.
    35. Tian Zhao, 2012. "Firm size, information acquisition and price efficiency," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1599-1614, October.
    36. Wang, Yudong & Wu, Chongfeng & Yang, Li, 2014. "Oil price shocks and agricultural commodity prices," Energy Economics, Elsevier, vol. 44(C), pages 22-35.
    37. 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.
    38. Dizaji, Sajjad Faraji & Murshed, Syed Mansoob, 2024. "External arms embargoes and their implications for government expenditure, democracy and internal conflict," World Development, Elsevier, vol. 173(C).
    39. Dennis L. Hoffman & Robert H. Rasche, 1997. "STLS/US-VECM6.1: a vector error-correction forecasting model of the U. S. economy," Working Papers 1997-008, Federal Reserve Bank of St. Louis.
    40. Shahzad, Syed Jawad Hussain & Zakaria, Muhammad & Rehman, Mobeen ur & Ahmed, Tanveer & Khalid, Saniya, 2014. "Co-Movement of Pakistan Stock Exchange with India, S&P 500 and Nikkei 225: A Time-frequency (Wavelets) Analysis," MPRA Paper 60579, University Library of Munich, Germany.
    41. Tsangyao Chang & Wenshwo Fang & Li-Fang Wen, 2001. "Energy consumption, employment, output, and temporal causality: evidence from Taiwan based on cointegration and error-correction modelling techniques," Applied Economics, Taylor & Francis Journals, vol. 33(8), pages 1045-1056.
    42. Bewley, Ronald, 2002. "Forecast accuracy, coefficient bias and Bayesian vector autoregressions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 59(1), pages 163-169.
    43. Sajjad Faraji Dizaji & Peter A G van Bergeijk, 2013. "Potential early phase success and ultimate failure of economic sanctions," Journal of Peace Research, Peace Research Institute Oslo, vol. 50(6), pages 721-736, November.
    44. Mohammad Reza Farzanegan & Pooya Alaedini & Khayyam Azizimehr, 2017. "Middle Class in Iran: Oil Rents, Modernization, and Political Development," MAGKS Papers on Economics 201756, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    45. Theologos Pantelidis & Nikitas Pittis, 2009. "Estimation and forecasting in first-order vector autoregressions with near to unit roots and conditional heteroscedasticity," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(7), pages 612-630.
    46. Roseline Nyakerario Misati & Esman Morekwa Nyamongo & Isaac Mwangi, 2013. "Commodity price shocks and inflation in a net oil-importing economy," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 37(2), pages 125-148, June.
    47. Shahzad, Syed Jawad Hussain & Ahmed, Tanveer & Rehman, Mobeen Ur & Zakaria, Muhammad, 2014. "Relationship between Developed, Emerging and South Asian Equity Markets: Empirical Evidence with a Multivariate Framework Analysis," MPRA Paper 60398, University Library of Munich, Germany.
    48. Mohammad Reza Farzanegan & Mai Hassan, 2017. "The Impact of Economic Globalization on the Shadow Economy in Egypt," CESifo Working Paper Series 6424, CESifo.
    49. Mark E. Wohar & David E. Rapach, 2007. "Forecasting the recent behavior of US business fixed investment spending: an analysis of competing models This is a significantly revised version of our previous paper, 'Forecasting US Business Fixed ," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(1), pages 33-51.
    50. Carlomagno, Guillermo, 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 Estadística.
    51. Mohammad Reza Farzanegan, 2014. "Military Spending and Economic Growth: The Case of Iran," Defence and Peace Economics, Taylor & Francis Journals, vol. 25(3), pages 247-269, June.
    52. Anderson, Richard G. & Hoffman, Dennis L. & Rasche, Robert H., 2002. "Reply to the comments on 'A vector error-correction forecasting model of the U.S. economy'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 613-614, December.
    53. Rockie U Kei Kuok & Tay T.R. Koo & Christine Lim, 2024. "Air transport capacity and tourism demand: A panel cointegration approach with cross-sectionally augmented autoregressive distributed lag (CS-ARDL) model," Tourism Economics, , vol. 30(3), pages 702-727, May.
    54. Kosei Fukuda, 2011. "Cointegration rank switching model: an application to forecasting interest rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(5), pages 509-522, August.

  97. Clements, Michael P & Hendry, David F, 1995. "Macro-economic Forecasting and Modelling," Economic Journal, Royal Economic Society, vol. 105(431), pages 1001-1013, July.

    Cited by:

    1. Garcia-Ferrer, Antonio, 1996. "Dynamic econometrics : David F. Hendry, 1995, (Oxford University Press, Oxford), 904 pp., paperback, [UK pound]25.00, ISBN 0-19-828316-4, hardback, [UK pound]50.00, ISBN 0-19-828317-2," International Journal of Forecasting, Elsevier, vol. 12(2), pages 306-308, June.
    2. CIVCIR Irfan, 2010. "The Monetary Models of the Turkish Lira/Dollar Exchange Rate: Long-run Relationships, Short-run Dynamics and Forecasting," EcoMod2003 330700038, EcoMod.
    3. Peaucelle, Irina, 1996. "Prévisions de court terme pour analyser les réformes en Russie (les)," CEPREMAP Working Papers (Couverture Orange) 9610, CEPREMAP.
    4. Sophocles N. Brissimis & Dimitris A. Sideris & Fragiska K. Voumvaki, 2004. "Testing Long-Run Purchasing Power Parity under Exchange Rate Targeting," Working Papers 15, Bank of Greece.
    5. Huyn Hak Kim & Norman R. Swanson, 2011. "Forecasting Financial and Macroeconomic Variables Using Data Reduction Methods: New Empirical Evidence," Departmental Working Papers 201119, Rutgers University, Department of Economics.
    6. Clements, Michael P. & Hendry, David F., 1998. "Forecasting economic processes," International Journal of Forecasting, Elsevier, vol. 14(1), pages 111-131, March.
    7. Dario Rukelj & Barbara Ulloa, 2011. "Incorporating uncertainties into economic forecasts: an application to forecasting economic activity in Croatia," Financial Theory and Practice, Institute of Public Finance, vol. 35(2), pages 140-170.
    8. Janine Aron & John Muellbauer & B. Smit, 2004. "A Structural Model of the Inflation Process in South Africa," CSAE Working Paper Series 2004-08, Centre for the Study of African Economies, University of Oxford.
    9. Zhang, Mingzhu & He, Changzheng & Gu, Xin & Liatsis, Panos & Zhu, Bing, 2013. "D-GMDH: A novel inductive modelling approach in the forecasting of the industrial economy," Economic Modelling, Elsevier, vol. 30(C), pages 514-520.
    10. John Berdell & Animesh Ghoshal, 2015. "US–Mexico border tourism and day trips: an aberration in globalization?," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 24(1), pages 1-18, December.
    11. Durré, Alain & Evjen, Snorre & Pilegaard, Rasmus, 2003. "Estimating risk premia in money market rates," Working Paper Series 221, European Central Bank.
    12. Klaus Weyerstrass, 2002. "The german stability program: A quantitative assessment," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 30(3), pages 320-334, September.
    13. Eitrheim, Oyvind & Husebo, Tore Anders & Nymoen, Ragnar, 1999. "Equilibrium-correction vs. differencing in macroeconometric forecasting," Economic Modelling, Elsevier, vol. 16(4), pages 515-544, December.
    14. Nelson, Edward & Nikolov, Kalin, 2001. "UK Inflation in the 1970s and 1980s: The Role of Output Gap Mismeasurement," CEPR Discussion Papers 2999, C.E.P.R. Discussion Papers.
    15. Bovi, Maurizio, 2013. "Are the representative agent’s beliefs based on efficient econometric models?," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 633-648.
    16. Škovránek, Tomáš & Podlubny, Igor & Petráš, Ivo, 2012. "Modeling of the national economies in state-space: A fractional calculus approach," Economic Modelling, Elsevier, vol. 29(4), pages 1322-1327.
    17. Mattias Villani, 2009. "Steady-state priors for vector autoregressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(4), pages 630-650.

  98. Hendry, David F, 1995. "Econometrics and Business Cycle Empirics," Economic Journal, Royal Economic Society, vol. 105(433), pages 1622-1636, November.

    Cited by:

    1. Patrick Fève, 1997. "Les méthodes d'étalonnage au regard de l'économétrie," Revue Économique, Programme National Persée, vol. 48(3), pages 629-638.
    2. Barkbu,B.B. & Nymoen,R. & Roed,K., 2001. "Wage coordination and unemployment dynamics in Norway and Sweden," Memorandum 11/2001, Oslo University, Department of Economics.
    3. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.).
    4. McQuinn, Kieran, 2017. "Irish house prices: Déjà vu all over again?," Quarterly Economic Commentary: Special Articles, Economic and Social Research Institute (ESRI).
    5. David Hendry & Maozu Lu & Grayham E. Mizon, 2001. "Model Identification and Non-unique Structure," Economics Papers 2002-W10, Economics Group, Nuffield College, University of Oxford.
    6. Mohammed Ershad Hussain & Mahfuzul Haque, 2016. "Foreign Direct Investment, Trade, and Economic Growth: An Empirical Analysis of Bangladesh," Economies, MDPI, vol. 4(2), pages 1-14, April.
    7. Hendry, David F., 1997. "On congruent econometric relations : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 163-190, December.
    8. Duo Qin, 2014. "Inextricability of Autonomy and Confluence in Econometrics," Working Papers 189, Department of Economics, SOAS University of London, UK.
    9. Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502.
    10. Bruno Chiarini, 1998. "Cyclicality of real wages and adjustment costs," Applied Economics, Taylor & Francis Journals, vol. 30(9), pages 1239-1250.
    11. Jovanovic, Franck & Schinckus, Christophe, 2017. "Econophysics and Financial Economics: An Emerging Dialogue," OUP Catalogue, Oxford University Press, number 9780190205034.
    12. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
    13. Clements Michael P. & Hendry David F., 2008. "Economic Forecasting in a Changing World," Capitalism and Society, De Gruyter, vol. 3(2), pages 1-20, October.
    14. Eitrheim,O. & Jansen,E.S. & Nymoen,R., 2000. "Progress from forecast failure : the Norwegian consumption function," Memorandum 32/2000, Oslo University, Department of Economics.
    15. Chiarini, Bruno & Piselli, Paolo, 2001. "Identification and dimension of the NAIRU," Economic Modelling, Elsevier, vol. 18(4), pages 585-611, December.
    16. Madalina-Gabriela ANGHEL & Aurelian DIACONU, 2016. "Equilibrium and auto regression models used for macroeconomic prognosis," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 64(7), pages 70-78, July.
    17. Degiannakis, Stavros & Floros, Christos & Dent, Pamela, 2013. "Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 21-33.
    18. Gregoriou, Andros & Hunter, John & Wu, Feng, 2009. "An empirical investigation of the relationship between the real economy and stock returns for the United States," Journal of Policy Modeling, Elsevier, vol. 31(1), pages 133-143.

  99. Hendry, David F, 1994. "HUS Revisited," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 10(2), pages 86-106, Summer.

    Cited by:

    1. David Blake, 2004. "Modelling the composition of personal sector wealth in the UK," Applied Financial Economics, Taylor & Francis Journals, vol. 14(9), pages 611-630.
    2. Blake, David, 2002. "The impact of wealth on consumption and retirement behaviour in the UK," LSE Research Online Documents on Economics 24949, London School of Economics and Political Science, LSE Library.
    3. Kim, Byung-Yeon, 1999. "The Income, Savings, and Monetary Overhang of Soviet Households," Journal of Comparative Economics, Elsevier, vol. 27(4), pages 644-668, December.
    4. Blake, David, 2003. "Modelling the composition of personal sector wealth in the United Kingdom," LSE Research Online Documents on Economics 24866, London School of Economics and Political Science, LSE Library.
    5. Neil R. Ericsson & David F. Hendry & Kevin M. Prestwich, 1998. "The Demand for Broad Money in the United Kingdom, 1878–1993," Scandinavian Journal of Economics, Wiley Blackwell, vol. 100(1), pages 289-324, March.
    6. Hendry, David F., 2000. "On detectable and non-detectable structural change," Structural Change and Economic Dynamics, Elsevier, vol. 11(1-2), pages 45-65, July.
    7. Morris A. Davis & Michael G. Palumbo, 2001. "A primer on the economics and time series econometrics of wealth effects," Finance and Economics Discussion Series 2001-09, Board of Governors of the Federal Reserve System (U.S.).
    8. Steve Cook, 2008. "Cross‐data‐vintage Encompassing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 849-865, December.
    9. Clements, Michael P. & Hendry, David F., 1997. "An empirical study of seasonal unit roots in forecasting," International Journal of Forecasting, Elsevier, vol. 13(3), pages 341-355, September.
    10. Clements, Michael P. & Hendry, David F., 1998. "Forecasting economic processes," International Journal of Forecasting, Elsevier, vol. 14(1), pages 111-131, March.
    11. Steven Cook, 2001. "Observations on the practice of data-mining: comments on the JEM symposium," Journal of Economic Methodology, Taylor & Francis Journals, vol. 8(3), pages 415-419.
    12. David F. Hendry & Massimiliano Marcellino & Grayham E. Mizon, 2008. "Guest Editors’ Introduction to Special Issue on Encompassing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 715-719, December.
    13. Neil R. Ericsson, David F. Hendry & Kevin M. Prestiwch, "undated". "The UK Demand for Broad Money over the Long run," Economics Papers W29, Economics Group, Nuffield College, University of Oxford.
    14. Alan Carruth & Andrew Dickerson, 2003. "An asymmetric error correction model of UK consumer spending," Applied Economics, Taylor & Francis Journals, vol. 35(6), pages 619-630.
    15. Alan Carruth & Heather Gibson & Euclid Tsakalotos, 1999. "Are Aggregate Consumption Relationships Similar Across the European Union?," Regional Studies, Taylor & Francis Journals, vol. 33(1), pages 17-26.
    16. de Brouwer,Gordon, 1999. "Financial Integration in East Asia," Cambridge Books, Cambridge University Press, number 9780521651486, November.
    17. Nelson, Edward & Nikolov, Kalin, 2001. "UK Inflation in the 1970s and 1980s: The Role of Output Gap Mismeasurement," CEPR Discussion Papers 2999, C.E.P.R. Discussion Papers.
    18. Patterson, K. D., 2003. "Exploiting information in vintages of time-series data," International Journal of Forecasting, Elsevier, vol. 19(2), pages 177-197.
    19. 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.

  100. Hendry, David F & Doornik, Jurgen A, 1994. "Modelling Linear Dynamic Econometric Systems," Scottish Journal of Political Economy, Scottish Economic Society, vol. 41(1), pages 1-33, February.

    Cited by:

    1. Keshab Raj Bhattarai, 2016. "Economic Growth and Development in India and SAARC Countries," EcoMod2016 9631, EcoMod.
    2. Nandwa, Boaz & Mohan, Ramesh, 2007. "A Monetary Approach to Exchange Rate Dynamics in Low-Income Countries: Evidence from Kenya," MPRA Paper 5581, University Library of Munich, Germany.
    3. Hans-Martin Krolzig, 2000. "Computer Automation of General-to-Specific Model Selection Procedures," Econometric Society World Congress 2000 Contributed Papers 0411, Econometric Society.
    4. Héctor Bravo L. & Carlos García T., 2002. "Measuring Monetary Policy and Pass-Through in Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 5(3), pages 5-28, December.
    5. M. T. Alguacil & Vicente Orts, 2002. "Inward Foreign Direct Investment And Imports In Spain," Working Papers 02-01, Asociación Española de Economía y Finanzas Internacionales.
    6. Wilson Luiz Rotatori & Jan M Podivinsky, 2007. "Dynamic Macroeconometric Modelling: Evidence on the Brazilian Monetary System," EcoMod2007 23900078, EcoMod.
    7. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.).
    8. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    9. Christian Dreger & Jürgen Wolters, 2010. "Money Demand and the Role of Monetary Indicators in Forecasting Euro Area Inflation," Discussion Papers of DIW Berlin 1064, DIW Berlin, German Institute for Economic Research.
    10. Kumar, Saten & Pacheco, Gail & Rossouw, Stephanie, 2010. "How to Increase the Growth Rate in South Africa?," MPRA Paper 26105, University Library of Munich, Germany.
    11. B Bhaskara Rao & Fozia Nisha & Biman C Prasad, 2005. "The Effects of Life Expectancy on Fiji's Output: A Time Series Approach from 1970 to 2002," Macroeconomics 0511010, University Library of Munich, Germany.
    12. Bustamante, Rafael & Morales, Fedor, 2009. "Probando la condición de Marshall-Lerner y el efecto Curva-J: Evidencia empírica para el caso peruano," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 16, pages 103-126.
    13. Kurita, Takamitsu, 2010. "Co-breaking, cointegration, and weak exogeneity: Modelling aggregate consumption in Japan," Economic Modelling, Elsevier, vol. 27(2), pages 574-584, March.
    14. A. C. Arize & P. Chooekawong & V. Prasanpanich, 2000. "Foreign Trade Behavior in Thailand: Stable or Unstable?," The American Economist, Sage Publications, vol. 44(2), pages 36-45, October.
    15. Graciela Moguillansky, 1995. "¿Existe una Brecha Respecto del Sendero de Equilibrio Cambiario en el Perú? Un Análisis Empírico para el Período 1980-1994," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 32(97), pages 379-410.
    16. Kurita, Takamitsu, 2010. "Empirical modeling of Japan's markup and inflation, 1976-2000," Journal of Asian Economics, Elsevier, vol. 21(6), pages 552-563, December.
    17. 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.
    18. Choo, Han Gwang & Kurita, Takamitsu, 2011. "An empirical investigation of monetary interaction in the Korean economy," International Review of Economics & Finance, Elsevier, vol. 20(2), pages 267-280, April.
    19. Neil R. Ericsson & Steven B. Kamin, 2008. "Constructive data mining: modeling Argentine broad money demand," International Finance Discussion Papers 943, Board of Governors of the Federal Reserve System (U.S.).
    20. Irfan Civcir, 2002. "The Long-Run Validity of Monetary Exchange Rate Model for A High Inflation Country and Misalignment: The Case of Turkey," Working Papers 0223, Economic Research Forum, revised 08 Aug 2002.
    21. Keshmeer Makun, 2017. "Trade Openness and Economic Growth in Malaysia," Foreign Trade Review, , vol. 52(3), pages 157-170, August.
    22. Shadman-Mehta, Fatemeh, 1996. "Does Modern Econometrics replicate the Phillips Curve?," LIDAM Discussion Papers IRES 1996015, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    23. Christian Dreger & Jürgen Wolters, 2016. "On the empirical relevance of the Lucas critique: the case of euro area money demand," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 43(1), pages 61-82, February.
    24. Jane Binner & Rakesh Bissoondeeal & Thomas Elger & Alicia Gazely & Andrew Mullineux, 2005. "A comparison of linear forecasting models and neural networks: an application to Euro inflation and Euro Divisia," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 665-680.
    25. Juan José Echavarría Soto & Enrique López Enciso & Martha Misas Arango, 2008. "La tasa de cambio real de equilibrio en Colombia y su desalineamiento: estimación a través de un modelo SVEC," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 26(57), pages 282-319, December.
    26. Wilson Luiz Rotatori Correa, 2009. "Dynamic Structural Models and the High Ination Period in Brazil: Modelling the Monetary System," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 10(1), pages 69-100.
    27. Nyondo, Christone R.J & Davidova, Sophia M. & Bailey, Alastair, 2013. "On Market Liberalisation and Efficiency: A Structural VECM Analysis of Dry Beans Markets in Malawi," 87th Annual Conference, April 8-10, 2013, Warwick University, Coventry, UK 158696, Agricultural Economics Society.
    28. Arize, A. C. & Malindretos, John & Grivoyannis, Elias C., 2005. "Inflation-rate volatility and money demand: Evidence from less developed countries," International Review of Economics & Finance, Elsevier, vol. 14(1), pages 57-80.
    29. Wilson Luiz Rotatori, 2006. "Dynamic Structural Models And The High Inflation Period In Brazil: Modelling The Monetary System," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 44, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    30. Gunnar Bårdsen & Stan Hurn & Zoë Mchugh, 2007. "Modelling Wages and Prices in Australia," The Economic Record, The Economic Society of Australia, vol. 83(261), pages 143-158, June.
    31. Kleibergen, Frank & Paap, Richard, 2002. "Priors, posteriors and bayes factors for a Bayesian analysis of cointegration," Journal of Econometrics, Elsevier, vol. 111(2), pages 223-249, December.
    32. Milas, C. & Otero, J., 1999. "Identification and Estimation of a Labour Market Model for the Tradeables Sector: the Greek Case," The Warwick Economics Research Paper Series (TWERPS) 528, University of Warwick, Department of Economics.
    33. Clements, Michael P. & Hendry, David F., 1998. "Forecasting economic processes," International Journal of Forecasting, Elsevier, vol. 14(1), pages 111-131, March.
    34. Faust, Jon & Whiteman, Charles H., 1997. "General-to-specific procedures for fitting a data-admissible, theory-inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model to the DGP: A translation and criti," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 121-161, December.
    35. Wilson Corrêa & Sidney Caetano, 2013. "Monetary policy and transmission mechanism in Brazil: an empirical model," Empirical Economics, Springer, vol. 45(1), pages 115-135, August.
    36. Clara Jørgensen & Hans Christian Kongsted & Anders Rahbek, 1996. "Trend-Stationarity in the I(2) Cointegration Model," Discussion Papers 96-12, University of Copenhagen. Department of Economics.
    37. Hendry, David F., 2006. "Robustifying forecasts from equilibrium-correction systems," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 399-426.
    38. Omtzigt Pieter, 2002. "Automatic identification and restriction of the cointegration space," Economics and Quantitative Methods qf0213, Department of Economics, University of Insubria.
    39. Kevin Cullinane & Dong-Wook Song, 2003. "A stochastic frontier model of the productive efficiency of Korean container terminals," Applied Economics, Taylor & Francis Journals, vol. 35(3), pages 251-267.
    40. Neil R. Ericsson & Sunil Sharma, 1996. "Broad money demand and financial liberalization in Greece," International Finance Discussion Papers 559, Board of Governors of the Federal Reserve System (U.S.).
    41. M.T. Alguacil & V. Orts, "undated". "A multivariate cointegrated model testing for temporal causality between exports and outward FDI: The Spanish case," Studies on the Spanish Economy 50, FEDEA.
    42. Jane Binner & Rakesh Bissoondeeal & Thomas Elger & Alicia Gazely & Andrew Mullineux, 2004. "Vector autoregressive models versus neural networks in forecasting: an application to Euro-inflation and divisia money," Money Macro and Finance (MMF) Research Group Conference 2003 5, Money Macro and Finance Research Group.
    43. Ericsson, Neil R., 1995. "Conditional and structural error correction models," Journal of Econometrics, Elsevier, vol. 69(1), pages 159-171, September.
    44. A. Arize, 2000. "U.S. petroleum consumption behavior and oil price uncertainty: Tests of cointegration and parameter instability," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 28(4), pages 463-477, December.
    45. 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.
    46. Juan José Echavarría Soto & Enrique López Enciso & Martha Misas Arango, 2008. "El tipo de cambio real de equilibrio en Colombia y su desalineamiento: estimación a través de un modelo SVEC," Investigación Conjunta-Joint Research, in: Centro de Estudios Monetarios Latinoamericanos (CEMLA) (ed.), Estimación y Uso de Variables no Observables en la Región, edition 1, volume 1, chapter 12, pages 365-395, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
    47. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
    48. Alguacil, Ma. Teresa & Cuadros, Ana & Orts, Vicente, 2002. "Foreign direct investment, exports and domestic performance in Mexico: a causality analysis," Economics Letters, Elsevier, vol. 77(3), pages 371-376, November.
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    50. Zhang, Zhichao & Chau, Frankie & Zhang, Wenting, 2013. "Exchange rate determination and dynamics in China: A market microstructure analysis," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 303-316.
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    56. Kurita, Takamitsu, 2011. "An empirical model for Japan's business fixed investment," Journal of Economics and Business, Elsevier, vol. 63(2), pages 107-120, March.
    57. Julia Darby & Robert A Hart, "undated". "Wages, Productivity and Work Intensity in the Great Depression," Working Papers 2002_7, Business School - Economics, University of Glasgow, revised Jul 2002.
    58. Nora Abu Asab & Juan Carlos Cuestas, 2021. "Towards adopting inflation targeting: The credibility and limitations of monetary policy under the fixed exchange system—the case of Jordan," The World Economy, Wiley Blackwell, vol. 44(1), pages 262-285, January.
    59. Milas, Costas, 1998. "Long-run structural estimation of labour market equations with an application to Greece1," Economic Modelling, Elsevier, vol. 16(1), pages 149-161, January.
    60. Arize, Augustine C. & Malindretos, John & Shwiff, Steven S., 1999. "Structural breaks, cointegration, and speed of adjustment Evidence from 12 LDCs money demand," International Review of Economics & Finance, Elsevier, vol. 8(4), pages 399-420, November.
    61. Kurita, Takamitsu, 2011. "An empirical model for Japan’s business fixed investment," Journal of Economics and Business, Elsevier, vol. 63(2), pages 107-120.
    62. Martínez, J. Manuel, 1998. "La demanda de importaciones españolas. Un enfoque VECM desagregado," DES - Documentos de Trabajo. Estadística y Econometría. DS 3662, Universidad Carlos III de Madrid. Departamento de Estadística.
    63. Jorge Gregoire & Leonardo Letelier, 1998. "Desempeño Económico Agregado y Mercado Accionario: Un Análisis Empírico para el Caso Chileno," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(105), pages 183-203.
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    Cited by:

    1. Neil R. Ericsson, 2008. "The fragility of sensitivity analysis: an encompassing perspective," International Finance Discussion Papers 959, Board of Governors of the Federal Reserve System (U.S.).
    2. Oscar Jorda & Massimiliano Marcellino, 2003. "Stochastic Processes Subject To Time Scale Transformations: An Application To High-Frequency Fx Data," Working Papers 273, University of California, Davis, Department of Economics.
    3. Gouriéroux, Christian, 1994. "Modèles économétriques : utilisation et interprétation (les)," CEPREMAP Working Papers (Couverture Orange) 9423, CEPREMAP.
    4. Christophe Bontemps & Jean‐Pierre Florens & Jean‐François Richard, 2008. "Parametric and Non‐parametric Encompassing Procedures," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 751-780, December.
    5. 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.
    6. Christophe Bontemps & Grayham E. Mizon, 2008. "Encompassing: Concepts and Implementation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 721-750, December.

  102. David F. Hendry & Michael P. Clements, 1994. "Can Econometrics Improve Economic Forecasting?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 130(III), pages 267-298, September.

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    1. Ibrahim A. Elbadawi & Raimundo Soto, "undated". "Real Exchange Rates and Macroeconomic Adjustment in Sub-Sahara Africa and Other Developing Countries," ILADES-UAH Working Papers inv093, Universidad Alberto Hurtado/School of Economics and Business.

  103. Hendry, David F & Starr, Ross M, 1993. "The Demand for M1 in the USA: A Reply," Economic Journal, Royal Economic Society, vol. 103(420), pages 1158-1169, September.

    Cited by:

    1. K. Cuthbertson & D. Nitzsche & S. Hyde, 2007. "Monetary Policy And Behavioural Finance," Journal of Economic Surveys, Wiley Blackwell, vol. 21(5), pages 935-969, December.
    2. Neil R. Ericsson & Sunil Sharma, 1996. "Broad money demand and financial liberalization in Greece," International Finance Discussion Papers 559, Board of Governors of the Federal Reserve System (U.S.).
    3. Dennis L. Hoffman & Robert H. Rasche, 1997. "STLS/US-VECM6.1: a vector error-correction forecasting model of the U. S. economy," Working Papers 1997-008, Federal Reserve Bank of St. Louis.

  104. Engle, Robert F. & Hendry, David F., 1993. "Testing superexogeneity and invariance in regression models," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 119-139, March.
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  105. Yoshihisa Baba & David F. Hendry & Ross M. Starr, 1992. "The Demand for M1 in the U.S.A., 1960–1988," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 59(1), pages 25-61.

    Cited by:

    1. Kumar, Saten & Webber, Don J. & Fargher, Scott, 2010. "Money demand stability: A case study of Nigeria," MPRA Paper 26074, University Library of Munich, Germany.
    2. 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.).
    3. Jiranyakul, Komain, 2009. "Relationship among Money, Prices and Aggregate Output in Thailand," MPRA Paper 46963, University Library of Munich, Germany.
    4. Masudul Hasan Adil & Neeraj R. Hatekar & Taniya Ghosh, 2020. "Role of money in the monetary policy: A New Keynesian and new monetarist perspective," Indira Gandhi Institute of Development Research, Mumbai Working Papers 2020-005, Indira Gandhi Institute of Development Research, Mumbai, India.
    5. Lee, Chien-Chiang & Chen, Pei-Fen & Chang, Chun-Ping, 2007. "Testing linearity in a cointegrating STR model for the money demand function: International evidence from G-7 countries," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 76(4), pages 293-302.
    6. Andreas Beyer & Vitor Gaspar & Christina Gerberding & Otmar Issing, 2013. "Opting Out of the Great Inflation: German Monetary Policy after the Breakdown of Bretton Woods," NBER Chapters, in: The Great Inflation: The Rebirth of Modern Central Banking, pages 301-346, National Bureau of Economic Research, Inc.
    7. Hossain, Akhand Akhtar, 2010. "Monetary targeting for price stability in Bangladesh: How stable is its money demand function and the linkage between money supply growth and inflation?," Journal of Asian Economics, Elsevier, vol. 21(6), pages 564-578, December.
    8. Thórarinn G. Pétursson, 2001. "The representative household's demand for money in a cointegrated VAR model," Economics wp12, Department of Economics, Central bank of Iceland.
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    10. Augustine Arize & John Malindretos & Krishna Kasibhatla, 2003. "Does exchange-rate volatility depress export flows: The case of LDCs," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 9(1), pages 7-19, February.
    11. Laurence Ball, 2002. "Short-Run Money Demand," NBER Working Papers 9235, National Bureau of Economic Research, Inc.
    12. Anderson, Richard G. & Hoffman, Dennis L. & Rasche, Robert H., 2002. "A vector error-correction forecasting model of the US economy," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 569-598, December.
    13. Parker, Miles, 2018. "How global is “global inflation”?," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 174-197.
    14. Martin B. Schmidt, 2004. "Exogeneity within the M2 Demand Function: Evidence from a Large Macroeconomic System," Economic Inquiry, Western Economic Association International, vol. 42(4), pages 634-646, October.
    15. Asad Zaman, 2010. "Causal Relations via Econometrics," International Econometric Review (IER), Econometric Research Association, vol. 2(1), pages 36-56, April.
    16. John H. Cochrane, 1998. "A Frictionless View of U.S. Inflation," NBER Working Papers 6646, National Bureau of Economic Research, Inc.
    17. Alimi, R. Santos, 2014. "DOLS Cointegration Vector Estimation of the Effect of Inflation and Financial Deepening on Output Growth in Nigeria," MPRA Paper 57182, University Library of Munich, Germany.
    18. Wankeun Oh, 2002. "Cointegration and Structural Change: An Application to the U.S. Demand for Money," Economic Inquiry, Western Economic Association International, vol. 40(1), pages 91-101, January.
    19. William A. Barnett & Taniya Ghosh & Masudul Hasan Adil, 2022. "Is Money Demand Really Unstable? Evidence from Divisia Monetary Aggregates," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202204, University of Kansas, Department of Economics.
    20. Neil R. Ericsson & Steven B. Kamin, 2008. "Constructive data mining: modeling Argentine broad money demand," International Finance Discussion Papers 943, Board of Governors of the Federal Reserve System (U.S.).
    21. Hayo, Bernd, 1998. "Estimating a European demand for money," ZEI Working Papers B 05-1998, University of Bonn, ZEI - Center for European Integration Studies.
    22. Kari Heimonen, 2006. "Time-Varying Fundamentals of the Euro-Dollar Exchange Rate," International Economic Journal, Taylor & Francis Journals, vol. 20(4), pages 385-407.
    23. doğru, bülent, 2013. "Dynamic Analysis of Money Demand Function: Case of Turkey," MPRA Paper 48402, University Library of Munich, Germany.
    24. Sophocles Brissimis & Eugenie Garganas & Stephen G. Hall, 2012. "Consumer credit in an era of financial liberalisation: an overreaction to repressed demand?," Working Papers 148, Bank of Greece.
    25. Hendry, David F., 1997. "On congruent econometric relations : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 163-190, December.
    26. Pierre Siklos & Ben Kwok, 1999. "Stock returns and inflation: a new test of competing hypotheses," Applied Financial Economics, Taylor & Francis Journals, vol. 9(6), pages 567-581.
    27. Schmidt, Martin B., 2001. "The long and short of money and prices: a market equilibrium approach," Journal of Economics and Business, Elsevier, vol. 53(6), pages 563-583.
    28. Alfred A. Haug & Pierre L. Siklos, 2002. "The Term Spread International Evidence of Non-Linear Adjustment," Working Papers 2002_08, York University, Department of Economics, revised Jul 2004.
    29. Rao, B. Bhaskara & Kumar, Saten, 2009. "Is the US Demand for Money Unstable?," MPRA Paper 15715, University Library of Munich, Germany.
    30. Zivot, Eric, 2000. "The Power Of Single Equation Tests For Cointegration When The Cointegrating Vector Is Prespecified," Econometric Theory, Cambridge University Press, vol. 16(3), pages 407-439, June.
    31. Faugere, Christophe, 2010. "Macrofoundations for A (Near) 2% Inflation Target," MPRA Paper 23491, University Library of Munich, Germany, revised 25 Jun 2010.
    32. K. Cuthbertson & D. Nitzsche & S. Hyde, 2007. "Monetary Policy And Behavioural Finance," Journal of Economic Surveys, Wiley Blackwell, vol. 21(5), pages 935-969, December.
    33. Faust, Jon & Whiteman, Charles H., 1997. "General-to-specific procedures for fitting a data-admissible, theory-inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model to the DGP: A translation and criti," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 121-161, December.
    34. Błażejowski, Marcin & Kufel, Paweł & Kufel, Tadeusz & Kwiatkowski, Jacek & Osińska, Magdalena, 2018. "Model selection for modeling the demand for narrow money in transitional economies," MPRA Paper 90458, University Library of Munich, Germany.
    35. Rao, B. Bhaskara & Kumar, Saten, 2010. "Error-Correction Based Panel Estimates of the Demand for Money of Selected Asian Countries with the Extreme Bounds Analysis," MPRA Paper 27263, University Library of Munich, Germany.
    36. Magdalena Osinska & Marcin Blazejowski & Pawel Kufel & Tadeusz Kufel & Jacek Kwiatkowski, 2020. "Narrow Money Demand in Indonesia and in Other Transitional Economies – Model Selection and Forecasting," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 1291-1311.
    37. Glenn D. Rudebusch & Lars E.O. Svensson, 1999. "Eurosystem Monetary Targeting: Lessons from U.S. Data," NBER Working Papers 7179, National Bureau of Economic Research, Inc.
    38. Neil R. Ericsson & Steven B. Kamin, 1993. "Dollarization in Argentina," International Finance Discussion Papers 460, Board of Governors of the Federal Reserve System (U.S.).
    39. Martin Schmidt, 2007. "The long and short of money: short-run dynamics within a structural model," Applied Economics, Taylor & Francis Journals, vol. 40(2), pages 175-192.
    40. Hendry, David F. & Ericsson, Neil R., 1991. "Modeling the demand for narrow money in the United Kingdom and the United States," European Economic Review, Elsevier, vol. 35(4), pages 833-881, May.
    41. Hans Christian Kongsted, 2002. "Testing the Nominal-to-Real Transformation," Discussion Papers 02-06, University of Copenhagen. Department of Economics.
    42. Jensen, Farrell E. & Pope, Rulon D., 2004. "Agricultural Precautionary Wealth," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 29(1), pages 1-14, April.
    43. Nelson C. Mark & Donggyu Sul, 2002. "Cointegration Vector Estimation by Panel DOLS and Long-Run Money Demand," NBER Technical Working Papers 0287, National Bureau of Economic Research, Inc.
    44. Afees Salisu & Idris Ademuyiwa & Basiru Fatai, 2013. "Modelling the Demand for Money in Sub-Saharan Africa (SSA)," Economics Bulletin, AccessEcon, vol. 33(1), pages 635-647.
    45. Hoffman, Dennis L. & Rasche, Robert H. & Tieslau, Margie A., 1995. "The stability of long-run money demand in five industrial countries," Journal of Monetary Economics, Elsevier, vol. 35(2), pages 317-339, April.
    46. 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.
    47. Helmi Hamdi & Ali Said & Rashid Sbia, 2015. "Empirical Evidence on the Long-Run Money Demand Function in the Gulf Cooperation Council Countries," International Journal of Economics and Financial Issues, Econjournals, vol. 5(2), pages 603-612.
    48. Matteo Mogliani & Giovanni Urga & Carlos Winograd, 2009. "Monetary disorder and financial regimes - The demand for money in Argentina, 1900-2006," PSE Working Papers halshs-00575107, HAL.
    49. Sanvi Avouyi-Dovi & Françoise Drumetz & Jean-Guillaume Sahuc, 2012. "The Money Demand Function For The Euro Area: Some Empirical Evidence," Bulletin of Economic Research, Wiley Blackwell, vol. 64(3), pages 377-392, July.
    50. Laurence Ball, 1998. "Another Look at Long-Run Money Demand," NBER Working Papers 6597, National Bureau of Economic Research, Inc.
    51. Ranajoy Bhattacharyya & Bipradas Rit, 2018. "On the Relationship between the Nominal Exchange Rate and Export Demand in India," South Asian Journal of Macroeconomics and Public Finance, , vol. 7(2), pages 260-282, December.
    52. Sanchez-Fung, Jose R., 2004. "Modelling money demand in the Dominican Republic," Economics Discussion Papers 2004-1, School of Economics, Kingston University London.
    53. Neil R. Ericsson & John S. Irons, 1995. "The Lucas critique in practice: theory without measurement," International Finance Discussion Papers 506, Board of Governors of the Federal Reserve System (U.S.).
    54. Giese, Julia V., 2008. "Level, Slope, Curvature: Characterising the Yield Curve in a Cointegrated VAR Model," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 2, pages 1-20.
    55. Mike Artis & Andreas Beyer, 2004. "Issues in Money Demand: The Case of Europe," Journal of Common Market Studies, Wiley Blackwell, vol. 42(4), pages 717-736, November.
    56. K. Azim Özdemir & Mesut Saygılı, 2013. "Economic uncertainty and money demand stability in Turkey," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 40(3), pages 314-333, July.
    57. Akhand Akhtar Hossain, 2015. "The Evolution of Central Banking and Monetary Policy in the Asia-Pacific," Books, Edward Elgar Publishing, number 14611.
    58. Clinton Greene, 1999. "On the impossibility of a stable and low GDP elasticity of money demand: the arithmetic of aggregation, replication and income growth," Applied Economics, Taylor & Francis Journals, vol. 31(9), pages 1119-1127.
    59. David F. Hendry & Michael P. Clements, 1994. "Can Econometrics Improve Economic Forecasting?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 130(III), pages 267-298, September.
    60. John Paleologos & Grigorios Bitzis, 2006. "Assessing the Effectiveness of the Exchange Rate Movements on the Greek Current Account Deficit: A Cointegration Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 45-64.
    61. Gordon de Brouwer & Irene Ng & Robert Subbaraman, 1993. "The Demand for Money in Australia: New Tests on an Old Topic," RBA Research Discussion Papers rdp9314, Reserve Bank of Australia.
    62. Arize, Augustine C. & Malindretos, John, 2012. "Nonstationarity and nonlinearity in inflation rate: Some further evidence," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 224-234.
    63. Kumar, Saten & Webber, Don J., 2010. "Australasian money demand stability: Application of structural break tests," MPRA Paper 27569, University Library of Munich, Germany.
    64. Todd E. Clark, 2004. "Can out-of-sample forecast comparisons help prevent overfitting?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(2), pages 115-139.
    65. A. Arize & J. Malindretos, 1998. "The long-run and short-run effects of exchange-rate volatility on exports: The case of Australia and New Zealand," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(2), pages 43-56, June.
    66. Dario Cziráky & Max Gillman, 2006. "Money Demand in an EU Accession Country: A VECM Study of Croatia," Bulletin of Economic Research, Wiley Blackwell, vol. 58(2), pages 105-127, April.
    67. Haug Alfred A & Siklos Pierre L, 2006. "The Behavior of Short-Term Interest Rates: International Evidence of Non-Linear Adjustment," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 10(4), pages 1-34, December.
    68. Neifar, Malika, 2020. "Multivariate GARCH Approaches: case of major sectorial Tunisian stock markets," MPRA Paper 99658, University Library of Munich, Germany.
    69. Jyh-Lin Wu & Yu-Hau Hu, 2007. "Currency substitution and nonlinear error correction in Taiwan's demand for broad money," Applied Economics, Taylor & Francis Journals, vol. 39(13), pages 1635-1645.
    70. Gholam Reza Eslami-Bidgoli & Saeed Bajalan & Mehdi Mirza Bayati, 2010. "Estimating and Forecasting Demand for Broad Money in Iran through Cointegration Analysis and Stochastic Simulation," Iranian Economic Review (IER), Faculty of Economics,University of Tehran.Tehran,Iran, vol. 15(1), pages 33-50, winter.
    71. Sanvi Avouyi-Dovi & Françoise Drumetz & Jean-Guillaume Sahuc, 2007. "The money demand function for the Euro area: one step beyond," Documents de recherche 07-08, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne.
    72. Alfred A. Haug & Julie Tam, 2007. "A Closer Look At Long‐Run U.S. Money Demand: Linear Or Nonlinear Error‐Correction With M0, M1, Or M2?," Economic Inquiry, Western Economic Association International, vol. 45(2), pages 363-376, April.

  106. Hendry, David F., 1992. "An econometric analysis of TV advertising expenditure in the United Kingdom," Journal of Policy Modeling, Elsevier, vol. 14(3), pages 281-311, June.

    Cited by:

    1. 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.).
    2. Mamingi Nlandu, 2017. "Beauty and Ugliness of Aggregation over Time: A Survey," Review of Economics, De Gruyter, vol. 68(3), pages 205-227, December.
    3. 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.).
    4. Gregory S. Crawford & Lachlan Deer & Jeremy Smith & Paul Sturgeon, 2017. "The regulation of public service broadcasters: should there be more advertising on television?," ECON - Working Papers 268, Department of Economics - University of Zurich.
    5. Tomáš Kadlec, 2002. "Optimal timing of tv commercials: symmetrical model," Prague Economic Papers, Prague University of Economics and Business, vol. 2002(4), pages 356-369.
    6. Piergiorgio Alessandri & Andrea Gazzani & Alejandro Vicondoa, 2021. "The Real Effects of Financial Uncertainty Shocks: A Daily Identification Approach," Documentos de Trabajo 559, Instituto de Economia. Pontificia Universidad Católica de Chile..
    7. Nader Nazmi & Miguel D. Ramirez, 1997. "Public And Private Investment And Economic Growth In Mexico," Contemporary Economic Policy, Western Economic Association International, vol. 15(1), pages 65-75, January.
    8. Jon Faust & Eric M. Leeper, 1994. "When do long-run identifying restrictions give reliable results?," FRB Atlanta Working Paper 94-2, Federal Reserve Bank of Atlanta.
    9. Andrea Giovanni Gazzani & Alejandro Vicondoa, 2019. "Proxy-SVAR as a Bridge for Identification with Higher Frequency Data," 2019 Meeting Papers 855, Society for Economic Dynamics.
    10. Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-136, January.
    11. Alejandro Vicondoa & Andrea Gazzani, 2020. "Bridge Proxy-SVAR: Estimating the Macroeconomic Effects of Shocks Identified at High-Frequency," Documentos de Trabajo 533, Instituto de Economia. Pontificia Universidad Católica de Chile..

  107. Banerjee, Anindya & Hendry, David F, 1992. "Testing Integration and Cointegration: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 54(3), pages 225-255, August.

    Cited by:

    1. Entorf, Horst, 1997. "Random walks with drifts: Nonsense regression and spurious fixed-effect estimation," Journal of Econometrics, Elsevier, vol. 80(2), pages 287-296, October.
    2. David Hendry & Hans-Martin Krolzig, 2003. "The Properties of Automatic Gets Modelling," Economics Papers 2003-W14, Economics Group, Nuffield College, University of Oxford.
    3. Raj Aggarwal & Brian M. Lucey & Sunil K. Mohanty, 2006. "The Forward Exchange Rate Bias Puzzle: Evidence from New Cointegration Tests," The Institute for International Integration Studies Discussion Paper Series iiisdp123, IIIS.
    4. Carone, Giuseppe, 1996. "Modeling the U.S. demand for imports through cointegration and error correction," Journal of Policy Modeling, Elsevier, vol. 18(1), pages 1-48, February.
    5. Ivars Tillers, 2004. "Money Demand in Latvia," Working Papers 2004/03, Latvijas Banka.
    6. Filip, Ondrej & Janda, Karel & Kristoufek, Ladislav & Zilberman, David, 2019. "Food versus fuel: An updated and expanded evidence," Energy Economics, Elsevier, vol. 82(C), pages 152-166.
    7. Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1996. "Cointegration tests in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 70(1), pages 187-220, January.
    8. Gilbert, Christopher L. & Tollens, Eric, 2002. "Does Market Liberalization Jeopardize Export Quality? Cameroonian Cocoa, 1995-2000," CEPR Discussion Papers 3224, C.E.P.R. Discussion Papers.
    9. Aggarwal, Raj & Mohanty, Sunil, 2000. "Rationality of Japanese macroeconomic survey forecasts: empirical evidence and comparisons with the US," Japan and the World Economy, Elsevier, vol. 12(1), pages 21-31, January.
    10. Bettina Becker & Stephen Hall, 2009. "Foreign Direct Investment in R&D and Exchange Rate Uncertainty," Open Economies Review, Springer, vol. 20(2), pages 207-223, April.
    11. Ladislav Kristoufek, 2022. "On the role of stablecoins in cryptoasset pricing dynamics," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-26, December.
    12. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
    13. Martín Vallcorba & Javier Delgado, 2007. "Determinantes de la morosidad bancaria en una economía dolarizada. El caso uruguayo," Working Papers 0722, Banco de España.
    14. Hendry David F & Mizon Grayham E, 2011. "Econometric Modelling of Time Series with Outlying Observations," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-26, February.
    15. David Hendry, 1995. "On the interactions of unit roots and exogeneity," Economics Papers 7., Economics Group, Nuffield College, University of Oxford.
    16. Richard Heaney, 1998. "A Test of the cost‐of‐carry relationship using the London Metal Exchange lead contract," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(2), pages 177-200, April.
    17. David F. Hendry, 2013. "Retrospective on ‘Econometric Modelling: The Consumption Function in Retrospect’, Scottish Journal of Political Economy, 30 (1983), 193–220'," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(5), pages 523-525, November.
    18. Zagler, Martin, 2003. "The Dynamics of Economic Growth and Unemployment in Major European Countries: Analysis of Okun´s Law," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 3(3).
    19. Eitrheim,O. & Jansen,E.S. & Nymoen,R., 2000. "Progress from forecast failure : the Norwegian consumption function," Memorandum 32/2000, Oslo University, Department of Economics.
    20. Raj Aggarwal & Winston T. Lin & Sunil K. Mohanty, 2008. "Are Forward Exchange Rates Rational Forecasts of Future Spot Rates? An Improved Econometric Analysis for the Major Currencies," Multinational Finance Journal, Multinational Finance Journal, vol. 12(1-2), pages 1-20, March-Jun.
    21. Sunil Mohanty & Edward Aw, 2006. "Rationality of analysts' earnings forecasts: evidence from dow 30 companies," Applied Financial Economics, Taylor & Francis Journals, vol. 16(12), pages 915-929.
    22. Bettina Becker & Stephen Hall, 2013. "Do R&D strategies in high-tech sectors differ from those in low-tech sectors? An alternative approach to testing the pooling assumption," Economic Change and Restructuring, Springer, vol. 46(2), pages 183-202, May.
    23. Christian Pinshi & Emmanuel Sungani, 2018. "The Relevance Of Pass-Through Effect: Should We Revisit Monetary Policy Regime?," Post-Print hal-02566800, HAL.

  108. Hendry, David F & Ericsson, Neil R, 1991. "An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz," American Economic Review, American Economic Association, vol. 81(1), pages 8-38, March.
    See citations under working paper version above.
  109. Hendry, David F. & Ericsson, Neil R., 1991. "Modeling the demand for narrow money in the United Kingdom and the United States," European Economic Review, Elsevier, vol. 35(4), pages 833-881, May.
    See citations under working paper version above.
  110. Hendry, David F., 1991. "The response of consumption to income: A cross-country investigation : by John Y. Campbell and N. Gregory Mankiw," European Economic Review, Elsevier, vol. 35(4), pages 764-767, May.

    Cited by:

    1. Kohei Kubota & Mototsugu Fukushige, 2009. "Rational Consumers," Discussion Papers in Economics and Business 09-15-Rev, Osaka University, Graduate School of Economics, revised Jun 2011.
    2. Huseyin Murat Ozbilgin, 2009. "Financial Market Participation and the Developing Country Business Cycle," Working Papers 0904, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    3. Mathias Dolls & Clemens Fuest & Andreas Peichl, 2010. "Wie wirken die automatischen Stabilisatoren in der Wirtschaftskrise? Deutschland im Vergleich zu anderen EU‐Staaten und den USA," Perspektiven der Wirtschaftspolitik, Verein für Socialpolitik, vol. 11(2), pages 132-145, May.

  111. Hendry, David F, 1991. "Using PC-NAIVE in Teaching Econometrics," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 53(2), pages 199-223, May.

    Cited by:

    1. David Hendry & Guillaume Chevillon, 2004. "Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes," Economics Series Working Papers 196, University of Oxford, Department of Economics.
    2. David Hendry, 1995. "On the interactions of unit roots and exogeneity," Economics Papers 7., Economics Group, Nuffield College, University of Oxford.

  112. Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1990. "An analogue model of phase-averaging procedures," Journal of Econometrics, Elsevier, vol. 43(3), pages 275-292, March.
    See citations under working paper version above.
  113. Hendry, David F & Morgan, Mary S, 1989. "A Re-analysis of Confluence Analysis," Oxford Economic Papers, Oxford University Press, vol. 41(1), pages 35-52, January.

    Cited by:

    1. Christopher L. Gilbert & Duo Qin, 2007. "Representation in Econometrics: A Historical Perspective," Working Papers 583, Queen Mary University of London, School of Economics and Finance.
    2. Christopher L. Gilbert & Duo Qin, 2005. "The First Fifty Years of Modern Econometrics," Working Papers 544, Queen Mary University of London, School of Economics and Finance.
    3. Duo Qin, 2014. "Inextricability of Autonomy and Confluence in Econometrics," Working Papers 189, Department of Economics, SOAS University of London, UK.
    4. Jennifer Castle & David Hendry, 2010. "Automatic Selection for Non-linear Models," Economics Series Working Papers 473, University of Oxford, Department of Economics.
    5. Bardsen, G., 1990. "Dynamic Modelling and the Demand for Narrow Money in Norway," Papers 07-90, Norwegian School of Economics and Business Administration-.

  114. Hendry, David F. & Neale, Adrian J. & Srba, Frank, 1988. "Econometric analysis of small linear systems using PC-FIML," Journal of Econometrics, Elsevier, vol. 38(1-2), pages 203-226.

    Cited by:

    1. Bårdsen, Gunnar & Nymoen, Ragnar, 2006. "U.S. natural rate dynamics reconsidered," Memorandum 13/2006, Oslo University, Department of Economics.
    2. 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.).
    3. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.).
    4. Erlandsen, Solveig & Nymoen, Ragnar, 2005. "Consumption and population age structure," Memorandum 27/2004, Oslo University, Department of Economics.
    5. Takala, Kari, 1995. "The consumption function revisited: an error-correction model for Finnish consumption," Bank of Finland Research Discussion Papers 20/1995, Bank of Finland.
    6. Andre Jungmittag & Paul J.J. Welfens, 2004. "Politikberatung und empirische Wirtschaftsforschung: Entwicklungen, Probleme, Optionen für mehr Rationalität in der Wirtschaftspolitik," EIIW Discussion paper disbei121, Universitätsbibliothek Wuppertal, University Library.
    7. In, Francis & Batten, Jonathan & Kim, Sangbae, 2003. "What drives the term and risk structure of Japanese bonds?," The Quarterly Review of Economics and Finance, Elsevier, vol. 43(3), pages 518-541.
    8. Hendry, David F., 1997. "On congruent econometric relations : A comment," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 163-190, December.
    9. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
    10. Christophe RAULT, 2007. "Une synthèse de l'exogénéité dans les modèles Vectoriels à Correction d'Erreurs," LEO Working Papers / DR LEO 1723, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    11. 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.
    12. Criddle, Keith R. & Havenner, Arthur M., 1989. "An Encompassing Approach To Modeling Fishery Dynamics," Working Papers 225824, University of California, Davis, Department of Agricultural and Resource Economics.
    13. Hendry, David F & Ericsson, Neil R, 1991. "An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz," American Economic Review, American Economic Association, vol. 81(1), pages 8-38, March.

  115. Hendry, David F, 1988. "The Encompassing Implications of Feedback versus Feedforward Mechanisms in Econometrics," Oxford Economic Papers, Oxford University Press, vol. 40(1), pages 132-149, March.

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    1. Diana N. Weymark, 2003. "Economic Structure, Policy Objectives, and Optimal Interest Rate Policy at Low Inflation Rates," Vanderbilt University Department of Economics Working Papers 0310, Vanderbilt University Department of Economics.
    2. Karimova, Amira & Simsek, Esra & Orhan, Mehmet, 2020. "Policy implications of the Lucas Critique empirically tested along the global financial crisis," Journal of Policy Modeling, Elsevier, vol. 42(1), pages 153-172.
    3. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    4. Carone, Giuseppe, 1996. "Modeling the U.S. demand for imports through cointegration and error correction," Journal of Policy Modeling, Elsevier, vol. 18(1), pages 1-48, February.
    5. Gunnar Bårdsen & Eilev S. Jansen & Ragnar Nymoen, 2002. "The Empirical (ir)Relevance of the New Keynesian Phillips Curve," Working Paper Series 2102, Department of Economics, Norwegian University of Science and Technology.
    6. 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.).
    7. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.).
    8. Psaradakis, Zacharias & Sola, Martin, 1996. "On the power of tests for superexogeneity and structural invariance," Journal of Econometrics, Elsevier, vol. 72(1-2), pages 151-175.
    9. 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.
    10. Roger Bjørnstad & Ragnar Nymoen, 2006. "Will it float? The New Keynesian Phillips curve tested on OECD panel data," Discussion Papers 463, Statistics Norway, Research Department.
    11. Diana N. Weymark, 2000. "Using Taylor Rules as Efficiency Benchmarks," Vanderbilt University Department of Economics Working Papers 0043, Vanderbilt University Department of Economics, revised Sep 2001.
    12. Levent KORAP & Metin YILDIRIM, 2012. "Testing the Lucas Critique for the Turkish Money Demand Function," Iktisat Isletme ve Finans, Bilgesel Yayincilik, vol. 27(318), pages 57-82.
    13. Heimonen, Kari, 2001. "Substituting a substitute currency: The case of Estonia," BOFIT Discussion Papers 11/2001, Bank of Finland Institute for Emerging Economies (BOFIT).
    14. Martin B. Schmidt, 2004. "Exogeneity within the M2 Demand Function: Evidence from a Large Macroeconomic System," Economic Inquiry, Western Economic Association International, vol. 42(4), pages 634-646, October.
    15. Ericsson Neil R., 2008. "Comment on "Economic Forecasting in a Changing World" (by Michael Clements and David Hendry)," Capitalism and Society, De Gruyter, vol. 3(2), pages 1-18, October.
    16. Marchionatti, Roberto & Sella, Lisa, 2015. "Is Neo-Walrasian Macroeconomics a Dead End?," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201521, University of Turin.
    17. Belke, Ansgar, 2000. "Partisan Political Business Cycles in the German Labour Market? Empirical Tests in the Light of the Lucas-Critique," Public Choice, Springer, vol. 104(3-4), pages 225-283, September.
    18. Bjørnstad, Roger & Nymoen, Ragnar, 2008. "The New Keynesian Phillips curve tested on OECD panel data," Economics Discussion Papers 2008-4, Kiel Institute for the World Economy (IfW Kiel).
    19. Boriss Siliverstovs, 2007. "Dynamic Modelling of the Demand for Money in Latvia," Discussion Papers of DIW Berlin 703, DIW Berlin, German Institute for Economic Research.
    20. Neil R. Ericsson, 2008. "The fragility of sensitivity analysis: an encompassing perspective," International Finance Discussion Papers 959, Board of Governors of the Federal Reserve System (U.S.).
    21. Fanelli, Luca, 2008. "Evaluating New Keynesian Phillips Curve under VAR-Based Learning," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 2, pages 1-24.
    22. Mr. Rodney Ramcharan, 2002. "Migration and Human Capital Formation: Theory and Evidence From the U.S. High School Movement," IMF Working Papers 2002/123, International Monetary Fund.
    23. Neil R. Ericsson, 1991. "Parameter constancy, mean square forecast errors, and measuring forecast performance: an exposition, extensions, and illustration," International Finance Discussion Papers 412, Board of Governors of the Federal Reserve System (U.S.).
    24. Vidal Fernadez Montoro, 2001. "Expectations and Behaviour of the Spanish Treasury Bill Rates Patterns in Neighboring Areas," Ekonomia, Cyprus Economic Society and University of Cyprus, vol. 5(1), pages 61-83, Summer.
    25. Carlo A. Favero, 2009. "The Econometrics of Monetary Policy: An Overview," Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 16, pages 821-850, Palgrave Macmillan.
    26. Neil R. Ericsson, 2000. "Predictable uncertainty in economic forecasting," International Finance Discussion Papers 695, Board of Governors of the Federal Reserve System (U.S.).
    27. Jennifer Castle & David Hendry, 2016. "Policy Analysis, Forediction, and Forecast Failure," Economics Series Working Papers 809, University of Oxford, Department of Economics.
    28. Roger E. A. Farmer, 1991. "The Lucas Critique, Policy Invariance and Multiple Equilibria," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 58(2), pages 321-332.
    29. SOOREEA, Rajeev, 2007. "Are Taylor-Based Monetary Policy Rules Forward-Looking?. An Investigation Using Superexogeneity Tests," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 7(2), pages 87-94.
    30. Arslan Razmi & Robert Blecker, 2005. "Developing Country Exports of Manufactures: Moving Up the Ladder to Escape the Fallacy of Composition?," UMASS Amherst Economics Working Papers 2005-02, University of Massachusetts Amherst, Department of Economics, revised May 2006.
    31. 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.
    32. Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502.
    33. K. Cuthbertson & D. Nitzsche & S. Hyde, 2007. "Monetary Policy And Behavioural Finance," Journal of Economic Surveys, Wiley Blackwell, vol. 21(5), pages 935-969, December.
    34. Faust, Jon & Whiteman, Charles H., 1997. "General-to-specific procedures for fitting a data-admissible, theory-inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model to the DGP: A translation and criti," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 121-161, December.
    35. Błażejowski, Marcin & Kufel, Paweł & Kufel, Tadeusz & Kwiatkowski, Jacek & Osińska, Magdalena, 2018. "Model selection for modeling the demand for narrow money in transitional economies," MPRA Paper 90458, University Library of Munich, Germany.
    36. Magdalena Osinska & Marcin Blazejowski & Pawel Kufel & Tadeusz Kufel & Jacek Kwiatkowski, 2020. "Narrow Money Demand in Indonesia and in Other Transitional Economies – Model Selection and Forecasting," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 1291-1311.
    37. Luca Fanelli, 2006. "Testing the New Keynesian Phillips Curve through Vector Autoregressive models : Results from the Euro area," Quaderni di Dipartimento 0, Department of Statistics, University of Bologna.
    38. Neil R. Ericsson & Sunil Sharma, 1996. "Broad money demand and financial liberalization in Greece," International Finance Discussion Papers 559, Board of Governors of the Federal Reserve System (U.S.).
    39. Cheong, ChongCheul, 2003. "Regime changes and econometric modeling of the demand for money in Korea," Economic Modelling, Elsevier, vol. 20(3), pages 437-453, May.
    40. Neil R. Ericsson, 1991. "Cointegration, exogeneity, and policy analysis: an overview," International Finance Discussion Papers 415, Board of Governors of the Federal Reserve System (U.S.).
    41. Hendry, David F. & Ericsson, Neil R., 1991. "Modeling the demand for narrow money in the United Kingdom and the United States," European Economic Review, Elsevier, vol. 35(4), pages 833-881, May.
    42. Blake LeBaron, 2013. "Heterogeneous Agents and Long Horizon Features of Asset Prices," Working Papers 63, Brandeis University, Department of Economics and International Business School, revised Sep 2013.
    43. White, Halbert & Pettenuzzo, Davide, 2014. "Granger causality, exogeneity, cointegration, and economic policy analysis," Journal of Econometrics, Elsevier, vol. 178(P2), pages 316-330.
    44. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
    45. Silva Lopes, Artur, 1994. "A "hipótese das expectativas racionais": teoria e realidade (uma visita guiada à literatura até 1992) [The "rational expectations hypothesis": theory and reality (a guided tour ," MPRA Paper 9699, University Library of Munich, Germany, revised 23 Jul 2008.
    46. 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.
    47. David Hendry & Carlos Santos, 2010. "An Automatic Test of Super Exogeneity," Economics Series Working Papers 476, University of Oxford, Department of Economics.
    48. Teun Kloek, 1992. "La construction et l'estimation de petits modèles macro-économiques," Économie et Prévision, Programme National Persée, vol. 106(5), pages 51-59.
    49. Neil R. Ericsson & John S. Irons, 1995. "The Lucas critique in practice: theory without measurement," International Finance Discussion Papers 506, Board of Governors of the Federal Reserve System (U.S.).
    50. Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993. "Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom," International Finance Discussion Papers 457, Board of Governors of the Federal Reserve System (U.S.).
    51. Alessia Bruzzo & Marco Mazzoli, 2018. "An Empirical Investigation on the European Housing Market Prices," Review of Economics & Finance, Better Advances Press, Canada, vol. 12, pages 29-42, May.
    52. Bruce E. Hansen, 1998. "Testing for Structural Change in Conditional Models," Boston College Working Papers in Economics 310., Boston College Department of Economics.
    53. Neil R. Ericsson & David F. Hendry, 1989. "Encompassing and rational expectations: how sequential corroboration can imply refutation," International Finance Discussion Papers 354, Board of Governors of the Federal Reserve System (U.S.).
    54. John S. Irons & N. Ericsson, "undated". "An early version of The Lucas Critique in Practice: Theory without Measurement," Home Pages _004, Massachussets Institute of Technology, Economics.
    55. John Paleologos & Grigorios Bitzis, 2006. "Assessing the Effectiveness of the Exchange Rate Movements on the Greek Current Account Deficit: A Cointegration Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 45-64.
    56. Bårdsen, Gunnar & Jansen, Eilev S. & Nymoen, Ragnar, 2003. "Testing the New Keynesian Phillips curve," Memorandum 18/2002, Oslo University, Department of Economics.
    57. Neil R. Ericsson, 2001. "Forecast uncertainty in economic modeling," International Finance Discussion Papers 697, Board of Governors of the Federal Reserve System (U.S.).
    58. 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.
    59. Hendry, David F & Ericsson, Neil R, 1991. "An Econometric Analysis of U.K. Money Demand in 'Monetary Trends in the United States and the United Kingdom' by Milton Friedman and Anna Schwartz," American Economic Review, American Economic Association, vol. 81(1), pages 8-38, March.

  116. Hendry, David F & Neale, Adrian J, 1988. "Interpreting Long-run Equilibrium Solutions in Conventional Macro Models: A Comment," Economic Journal, Royal Economic Society, vol. 98(392), pages 808-817, September.

    Cited by:

    1. 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.).
    2. Goodhart, Charles, 1989. "The Conduct of Monetary Policy," Economic Journal, Royal Economic Society, vol. 99(396), pages 293-346, June.
    3. Udo, Eli A. & Obiora, Isitua K., 2006. "Determinants of Foreign Direct Investment and Economic Growth in the West African Monetary Zone: A System Equations Approach," Conference papers 331519, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    4. Warner, Andrew M, 1994. "Does World Investment Demand Determine U.S. Exports?," American Economic Review, American Economic Association, vol. 84(5), pages 1409-1422, December.
    5. Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502.
    6. Pål Boug, 1999. "The Demand for Labour and the Lucas Critique. Evidence from Norwegian Manufacturing," Discussion Papers 256, Statistics Norway, Research Department.
    7. Pål Boug & Ådne Cappelen & Anders R. Swensen, 2000. "Expectations in Export Price Formation Tests using Cointegrated VAR Models," Discussion Papers 283, Statistics Norway, Research Department.
    8. Bagnai, Alberto & Carlucci, Francesco, 2003. "An aggregate model for the European Union," Economic Modelling, Elsevier, vol. 20(3), pages 623-649, May.
    9. Ghose, Devajyoti, 1995. "Linear aggregation in cointegrated systems," Journal of Economic Dynamics and Control, Elsevier, vol. 19(5-7), pages 1011-1032.

  117. Hendry, David F., 1988. "Encompassing," National Institute Economic Review, National Institute of Economic and Social Research, vol. 125, pages 88-103, August.

    Cited by:

    1. Graham, John R., 1996. "Proxies for the corporate marginal tax rate," Journal of Financial Economics, Elsevier, vol. 42(2), pages 187-221, October.

  118. Hendry, David F, 1986. "Using PC-GIVE in Econometrics Teaching," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(1), pages 87-98, February.

    Cited by:

    1. 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.
    2. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    3. 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.
    4. Ben Smit & Stan du Plessis, 2001. "Inflation and the role of wages in South Africa: A co-integration analysis," Working Papers 01053, University of Cape Town, Development Policy Research Unit.
    5. Bent Nielsen & Andrew Whitby, 2012. "A Joint Chow Test for Structural Instability," Economics Papers 2012-W07, Economics Group, Nuffield College, University of Oxford.

  119. Hendry, David F, 1986. "Econometric Modelling with Cointegrated Variables: An Overview," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 48(3), pages 201-212, August.

    Cited by:

    1. Tyrväinen, Timo, 1991. "Unions, wages and employment: evidence from Finland," Bank of Finland Research Discussion Papers 16/1991, Bank of Finland.
    2. Chipman, John S. & Eymann, Angelika & Ronning, Gerd & Tian, Guoqiang, 1992. "Estimating Price Responses of German Imports and Exports," MPRA Paper 41301, University Library of Munich, Germany.
    3. Steven S. Vickner & Stephen P. Davies, 2002. "Estimating strategic price response using cointegration analysis: The case of the domestic black and herbal tea industries," Agribusiness, John Wiley & Sons, Ltd., vol. 18(2), pages 131-144.
    4. Florence Contré & Ian Goldin, 1991. "L'agriculture en période d'ajustement au Brésil," Revue Tiers Monde, Programme National Persée, vol. 32(126), pages 271-302.
    5. Emrah Kocak & Hayriye Hilal Baglitas, 2022. "The path to sustainable municipal solid waste management: Do human development, energy efficiency, and income inequality matter?," Sustainable Development, John Wiley & Sons, Ltd., vol. 30(6), pages 1947-1962, December.
    6. Arthur De Vany & W. David Walls, 1993. "Pipeline Access and Market Integration in the Natural Gas Industry: Evidence from Cointegration Tests," The Energy Journal, , vol. 14(4), pages 1-19, October.
    7. Moazzami, Bakhtiar & Gupta, Kanhaya L., 1995. "The quantity theory of money and its long-run implications," Journal of Macroeconomics, Elsevier, vol. 17(4), pages 667-682.
    8. Anita Ghatak, 1998. "Aggregate consumption functions for India: A cointegration analysis under structural changes, 1919-86," Journal of Applied Statistics, Taylor & Francis Journals, vol. 25(4), pages 475-488.
    9. Burnquist, Heloisa & Kyle, Steven, 1995. "Overshooting agricultural prices and the importance of economic structure: evidence from Brazil," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 49(1), January.
    10. Siddiqi, Umema, 2021. "Estimating Long-Run Cointegration between Gold Prices and its Determinants," MPRA Paper 103182, University Library of Munich, Germany.
    11. 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.).
    12. Niemi, Jyrki S. & Huan-Niemi, Ellen & Ledebur, Oliver von & Salamon, Petra, 2005. "Expansion of Mercosur's Agricultural Exports to the EU: An Empirical Assessment of the Trade Flows," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24606, European Association of Agricultural Economists.
    13. Jaebeom Kim & Jung-Min Kim, 2016. "Stock Returns and Mutual Fund Flows in the Korean Financial Market: A System Approach," Working Papers 2016-3, Economic Research Institute, Bank of Korea.
    14. Carone, Giuseppe, 1996. "Modeling the U.S. demand for imports through cointegration and error correction," Journal of Policy Modeling, Elsevier, vol. 18(1), pages 1-48, February.
    15. Mr. Frederick L Joutz & Mr. Yasser Abdih, 2005. "Relating the Knowledge Production Function to Total Factor Productivity: An Endogenous Growth Puzzle," IMF Working Papers 2005/074, International Monetary Fund.
    16. Geoffrey M. B. Tootell, 1992. "Purchasing power parity within the United States," New England Economic Review, Federal Reserve Bank of Boston, issue Jul, pages 15-24.
    17. Foders, Federico & Glismann, Hans H., 1992. "Explaining the Argentine growth paradox: new evidence applying cointegration techniques," Kiel Working Papers 506, Kiel Institute for the World Economy (IfW Kiel).
    18. Michel Peytrignet & Christof Stahel, 1998. "Stability of money demand in Switzerland: A comparison of the M2 and M3 cases," Empirical Economics, Springer, vol. 23(3), pages 437-454.
    19. E. Milner-Gulland, 1993. "An econometric analysis of consumer demand for ivory and rhino horn," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 3(1), pages 73-95, February.
    20. Ngor Diof, Maurice & Ndong, Benjamin, 2014. "Real Effective Exchange Rate Changes and Trade Balance in Senegal: twenty years after CFA franc devaluation," Conference papers 332457, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    21. Levent KORAP, 2008. "Exchange Rate Determination Of Tl/Us$:A Co-Integration Approach," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 7(1), pages 24-50, May.
    22. Balázs Égert & Peter Gal, 2017. "The quantification of structural reforms in OECD countries: A new framework," OECD Journal: Economic Studies, OECD Publishing, vol. 2016(1), pages 91-108.
    23. Paqué, Karl-Heinz, 1991. "Structural wage rigidity in West Germany 1950-1989: Some new econometric evidence," Kiel Working Papers 489, Kiel Institute for the World Economy (IfW Kiel).
    24. José Roberto López, 1993. "Market efficiency, purchasing power parity and cointegration in Central American black foreing exchange markets," Estudios Económicos, El Colegio de México, Centro de Estudios Económicos, vol. 8(1), pages 111-153.
    25. Carlo A. Favero & Alessandro Melone, 2019. "Asset Pricing vs Asset Expected Returning in Factor Models," Working Papers 651, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    26. jose ramos pires manso, 2004. "Economical Versus Political Cycles In An Iberian Manufacturing Sector," Industrial Organization 0404003, University Library of Munich, Germany.
    27. Adel A. Al-Sharkas & Marwan Al-Zoubi, 2011. "Stock Prices and Inflation: Evidence from Jordan, Saudi Arabia, Kuwait, and Morocco," Working Papers 653, Economic Research Forum, revised 12 Jan 2011.
    28. Udo, Eli A. & Obiora, Isitua K., 2006. "Determinants of Foreign Direct Investment and Economic Growth in the West African Monetary Zone: A System Equations Approach," Conference papers 331519, Purdue University, Center for Global Trade Analysis, Global Trade Analysis Project.
    29. Masih, Abul M. M. & Masih, Rumi, 1996. "Empirical tests to discern the dynamic causal chain in macroeconomic activity: new evidence from Thailand and Malaysia based on a multivariate cointegration/vector error-correction modeling approach," Journal of Policy Modeling, Elsevier, vol. 18(5), pages 531-560, October.
    30. Naser, Hanan, 2014. "On the cointegration and causality between Oil market, Nuclear Energy Consumption, and Economic Growth: Evidence from Developed Countries," MPRA Paper 65252, University Library of Munich, Germany, revised 25 Mar 2015.
    31. Stefania Villa, 2005. "Determinants of growth in Italy. A time series analysis," Quaderni DSEMS 24-2005, Dipartimento di Scienze Economiche, Matematiche e Statistiche, Universita' di Foggia.
    32. Ciobotaru, Corina & Mazza, Christian, 2022. "Consistency and asymptotic normality of M-estimates of scatter on Grassmann manifolds," Journal of Multivariate Analysis, Elsevier, vol. 190(C).
    33. PHILIP E.T. LEWIS & GARRY A. MacDONALD, 1993. "Testing for Equilibrium in the Australian Wage Equation," The Economic Record, The Economic Society of Australia, vol. 69(3), pages 295-304, September.
    34. Byun, Jong-Cook & Chen, Son-Nan, 1996. "International real interest rate parity with error correction models," Global Finance Journal, Elsevier, vol. 7(2), pages 129-151.
    35. Phillips, P C B, 1991. "Optimal Inference in Cointegrated Systems," Econometrica, Econometric Society, vol. 59(2), pages 283-306, March.
    36. Nassar S. Al-Nassar & Razzaque H. Bhatti, 2019. "Are common stocks a hedge against inflation in emerging markets?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(3), pages 421-455, July.
    37. Quadri, Syed & Masih, Mansur, 2017. "Granger-causality between macroeconomic variables and stock market index: evidence from India," MPRA Paper 110304, University Library of Munich, Germany.
    38. Swee-Lean Chan, 2002. "Responses of selected economic indicators to construction output shocks: the case of Singapore," Construction Management and Economics, Taylor & Francis Journals, vol. 20(6), pages 523-533.
    39. Russell Davidson & Victoria Zinde-Walsh, 2017. "Advances in specification testing," Canadian Journal of Economics, Canadian Economics Association, vol. 50(5), pages 1595-1631, December.
    40. Huan-Niemi, Ellen & Niemi, Jyrki S., 2008. "Empirical analysis of agricultural trade between EU and China: Explanation behind China's growing agrifood imports," 2008 International Congress, August 26-29, 2008, Ghent, Belgium 43962, European Association of Agricultural Economists.
    41. Wadud, Zia, 2015. "Decomposing the drivers of aviation fuel demand using simultaneous equation models," Energy, Elsevier, vol. 83(C), pages 551-559.
    42. Ikechukwu Kelikume, 2014. "Interest Rate Chanel of Monetary Transmission Mechanism: Evidence from Nigeria," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 8(4), pages 97-107.
    43. Masudul Hasan Adil & Neeraj Hatekar & Pravakar Sahoo, 2020. "The Impact of Financial Innovation on the Money Demand Function: An Empirical Verification in India," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 14(1), pages 28-61, February.
    44. Arshanapalli, Bala & Doukas, John, 1994. "Common stochastic trends in a system of Eurocurrency rates," Journal of Banking & Finance, Elsevier, vol. 18(6), pages 1047-1061, December.
    45. Bevilacqua, Franco, 2006. "Random walks and cointegration relationships in international parity conditions between Germany and USA for the Bretton-Woods period," MERIT Working Papers 2006-016, United Nations University - Maastricht Economic and Social Research Institute on Innovation and Technology (MERIT).
    46. Sophie Altermatt, 2018. "The Long-Run Demand for M2 Reconsidered," Diskussionsschriften dp1824, Universitaet Bern, Departement Volkswirtschaft.
    47. Zulfiqar Bashir, 2003. "The Impacts of Economic Reforms and Trade Liberalisation on Agricultural Export Performance in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 42(4), pages 941-960.
    48. Arnold, Stephan & Auer, Benjamin R., 2015. "What do scientists know about inflation hedging?," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 187-214.
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    1. Neil R. Ericsson, 1986. "Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 691-707.
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    5. Francis X. Diebold & Jose A. Lopez, 1995. "Measuring Volatility Dynamics," NBER Technical Working Papers 0173, National Bureau of Economic Research, Inc.
    6. Lawford, Steve & Stamatogiannis, Michalis P., 2009. "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Journal of Econometrics, Elsevier, vol. 148(2), pages 124-130, February.
    7. Oliver Linton, 1996. "An Asymptotic Expansion in the Garch(1,1) Model," Cowles Foundation Discussion Papers 1118, Cowles Foundation for Research in Economics, Yale University.
    8. Zhang, Feng, 2007. "An application of vector GARCH model in semiconductor demand planning," European Journal of Operational Research, Elsevier, vol. 181(1), pages 288-297, August.
    9. Lumsdaine, Robin L. & Ng, Serena, 1999. "Testing for ARCH in the presence of a possibly misspecified conditional mean," Journal of Econometrics, Elsevier, vol. 93(2), pages 257-279, December.
    10. Carnero, María Ángeles, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.
    11. Ali Alami & Eric Renault, 2001. "Risque de modèle de volatilité," CIRANO Working Papers 2001s-06, CIRANO.
    12. Yiu Kuen Tse & Albert K. C. Tsui, 2000. "A Multivariate GARCH Model with Time-Varying Correlations," Econometric Society World Congress 2000 Contributed Papers 0250, Econometric Society.
    13. 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.
    14. Diebold, Francis X., 2004. "The Nobel Memorial Prize for Robert F. Engle," CFS Working Paper Series 2004/11, Center for Financial Studies (CFS).
    15. N. Vijayamohanan Pillai, 2010. "Electricity Demand Analysis and Forecasting- The Tradition is Questioned," Working Papers id:2966, eSocialSciences.
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    17. Atalla, Tarek & Joutz, Fred & Pierru, Axel, 2016. "Does disagreement among oil price forecasters reflect volatility? Evidence from the ECB surveys," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1178-1192.
    18. DUFOUR, Jean-Marie & KHALAF, Lynda & BERNARD, Jean-Thomas, 2001. "Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects," Cahiers de recherche 2001-08, Universite de Montreal, Departement de sciences economiques.
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    28. LeBaron, Blake, 2003. "Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [," International Journal of Forecasting, Elsevier, vol. 19(4), pages 751-752.
    29. Weiß, Christian H. & Schweer, Sebastian, 2016. "Bias corrections for moment estimators in Poisson INAR(1) and INARCH(1) processes," Statistics & Probability Letters, Elsevier, vol. 112(C), pages 124-130.
    30. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
    31. Faria Hossain Borsha & Liton Chandra Voumik & Mamunur Rashid & Mihir Kumar Das & Nina Stępnicka & Grzegorz Zimon, 2024. "An Empirical Investigation of GDP, Industrialization, Population, Renewable Energy and CO2 Emission in Bangladesh: Bridging EKC-STIRPAT Models," International Journal of Energy Economics and Policy, Econjournals, vol. 14(3), pages 560-571, May.
    32. Duchesne, Pierre, 2006. "Testing for multivariate autoregressive conditional heteroskedasticity using wavelets," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2142-2163, December.
    33. Mendes, Beatriz Vaz de Melo, 1998. "Financial Modeling Using Sampling-Importance Resampling," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 18(1), May.
    34. Rodrigo Alfaro & Carmen Gloria Silva, 2008. "Measuring Equity Volatility: the case of Chilean Stock Index," Working Papers Central Bank of Chile 462, Central Bank of Chile.
    35. Duchesne, Pierre, 2004. "On robust testing for conditional heteroscedasticity in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 46(2), pages 227-256, June.
    36. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    37. N. Vijayamohanan Pillai, 2001. "Electricity demand analysis and forecasting: The tradition is questioned," Centre for Development Studies, Trivendrum Working Papers 312, Centre for Development Studies, Trivendrum, India.
    38. Kyrtsou, Catherine, 2008. "Re-examining the sources of heteroskedasticity: The paradigm of noisy chaotic models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(27), pages 6785-6789.

  122. Hendry, David F, 1985. "Monetary Economic Myth and Econometric Reality," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 1(1), pages 72-84, Spring.

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    1. M. T. Alguacil & Vicente Orts, 2002. "Inward Foreign Direct Investment And Imports In Spain," Working Papers 02-01, Asociación Española de Economía y Finanzas Internacionales.
    2. 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.).
    3. Neil R. Ericsson & David F. Hendry & Grayham E. Mizon, 1998. "Exogeneity, cointegration, and economic policy analysis," International Finance Discussion Papers 616, Board of Governors of the Federal Reserve System (U.S.).
    4. Carlo Monticelli & Marc-Olivier Strauss-Kahn, 1992. "European integration and the demand for broad money," BIS Working Papers 18, Bank for International Settlements.
    5. Goodhart, Charles, 1989. "The Conduct of Monetary Policy," Economic Journal, Royal Economic Society, vol. 99(396), pages 293-346, June.
    6. Werner, Richard A., 2012. "Towards a new research programme on ‘banking and the economy’ — Implications of the Quantity Theory of Credit for the prevention and resolution of banking and debt crises," International Review of Financial Analysis, Elsevier, vol. 25(C), pages 1-17.
    7. Janine Aron & John Muellbauer & Rachel Sebudde, 2015. "Inflation forecasting models for Uganda: is mobile money relevant?," CSAE Working Paper Series 2015-17, Centre for the Study of African Economies, University of Oxford.
    8. Janine Aron, 2017. "‘Leapfrogging’: a Survey of the Nature and Economic Implications of Mobile Money," CSAE Working Paper Series 2017-02, Centre for the Study of African Economies, University of Oxford.
    9. Neil R. Ericsson, 2008. "The fragility of sensitivity analysis: an encompassing perspective," International Finance Discussion Papers 959, Board of Governors of the Federal Reserve System (U.S.).
    10. Kari Heimonen, 2006. "Time-Varying Fundamentals of the Euro-Dollar Exchange Rate," International Economic Journal, Taylor & Francis Journals, vol. 20(4), pages 385-407.
    11. Janine Aron & John Muellbauer, 2000. "Estimating Monetary Policy Rules for South Africa," Working Papers Central Bank of Chile 89, Central Bank of Chile.
    12. Robert Leeson, 2000. "Inflation, Disinflation and the Natural Rate of Unemployment: A Dynamic Framework for Policy Analysis," RBA Annual Conference Volume (Discontinued), in: David Gruen & Sona Shrestha (ed.),The Australian Economy in the 1990s, Reserve Bank of Australia.
    13. Faust, Jon & Whiteman, Charles H., 1997. "General-to-specific procedures for fitting a data-admissible, theory-inspired, congruent, parsimonious, encompassing, weakly-exogenous, identified, structural model to the DGP: A translation and criti," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 47(1), pages 121-161, December.
    14. Neil R. Ericsson, 1991. "Cointegration, exogeneity, and policy analysis: an overview," International Finance Discussion Papers 415, Board of Governors of the Federal Reserve System (U.S.).
    15. M.T. Alguacil & V. Orts, "undated". "A multivariate cointegrated model testing for temporal causality between exports and outward FDI: The Spanish case," Studies on the Spanish Economy 50, FEDEA.
    16. Hendry, David F. & Ericsson, Neil R., 1991. "Modeling the demand for narrow money in the United Kingdom and the United States," European Economic Review, Elsevier, vol. 35(4), pages 833-881, May.
    17. Bardsen, G., 1990. "Dynamic Modelling and the Demand for Narrow Money in Norway," Papers 07-90, Norwegian School of Economics and Business Administration-.
    18. Ben Smit & Stan du Plessis, 2001. "Inflation and the role of wages in South Africa: A co-integration analysis," Working Papers 01053, University of Cape Town, Development Policy Research Unit.
    19. Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993. "Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom," International Finance Discussion Papers 457, Board of Governors of the Federal Reserve System (U.S.).
    20. Clavero, Borja, 2017. "A contribution to the Quantity Theory of Disaggregated Credit," MPRA Paper 76657, University Library of Munich, Germany.
    21. Alessia Bruzzo & Marco Mazzoli, 2018. "An Empirical Investigation on the European Housing Market Prices," Review of Economics & Finance, Better Advances Press, Canada, vol. 12, pages 29-42, May.
    22. Neil R. Ericsson & David F. Hendry, 1989. "Encompassing and rational expectations: how sequential corroboration can imply refutation," International Finance Discussion Papers 354, Board of Governors of the Federal Reserve System (U.S.).
    23. David F. Hendry, 2024. "A Brief History of General‐to‐specific Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 1-20, February.
    24. Godwin Nwaobi, 2001. "A Vector Error Correction And Nonnested Modelling Of Money Demand Function In Nigeria," Econometrics 0111004, University Library of Munich, Germany.
    25. Peter C.B. Phillips, 1988. "Reflections on Econometric Methodology," Cowles Foundation Discussion Papers 893, Cowles Foundation for Research in Economics, Yale University.
    26. Janine Aron, 2000. "Monetary Transmission and Policy Rules in South Africa," Econometric Society World Congress 2000 Contributed Papers 1627, Econometric Society.

  123. Anderson, Gordon J & Hendry, David F, 1984. "An Econometric Model of United Kingdom Building Societies," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 46(3), pages 185-210, August.

    Cited by:

    1. 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.).
    2. Neil R. Ericsson & David F. Hendry & Kevin M. Prestwich, 1998. "The Demand for Broad Money in the United Kingdom, 1878–1993," Scandinavian Journal of Economics, Wiley Blackwell, vol. 100(1), pages 289-324, March.
    3. Emilio Fernandez-Corugedo & John Muellbauer, 2006. "Consumer credit conditions in the United Kingdom," Bank of England working papers 314, Bank of England.
    4. Geoffrey P. Meen, 1989. "The Ending of Mortgage Rationing and its Effects on the Housing Market: A Simulation Study," Urban Studies, Urban Studies Journal Limited, vol. 26(2), pages 240-252, April.
    5. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
    6. Joanna Paisley, 1994. "A Model of Building Society Interest Rate Setting," Bank of England working papers 22, Bank of England.
    7. Neil R. Ericsson, David F. Hendry & Kevin M. Prestiwch, "undated". "The UK Demand for Broad Money over the Long run," Economics Papers W29, Economics Group, Nuffield College, University of Oxford.
    8. Janko, Zuzana, 2020. "On the relationship between the current account and the fiscal balance: The case of Canada," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    9. Neil R. Ericsson & David F. Hendry, 1985. "Conditional econometric modelling : an application to new house prices in the United Kingdom," International Finance Discussion Papers 254, Board of Governors of the Federal Reserve System (U.S.).

  124. Hendry, David F & Marshall, Robert C, 1983. "On High and Low R2 Contributions," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 45(3), pages 313-316, August.

    Cited by:

    1. Savedoff, William D., 1991. "Wage Dynamics in Urban Brazil: Evidence of Regional Segmentation or National Markets?," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 11(2), November.

  125. Hendry, David F, 1983. "On Keynesian Model Building and the Rational Expectations Critique: A Question of Methodology," Cambridge Journal of Economics, Cambridge Political Economy Society, vol. 7(1), pages 69-75, March.

    Cited by:

    1. Grahame Thompson, 1993. "Causality in economics: Rhetorical ethic or positivist empiric?," Quality & Quantity: International Journal of Methodology, Springer, vol. 27(1), pages 47-71, February.

  126. Engle, Robert F & Hendry, David F & Richard, Jean-Francois, 1983. "Exogeneity," Econometrica, Econometric Society, vol. 51(2), pages 277-304, March.
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  127. Hendry, David F, 1983. "Econometric Modelling: The "Consumption Function" in Retrospect," Scottish Journal of Political Economy, Scottish Economic Society, vol. 30(3), pages 193-220, November.

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    1. David Rae, 1997. "A forward-looking model of aggregate consumption in New Zealand," New Zealand Economic Papers, Taylor & Francis Journals, vol. 31(2), pages 199-220.
    2. Joseph P. Hughes & Loretta J. Mester & Choon-Geol Moon, 2017. "Measuring agency costs and the value of investment opportunities of US bank holding companies with stochastic frontier estimation," Chapters, in: Jacob A. Bikker & Laura Spierdijk (ed.), Handbook of Competition in Banking and Finance, chapter 11, pages 205-229, Edward Elgar Publishing.
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    104. Bentivoglio, D. & Bucci, G. & Finco, A., 2018. "Factor affecting the palm oil boom in Indonesia: a time series analysis," 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia 277129, International Association of Agricultural Economists.
    105. Oller, Lars-Erik & Tallbom, Christer, 1996. "Smooth and timely business cycle indicators for noisy Swedish data," International Journal of Forecasting, Elsevier, vol. 12(3), pages 389-402, September.
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    107. David F. Hendry & Michael P. Clements, 1994. "Can Econometrics Improve Economic Forecasting?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 130(III), pages 267-298, September.
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    109. Neil R. Ericsson & David F. Hendry, 1989. "Encompassing and rational expectations: how sequential corroboration can imply refutation," International Finance Discussion Papers 354, Board of Governors of the Federal Reserve System (U.S.).
    110. Rada, Nicholas E. & Schimmelpfennig, David E., 2015. "Propellers of Agricultural Productivity in India," Economic Research Report 262202, United States Department of Agriculture, Economic Research Service.
    111. John Paleologos & Grigorios Bitzis, 2006. "Assessing the Effectiveness of the Exchange Rate Movements on the Greek Current Account Deficit: A Cointegration Analysis," European Research Studies Journal, European Research Studies Journal, vol. 0(1-2), pages 45-64.
    112. Elmer Cuba & Rafael Herrada, 1995. "Demanda de Dinero, Inflación y Política Monetaria en el Perú: 1991-1994," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 32(97), pages 347-378.
    113. Álvaro Moreno, 2002. "Determinantes del tipo de cambio real en Colombia. Un modelo neokeynesiano," Revista de Economía Institucional, Universidad Externado de Colombia - Facultad de Economía, vol. 4(7), pages 40-61, July-Dece.
    114. David F. Hendry, 2024. "A Brief History of General‐to‐specific Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 1-20, February.
    115. Simes, Richard M, 1988. "Macroeconometric Model Evaluation, with Special Reference to the NIF88 Model," Australian Economic Papers, Wiley Blackwell, vol. 27(0), pages 29-56, Supplemen.
    116. Neil R. Ericsson & David F. Hendry, 1985. "Conditional econometric modelling : an application to new house prices in the United Kingdom," International Finance Discussion Papers 254, Board of Governors of the Federal Reserve System (U.S.).
    117. Giuseppe Nicoletti, 1991. "Consommation privée et endettement public en Italie et en Belgique : existe-t-il une relation stable ?," Revue de l'OFCE, Programme National Persée, vol. 37(1), pages 79-121.
    118. Yock Y. Chong & David F. Hendry, 1986. "Econometric Evaluation of Linear Macro-Economic Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 671-690.
    119. John J. Beggs, 1988. "Diagnostic Testing in Applied Econometrics," The Economic Record, The Economic Society of Australia, vol. 64(2), pages 81-101, June.
    120. Allen, P. Geoffrey & Morzuch, Bernard J., 2006. "Twenty-five years of progress, problems, and conflicting evidence in econometric forecasting. What about the next 25 years?," International Journal of Forecasting, Elsevier, vol. 22(3), pages 475-492.
    121. James J. Heckman, 2000. "Causal Parameters and Policy Analysis in Economics: A Twentieth Century Retrospective," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 115(1), pages 45-97.
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    123. Broersma, L., 1991. "The relation between unemployment and interest rate : application of an ARX approach," Serie Research Memoranda 0057, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    124. Jonas Harnau, 2018. "Log-Normal or Over-Dispersed Poisson?," Risks, MDPI, vol. 6(3), pages 1-37, July.
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    132. Peter C.B. Phillips, 1988. "Reflections on Econometric Methodology," Cowles Foundation Discussion Papers 893, Cowles Foundation for Research in Economics, Yale University.
    133. Sucarrat, Genaro, 2008. "Forecast Evaluation of Explanatory Models of Financial Return Variability," Economics Discussion Papers 2008-18, Kiel Institute for the World Economy (IfW Kiel).
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  129. Hendry, David F., 1982. "A reply to Professors Maasoumi and Phillips," Journal of Econometrics, Elsevier, vol. 19(2-3), pages 203-213, August.

    Cited by:

    1. Neil R. Ericsson, 1986. "Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 691-707.
    2. Partha Deb & James F. Burgess, Jr., 2003. "A Quasi-experimental Comparison of Econometric Models for Health Care Expenditures," Economics Working Paper Archive at Hunter College 212, Hunter College Department of Economics.
    3. Jan F. Kiviet & Jerzy Niemczyk, 2014. "On the Limiting and Empirical Distributions of IV Estimators When Some of the Instruments are Actually Endogenous," Advances in Econometrics, in: Essays in Honor of Peter C. B. Phillips, volume 33, pages 425-490, Emerald Group Publishing Limited.
    4. Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976, Elsevier.
    5. Neil R. Ericsson, 1987. "Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses," International Finance Discussion Papers 317, Board of Governors of the Federal Reserve System (U.S.).

  130. Davidson, James E. H. & Hendry, David F., 1981. "Interpreting econometric evidence : The behaviour of consumers' expenditure in the UK," European Economic Review, Elsevier, vol. 16(1), pages 177-192.

    Cited by:

    1. 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.).
    2. Baffoe-Bonnie, J. & Khayum, M., 1995. "Economic Development, Life Cycle Consumption, and Planning Horizons," Papers 4-95-1-ces, Pennsylvania State - Department of Economics.
    3. David F. Hendry, 2013. "Econometric Modelling: The ‘Consumption Function’ In Retrospect," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(5), pages 495-522, November.
    4. Sousa, Ricardo M., 2010. "Consumption, (dis)aggregate wealth, and asset returns," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 606-622, September.
    5. Ricardo M. Sousa, 2003. "Property of stocks and wealth effects on consumption," NIPE Working Papers 2/2003, NIPE - Universidade do Minho.
    6. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    7. Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1996. "Cointegration tests in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 70(1), pages 187-220, January.
    8. Schumacher, J.M., 1990. "System-theoretic trends in econometrics," Other publications TiSEM a43f267f-2db4-4753-b2b2-b, Tilburg University, School of Economics and Management.
    9. Francesco Busato & Bruno Chiarini, 2002. "Consumption And Income Smoothing," Working Papers 2_2002, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy.
    10. Takala, Kari, 1995. "The consumption function revisited: an error-correction model for Finnish consumption," Bank of Finland Research Discussion Papers 20/1995, Bank of Finland.
    11. Sarno, Lucio & Taylor, Mark P., 1998. "Real Interest Rates, Liquidity Constraints and Financial Deregulation: Private Consumption Behavior in the U.K," Journal of Macroeconomics, Elsevier, vol. 20(2), pages 221-242, April.
    12. Sousa, Ricardo M., 2009. "Wealth effects on consumption: evidence from the euro area," Working Paper Series 1050, European Central Bank.
    13. Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5.
    14. John James Thomas, 1986. "Algunos desarrollos recientes en la metodología de la econometría aplicada," Lecturas de Economía, Universidad de Antioquia, Departamento de Economía, issue 19, pages 209-240.
    15. Jeffrey A. Miron, 1986. "Seasonal Fluctuations and the Life Cycle-Permanent Income Model of Consumption," NBER Working Papers 1845, National Bureau of Economic Research, Inc.
    16. Ahmed M. Khalid, 1994. "Empirical Tests of the Rational Expectations — Permanent Income Hypothesis: Evidence from Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 33(4), pages 1043-1053.
    17. Ian Domowitz & Lars Muus, 1985. "Inference in the Explosive First-Order Linear Dynamic Regression Model," Discussion Papers 672, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    18. Kiviet, Jan, 1984. "Model Selection Test Procedues In A Single Linear Equation Of A Dynamic Simultaneous System And Their Defects In Small Samples," University of Amsterdam, Actuarial Science and Econometrics Archive 293071, University of Amsterdam, Faculty of Economics and Business.
    19. David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
    20. Victor Zarnowitz, 1984. "Recent Work on Business Cycles in Historical Perspective: Review of Theories and Evidence," NBER Working Papers 1503, National Bureau of Economic Research, Inc.
    21. Mizon, Grayham E & Richard, Jean-Francois, 1986. "The Encompassing Principle and Its Application to Testing Non-nested Hypotheses," Econometrica, Econometric Society, vol. 54(3), pages 657-678, May.
    22. Fredj Jawadi & Ricardo M. Sousa, 2012. "Consumption and Wealth in the US, the UK and the Euro Area:A Nonlinear Investigation," NIPE Working Papers 24/2012, NIPE - Universidade do Minho.
    23. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
    24. Campbell, John & Perron, Pierre, 1991. "Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots," Scholarly Articles 3374863, Harvard University Department of Economics.
    25. Lise Pichette, 2000. "Les effets réels du cours des actions sur la consommation," Staff Working Papers 00-21, Bank of Canada.
    26. David F. Hendry, 2013. "Retrospective on ‘Econometric Modelling: The Consumption Function in Retrospect’, Scottish Journal of Political Economy, 30 (1983), 193–220'," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(5), pages 523-525, November.
    27. Bokana K.G & Kabongo W.N.S, 2018. "Modelling Real Private Consumption Expenditure in South Africa to Test the Absolute Income Hypothesis," Journal of Economics and Behavioral Studies, AMH International, vol. 10(5), pages 138-155.
    28. Muhammad Abdullah & Rukhsana Kalim, 2016. "Impact of Global Food Price Escalation on Poverty in South Asian Countries," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 55(4), pages 543-559.
    29. Neil R. Ericsson & David F. Hendry, 1985. "Conditional econometric modelling : an application to new house prices in the United Kingdom," International Finance Discussion Papers 254, Board of Governors of the Federal Reserve System (U.S.).
    30. Campbell, John Y, 1987. "Does Saving Anticipate Declining Labor Income? An Alternative Test of the Permanent Income Hypothesis," Econometrica, Econometric Society, vol. 55(6), pages 1249-1273, November.
    31. Ekaterina Arapova, 2018. "Determinants Of Household Final Consumption Expenditures In Asian Countries: A Panel Model, 1991-2015," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 18(1), pages 121-140.
    32. Jan F. Kiviet, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(2), pages 241-261.
    33. Alvin Tan & Graham Voss, 2003. "Consumption and Wealth in Australia," The Economic Record, The Economic Society of Australia, vol. 79(244), pages 39-56, March.
    34. Neil R. Ericsson, 1987. "Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses," International Finance Discussion Papers 317, Board of Governors of the Federal Reserve System (U.S.).
    35. Denise Côté & Marianne Johnson, 1998. "Consumer Attitudes, Uncertainty, and Consumer Spending," Staff Working Papers 98-16, Bank of Canada.
    36. Maslov, Alexander, 2011. "Inflationary Handicap Of The Monetary Transmission Mechanism: Evidence From Russia," MPRA Paper 50036, University Library of Munich, Germany, revised 12 Apr 2012.

  131. Hendry, David F. & Srba, Frank, 1980. "Autoreg: a computer program library for dynamic econometric models with autoregressive errors," Journal of Econometrics, Elsevier, vol. 12(1), pages 85-102, January.

    Cited by:

    1. Neil R. Ericsson, 1986. "Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 691-707.
    2. 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.).
    3. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    4. Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5.
    5. David F. Hendry & Peter C.B. Phillips, 2017. "John Denis Sargan at the London School of Economics," Cowles Foundation Discussion Papers 2082, Cowles Foundation for Research in Economics, Yale University.
    6. John Burkett & Richard Portes & David Winter, 1981. "Macroeconomic Adjustment and Foreign Trade of Centrally Planned Economies," NBER Working Papers 0736, National Bureau of Economic Research, Inc.
    7. David F. Hendry, 2024. "A Brief History of General‐to‐specific Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 1-20, February.
    8. Yock Y. Chong & David F. Hendry, 1986. "Econometric Evaluation of Linear Macro-Economic Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 671-690.
    9. Neil R. Ericsson, 1987. "Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses," International Finance Discussion Papers 317, Board of Governors of the Federal Reserve System (U.S.).

  132. Grayham E. Mizon & David F. Hendry, 1980. "An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 47(1), pages 21-45.

    Cited by:

    1. Neil R. Ericsson, 1986. "Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 691-707.
    2. 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.).
    3. David F. Hendry, 2013. "Econometric Modelling: The ‘Consumption Function’ In Retrospect," Scottish Journal of Political Economy, Scottish Economic Society, vol. 60(5), pages 495-522, November.
    4. T. Kesavan & Zuhair A. Hassan & Helen H. Jensen & Stanley R. Johnson, 1993. "Dynamics and Long-run Structure in U.S. Meat Demand," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 41(2), pages 139-153, July.
    5. Godfrey, L. G. & Veall, M. R., 1998. "Bootstrap-based critical values for tests of common factor restrictions," Economics Letters, Elsevier, vol. 59(1), pages 1-5, April.
    6. Haluk Erlat, 1991. "An Ex Post Statistical Assessment of the Central Bank Quarterly Econometric Model of Turkey," Discussion Papers 9108, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
    7. Brown, Kenneth & Cribari-Neto, Francisco, 1992. "On Hypothesis Testing: A Selective Look at the Lagrange Multiplier, Likelihood Ratio and Wald Tests," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 12(2), November.
    8. Luc Anselin, 1988. "Model Validation in Spatial Econometrics: A Review and Evaluation of Alternative Approaches," International Regional Science Review, , vol. 11(3), pages 279-316, December.
    9. Broersma, L., 1991. "The relation between unemployment and interest rate : application of a seasonal Unit Root Test Procedure," Serie Research Memoranda 0068, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    10. Karfakis, Costas I & Parikh, Ashok, 1993. "A Cointegration Approach to Monetary Targeting in Australia," Australian Economic Papers, Wiley Blackwell, vol. 32(60), pages 53-72, June.
    11. David F. Hendry & Massimiliano Marcellino & Chiara Monfardini, 2008. "Foreword," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 711-714, December.
    12. Kiviet, Jan, 1984. "Model Selection Test Procedues In A Single Linear Equation Of A Dynamic Simultaneous System And Their Defects In Small Samples," University of Amsterdam, Actuarial Science and Econometrics Archive 293071, University of Amsterdam, Faculty of Economics and Business.
    13. David F. Hendry & Peter C.B. Phillips, 2017. "John Denis Sargan at the London School of Economics," Cowles Foundation Discussion Papers 2082, Cowles Foundation for Research in Economics, Yale University.
    14. Ashok Parikh & David Lovatt, 1997. "A multivariate cointegration approach to the determination of reserves and money balances in India," Applied Financial Economics, Taylor & Francis Journals, vol. 7(3), pages 213-221.
    15. Kodde, D.A. & Palm, F.C., 1985. "Computing wald criteria for nested hypotheses," Serie Research Memoranda 0016, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    16. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
    17. Tilak Abeysinghe & Gulasekaran Rajaguru, 2004. "Temporal aggregation, causality distortions and a sign rule," Econometric Society 2004 Australasian Meetings 73, Econometric Society.
    18. Allen, P. Geoffrey, 1984. "A Note On Forecasting With Econometric Models," Northeastern Journal of Agricultural and Resource Economics, Northeastern Agricultural and Resource Economics Association, vol. 13(2), pages 1-4, October.
    19. Baltagi, B.H. & Mokhtari, M., 1988. "Intercountry Evidence On The Performance Of The Simple Error Correction Mechanism Model Of Consumption," Papers 4, Houston - Department of Economics.
    20. Yock Y. Chong & David F. Hendry, 1986. "Econometric Evaluation of Linear Macro-Economic Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 671-690.
    21. Kodde, D.A. & Palm, F.C., 1982. "Computing wald criteria for nested hypotheses with Econometric Applications," Serie Research Memoranda 0027, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    22. Broersma, L., 1991. "The relation between unemployment and interest rate : application of an ARX approach," Serie Research Memoranda 0057, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    23. Helmut Lütkepohl, 2005. "Vector Error Correction Models," Springer Books, in: New Introduction to Multiple Time Series Analysis, chapter 6, pages 237-267, Springer.
    24. Jan F. Kiviet, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(2), pages 241-261.
    25. P Burridge, 1981. "Testing for a Common Factor in a Spatial Autoregression Model," Environment and Planning A, , vol. 13(7), pages 795-800, July.
    26. Neil R. Ericsson, 1987. "Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses," International Finance Discussion Papers 317, Board of Governors of the Federal Reserve System (U.S.).
    27. Peter C.B. Phillips, 1988. "Reflections on Econometric Methodology," Cowles Foundation Discussion Papers 893, Cowles Foundation for Research in Economics, Yale University.
    28. Adam Bennett, 1989. "The accelerator's debt to simultaneity : a demonstration on French data," Revue Économique, Programme National Persée, vol. 40(1), pages 81-88.
    29. Richard Palmer‐Jones & Ashok Parikh, 1998. "The Determination of Agricultural Wage Rates in Bangladesh," Journal of Agricultural Economics, Wiley Blackwell, vol. 49(1), pages 111-133, March.

  133. Hendry, David F., 1979. "The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors," Journal of Econometrics, Elsevier, vol. 9(3), pages 295-314, February.

    Cited by:

    1. Marmer, Vadim & Otsu, Taisuke, 2008. "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Microeconomics.ca working papers vadim_marmer-2008-13, Vancouver School of Economics, revised 25 Jul 2011.
    2. 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.
    3. 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.
    4. 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.).
    5. Mohammed Ershad Hussain & Mahfuzul Haque, 2016. "Foreign Direct Investment, Trade, and Economic Growth: An Empirical Analysis of Bangladesh," Economies, MDPI, vol. 4(2), pages 1-14, April.
    6. 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.
    7. Shaista Alam & Qazi Masood Ahmed & Muhammad Shahbaz, 2018. "The Effect of Exchange Rate Volatility on Pakistan’s Bilateral Exports to Major Recipients," Global Business Review, International Management Institute, vol. 19(2), pages 328-341, April.
    8. Jan F. Kiviet & Jerzy Niemczyk, 2014. "On the Limiting and Empirical Distributions of IV Estimators When Some of the Instruments are Actually Endogenous," Advances in Econometrics, in: Essays in Honor of Peter C. B. Phillips, volume 33, pages 425-490, Emerald Group Publishing Limited.
    9. Kiviet, Jan, 1984. "Model Selection Test Procedues In A Single Linear Equation Of A Dynamic Simultaneous System And Their Defects In Small Samples," University of Amsterdam, Actuarial Science and Econometrics Archive 293071, University of Amsterdam, Faculty of Economics and Business.
    10. David F. Hendry, 2020. "A Short History of Macro-econometric Modelling," Economics Papers 2020-W01, Economics Group, Nuffield College, University of Oxford.
    11. Mizon, Grayham E & Richard, Jean-Francois, 1986. "The Encompassing Principle and Its Application to Testing Non-nested Hypotheses," Econometrica, Econometric Society, vol. 54(3), pages 657-678, May.
    12. David F. Hendry, 2024. "A Brief History of General‐to‐specific Modelling," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(1), pages 1-20, February.
    13. Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976, Elsevier.
    14. Jan F. Kiviet, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(2), pages 241-261.
    15. Alam, Shaista & Ahmed, Qazi Masood, 2012. "Exchange Rate Volatility and Aggregate Exports Demand through ARDL Framework: An Experience from Pakistan Economy," Review of Applied Economics, Lincoln University, Department of Financial and Business Systems, vol. 8(1), pages 1-16, February.

  134. Hendry, David F & Mizon, Grayham E, 1978. "Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England," Economic Journal, Royal Economic Society, vol. 88(351), pages 549-563, September.

    Cited by:

    1. Swati Basu & Saul Estrin & Jan Svejnar, 2005. "Employment Determination in Enterprises under Communism and in Transition: Evidence from Central Europe," ILR Review, Cornell University, ILR School, vol. 58(3), pages 353-369, April.
    2. Issler, João Victor & Ferreira, Pedro Cavalcanti, 1998. "Time-series properties and empirical evidence of growth and infraestructure: revised version," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 336, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    3. Lee, Min-Yang A., 2008. "Whale-watching and Herring Fishing: Joint or Independent Production?," 2008 Annual Meeting, July 27-29, 2008, Orlando, Florida 6086, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
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    5. Alain Fonteneau, 1983. "Le modèle « OFCE-annuel»," Revue de l'OFCE, Programme National Persée, vol. 5(1), pages 53-79.
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    431. Isabel Faeth, 2005. "Determinants of FDI in Australia : Which Theory Can Explain it Best?," Department of Economics - Working Papers Series 946, The University of Melbourne.
    432. Johnsson, Helena & Kaplan, Peter, 1999. "An Econometric Study of Private Consumption Expenditure in Sweden," Working Papers 70, National Institute of Economic Research.
    433. Mr. Frederick L Joutz & Mr. Yasser Abdih, 2008. "The Impact of Public Capital, Human Capital, and Knowledge on Aggregate Output," IMF Working Papers 2008/218, International Monetary Fund.
    434. Denise Côté & Marianne Johnson, 1998. "Consumer Attitudes, Uncertainty, and Consumer Spending," Staff Working Papers 98-16, Bank of Canada.
    435. Hali J. Edison, 1983. "The rise and fall of sterling: testing alternative models of exchange rate determination," International Finance Discussion Papers 224, Board of Governors of the Federal Reserve System (U.S.).
    436. M. Ryan Haley & Harry J. Paarsch, 2004. "The stochastic implications of rent maximization: an application to stumpage rates for timber in British Columbia," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 25-48.
    437. Andrea Vaona, 2016. "The Classical Dichotomy fails in the Eurozone," Economics Bulletin, AccessEcon, vol. 36(4), pages 2183-2191.
    438. Jorge Gregoire & Leonardo Letelier, 1998. "Desempeño Económico Agregado y Mercado Accionario: Un Análisis Empírico para el Caso Chileno," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 35(105), pages 183-203.
    439. Weichert, Ronald & Zietz, Joachim, 1986. "Das Verhalten der privaten Haushalte am Kapitalmarkt: Eine empirirische Analyse," Kiel Working Papers 262, Kiel Institute for the World Economy (IfW Kiel).
    440. Daniel G. Garcés Díaz, 2001. "Determinación del nivel de precios y la dinámica inflacionaria en México," Monetaria, CEMLA, vol. 0(3), pages 241-269, julio-sep.
    441. Hassler Uwe, 2001. "Wealth and Consumption. A Multicointegrated Model for the Unified Germany / Vermögen und Konsum. Ein multikointegriertes Modell für das vereinigte Deutschland," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 221(1), pages 32-44, February.
    442. Haibin Zhu, 2006. "An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market," Journal of Financial Services Research, Springer;Western Finance Association, vol. 29(3), pages 211-235, June.
    443. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    444. Hansen, Hermann-Josef, 1996. "The impact of interest rates on private consumption in Germany," Discussion Paper Series 1: Economic Studies 1996,03e, Deutsche Bundesbank.
    445. Fernandez-Corugedo, Emilio & Price, Simon & Blake, Andrew P., 2007. "The dynamics of aggregate UK consumers' non-durable expenditure," Economic Modelling, Elsevier, vol. 24(3), pages 453-469, May.
    446. Rolando, Dominique J., 2018. "Would a discount on fruits and vegetables provide more relative welfare to the poor? Evaluating the impact of policy mechanisms," 2018 Annual Meeting, August 5-7, Washington, D.C. 273848, Agricultural and Applied Economics Association.
    447. Giorgos Gouzoulis, 2021. "Finance, Discipline and the Labour Share in the Long‐Run: France (1911–2010) and Sweden (1891–2000)," British Journal of Industrial Relations, London School of Economics, vol. 59(2), pages 568-594, June.
    448. Nasser Al Dossary & Carol A. Dahl, 2009. "Is Global Gasoline Demand Still as Responsive to Price?," Working Papers 2009-01, Colorado School of Mines, Division of Economics and Business.
    449. Jaebeom Kim & Masao Ogaki & Minseok Yang, 2003. "Structural Error Correction Models: Instrumental Variables Methods and an application to an exchange rate model," RCER Working Papers 502, University of Rochester - Center for Economic Research (RCER).
    450. Lord, Montague, 2002. "Vietnam’s Export Competitiveness: Trade and Macroeconomic Policy Linkages," MPRA Paper 50638, University Library of Munich, Germany.
    451. Erkki Koskela & Matti Virén, 1985. "On the role of inflation in consumption function," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 121(2), pages 252-260, June.
    452. Jurgen A. Doornik & David F. Hendry & Neil Shephard, "undated". "Computationally-intensive Econometrics using a Distributed Matrix-programming Language," Economics Papers 2001-W22, Economics Group, Nuffield College, University of Oxford.
    453. Frédérick Demers, 2005. "Modelling and Forecasting Housing Investment: The Case of Canada," Staff Working Papers 05-41, Bank of Canada.
    454. Islam, Roumeen & Wetzel, Deborah L., 1991. "The macroeconomics of public sector deficits : the case of Ghana," Policy Research Working Paper Series 672, The World Bank.
    455. Asgeir Danielsson, 2021. "Wages and prices of foreign goods in the inflationary process in Iceland," Economics wp87, Department of Economics, Central bank of Iceland.

  136. Hendry, David F & Srba, Frank, 1977. "The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems," Econometrica, Econometric Society, vol. 45(4), pages 969-990, May.

    Cited by:

    1. 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.).
    2. Palm, F.C. & Kodde, D.A. & Vogelvang, E., 1980. "Efficient estimation of the geometric distributed lag model : some Monte Carlo results on small sample properties," Serie Research Memoranda 0012, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    3. Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976, Elsevier.
    4. Neil R. Ericsson, 1987. "Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses," International Finance Discussion Papers 317, Board of Governors of the Federal Reserve System (U.S.).

  137. Hendry, David F., 1976. "The structure of simultaneous equations estimators," Journal of Econometrics, Elsevier, vol. 4(1), pages 51-88, February.

    Cited by:

    1. 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.).
    2. 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.
    3. Carlo A. Favero, 2007. "Model Evaluation in Macroeconometrics: from early empirical macroeconomic models to DSGE models," Working Papers 327, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    4. Palm, F.C., 1981. "Structural econometric modelling and time series analysis towards an integrated approach," Serie Research Memoranda 0004, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    5. Siregar, Reza.Y. & Goo, Siwei, 2009. "Effectiveness and Commitment to Inflation Targeting Policy: Evidences from Indonesia and Thailand," MPRA Paper 17271, University Library of Munich, Germany.
    6. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    7. J. Campos, 1986. "Instrumental Variables Estimation of Dynamic Simultaneous Systems with ARMA Errors," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(1), pages 125-138.
    8. Palm, F.C. & Zellner, A., 1978. "Large sample estimation and testing procedures for dynamic equation systems," Serie Research Memoranda 0010, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    9. Reza Siregar & Siwei Goo, 2008. "Inflation Targeting Policy: The Experiences Of Indonesia And Thailand," CAMA Working Papers 2008-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    10. Charles G. Renfro, 2009. "The Practice of Econometric Theory," Advanced Studies in Theoretical and Applied Econometrics, Springer, number 978-3-540-75571-5.
    11. Neil R. Ericsson & Esfandiar Maasoumi & Grayham E. Mizon, 2001. "A retrospective on J. Denis Sargan and his contributions to econometrics," International Finance Discussion Papers 700, Board of Governors of the Federal Reserve System (U.S.).
    12. David F. Hendry & Peter C.B. Phillips, 2017. "John Denis Sargan at the London School of Economics," Cowles Foundation Discussion Papers 2082, Cowles Foundation for Research in Economics, Yale University.
    13. Jansson, Leif & Mellander, Erik, 1984. "CONRAD – A Maximum Likelihood Program for Estimation of Simultaneous Equations Models that are Non-Linear in the Parameters," Working Paper Series 131, Research Institute of Industrial Economics.
    14. Julia Campos & Neil R. Ericsson & David F. Hendry, 2005. "General-to-specific modeling: an overview and selected bibliography," International Finance Discussion Papers 838, Board of Governors of the Federal Reserve System (U.S.).
    15. Selma Toker, 2020. "Investigating the two parameter analysis of Lipovetsky for simultaneous systems," Statistical Papers, Springer, vol. 61(5), pages 2059-2089, October.
    16. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
    17. Aris Spanos, 2022. "Statistical modeling and inference in the era of Data Science and Graphical Causal modeling," Journal of Economic Surveys, Wiley Blackwell, vol. 36(5), pages 1251-1287, December.
    18. Calzolari, Giorgio, 2012. "Econometric notes," MPRA Paper 36765, University Library of Munich, Germany.
    19. Oya, Kosuke & Morimune, Kimio, 1992. "The distribution of the full information maximum likelihood estimator," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 33(5), pages 569-574.
    20. 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.
    21. Morimune, Kimio, 1990. "Full Information Method in Estimating Simultaneous Equations System," Economic Review, Hitotsubashi University, vol. 41(3), pages 206-217, July.
    22. Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976, Elsevier.
    23. Boswijk, H. Peter, 1995. "Efficient inference on cointegration parameters in structural error correction models," Journal of Econometrics, Elsevier, vol. 69(1), pages 133-158, September.
    24. Tian Xie, 2012. "Least Squares Model Averaging By Prediction Criterion," Working Paper 1299, Economics Department, Queen's University.
    25. Hendry, David F., 2001. "Achievements and challenges in econometric methodology," Journal of Econometrics, Elsevier, vol. 100(1), pages 7-10, January.
    26. Verner, Dorte, 1999. "The macro wage curve and labor market flexibility in Zimbabwe," Policy Research Working Paper Series 2052, The World Bank.
    27. Siregar, Reza, 2009. "Pursuing Inflation Targeting Policy Framework in the Midst of Inflationary Pressures and Fiscal Constraint in Indonesia," MPRA Paper 18791, University Library of Munich, Germany.
    28. Neil R. Ericsson, 1987. "Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses," International Finance Discussion Papers 317, Board of Governors of the Federal Reserve System (U.S.).
    29. Richard Harmon, 1988. "The simultaneous equations model with generalized autoregressive conditional heteroskedasticity: the SEM-GRACH model," International Finance Discussion Papers 322, Board of Governors of the Federal Reserve System (U.S.).
    30. Jurgen A. Doornik & David F. Hendry & Neil Shephard, "undated". "Computationally-intensive Econometrics using a Distributed Matrix-programming Language," Economics Papers 2001-W22, Economics Group, Nuffield College, University of Oxford.
    31. Hall, Anthony David & Pagan, Adrian Rodney, 1981. "The LIML and Related Estimators of an Equation with Moving Average Disturbances," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 22(3), pages 719-730, October.

  138. Hendry, David F & Tremayne, Andrew R, 1976. "Estimating Systems of Dynamic Reduced Form Equations with Vector Autoregressive Errors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 17(2), pages 463-471, June.

    Cited by:

    1. David F. Hendry & Gordon J. Anderson, 1975. "Testing Dynamic Specification in Small Simultaneous Systems: An Application to a Model of Building Society Behavior in the United Kingdom," Cowles Foundation Discussion Papers 398, Cowles Foundation for Research in Economics, Yale University.

  139. Hendry, David F, 1974. "Maximum Likelihood Estimation of Systems of Simultaneous Regression Equations with Errors Generated by a Vector Autoregressive Process: A Correction," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 260-260, February.

    Cited by:

    1. Jansson, Leif & Mellander, Erik, 1984. "CONRAD – A Maximum Likelihood Program for Estimation of Simultaneous Equations Models that are Non-Linear in the Parameters," Working Paper Series 131, Research Institute of Industrial Economics.

  140. Hendry, David F, 1974. "Stochastic Specification in an Aggregate Demand Model of the United Kingdom," Econometrica, Econometric Society, vol. 42(3), pages 559-578, May.

    Cited by:

    1. Teuku Rahmatsyah & Gulasekaran Rajaguru & Reza Siregar, 2002. "Exchange Rate Volatility, Trade and “Fixing for Life” in Thailand," Centre for International Economic Studies Working Papers 2002-12, University of Adelaide, Centre for International Economic Studies.
    2. 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.).
    3. 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.).
    4. Palm, F.C., 1981. "Structural econometric modelling and time series analysis towards an integrated approach," Serie Research Memoranda 0004, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
    5. Pushan Dutt & V. Padmanabhan, 2011. "Crisis and Consumption Smoothing," Marketing Science, INFORMS, vol. 30(3), pages 491-512, 05-06.
    6. Geoffrey M. Heal, 1975. "The Influence of Interest Rates on Resource Prices," Cowles Foundation Discussion Papers 407, Cowles Foundation for Research in Economics, Yale University.
    7. Yock Y. Chong & David F. Hendry, 1986. "Econometric Evaluation of Linear Macro-Economic Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(4), pages 671-690.
    8. Daly, Kevin, 1998. "Does exchange rate volatility impede the volume of Japan's bilateral trade?," Japan and the World Economy, Elsevier, vol. 10(3), pages 333-348, July.
    9. Daniel Himarios, 1986. "Administered interest rates and the demand for money in Greece under rational expectations," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 122(1), pages 173-188, March.
    10. Ramkishen S. Rajan & Rahul Sen & Reza Siregar, 2003. "Singapore and the New Regionalism: Bilateral Trade Linkages with Japan and the US," The World Economy, Wiley Blackwell, vol. 26(9), pages 1325-1356, September.
    11. 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.
    12. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2024. "Forecasting the UK top 1% income share in a shifting world," Economica, London School of Economics and Political Science, vol. 91(363), pages 1047-1074, July.
    13. Neil R. Ericsson, 1987. "Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses," International Finance Discussion Papers 317, Board of Governors of the Federal Reserve System (U.S.).
    14. David F. Hendry & Gordon J. Anderson, 1975. "Testing Dynamic Specification in Small Simultaneous Systems: An Application to a Model of Building Society Behavior in the United Kingdom," Cowles Foundation Discussion Papers 398, Cowles Foundation for Research in Economics, Yale University.
    15. Tai-Yuen HON, 2016. "The Relationship Between Consumption and Income," Journal of Economics Library, KSP Journals, vol. 3(1), pages 94-99, March.

  141. Hendry, David F. & Harrison, Robin W., 1974. "Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares," Journal of Econometrics, Elsevier, vol. 2(2), pages 151-174, July.

    Cited by:

    1. Giorgio Calzolari & F. Di Iorio & G. Fiorentini, 1999. "Indirect Estimation of Just-Identified Models with Control Variates," Econometrics Working Papers Archive quaderno46, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    2. David F. Hendry, 1975. "The Limiting Distribution of Inconsistent Instrumental Variables Estimators in a Class of Stationary Stochastic Systems," Cowles Foundation Discussion Papers 399, Cowles Foundation for Research in Economics, Yale University.
    3. Giorgio Calzolari & Francesca Di Iorio & Gabriele Fiorentini, 1998. "Control variates for variance reduction in indirect inference: Interest rate models in continuous time," Econometrics Journal, Royal Economic Society, vol. 1(Conferenc), pages 100-112.
    4. Neil R. Ericsson & Esfandiar Maasoumi & Grayham E. Mizon, 2001. "A retrospective on J. Denis Sargan and his contributions to econometrics," International Finance Discussion Papers 700, Board of Governors of the Federal Reserve System (U.S.).
    5. David F. Hendry & Peter C.B. Phillips, 2017. "John Denis Sargan at the London School of Economics," Cowles Foundation Discussion Papers 2082, Cowles Foundation for Research in Economics, Yale University.
    6. Streibel, Mariane & Harvey, Andrew, 1993. "Estimation of simultaneous equation models with stochastic trend components," Journal of Economic Dynamics and Control, Elsevier, vol. 17(1-2), pages 263-287.
    7. Bianchi, Carlo & Calzolari, Giorgio, 1983. "Standard errors of forecasts in dynamic simulation of nonlinear econometric models: some empirical results," MPRA Paper 22657, University Library of Munich, Germany, revised 1983.
    8. Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976, Elsevier.
    9. Neil R. Ericsson, 1987. "Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses," International Finance Discussion Papers 317, Board of Governors of the Federal Reserve System (U.S.).

  142. D. F. Hendry & P. K. Trivedi, 1972. "Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 39(2), pages 117-145.

    Cited by:

    1. Geoffrey M. Heal, 1975. "The Influence of Interest Rates on Resource Prices," Cowles Foundation Discussion Papers 407, Cowles Foundation for Research in Economics, Yale University.
    2. Russell Davidson & James G. Mackinnon, 1990. "Regression-Based Methods for Using Control and Antithetic Variates in Monte Carlo Experiments," Working Paper 781, Economics Department, Queen's University.
    3. David F. Hendry & Peter C.B. Phillips, 2017. "John Denis Sargan at the London School of Economics," Cowles Foundation Discussion Papers 2082, Cowles Foundation for Research in Economics, Yale University.
    4. Beach, Charles M. & Yeo, Stephen, 1979. "Exact Maximum Likelihood Estimation of Regression Equations with a General Stationary Auto-Regressive Disturbance," Queen's Institute for Economic Research Discussion Papers 275148, Queen's University - Department of Economics.
    5. Neil R. Ericsson & Jaime R. Marquez, 1990. "Evaluating the predictive performance of trade-account models," International Finance Discussion Papers 377, Board of Governors of the Federal Reserve System (U.S.).
    6. Davidson, Russell & MacKinnon, James G., 1992. "Regression-based methods for using control variates in Monte Carlo experiments," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 203-222.
    7. C. R. McKenzie & Michael McAleer, 2001. "Comparing Tests of Autoregressive Versus Moving Average Errors in Regression Models Using Bahadur's Asymptotic Relative Efficiency," ISER Discussion Paper 0537, Institute of Social and Economic Research, Osaka University.
    8. Hendry, David F., 1984. "Monte carlo experimentation in econometrics," Handbook of Econometrics, in: Z. Griliches† & M. D. Intriligator (ed.), Handbook of Econometrics, edition 1, volume 2, chapter 16, pages 937-976, Elsevier.
    9. Jan F. Kiviet, 1986. "On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 53(2), pages 241-261.
    10. Denise R. Osborn, 1976. "Maximum Likelihood Estimation of Moving Average Processes," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 1, pages 75-87, National Bureau of Economic Research, Inc.
    11. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2024. "Forecasting the UK top 1% income share in a shifting world," Economica, London School of Economics and Political Science, vol. 91(363), pages 1047-1074, July.

  143. Hendry, D F, 1971. "Maximum Likelihood Estimation of Systems of Simultaneous Regression Equations with Errors Generated by a Vector Autoregressive Process," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 12(2), pages 257-272, June.

    Cited by:

    1. Phoebus J. Dhrymes, 1971. "Full Information Estimation of Dynamic Simultaneous Equations Models with Autoregressive Errors," UCLA Economics Working Papers 008, UCLA Department of Economics.
    2. Deschamps, P.J., 1990. "Joint Tests For Regularity And Autocorrelation In Allocation Systems," Papers 9042, Tilburg - Center for Economic Research.
    3. Gabriele Fiorentini & Enrique Sentana, 2019. "Dynamic specification tests for dynamic factor models," Econometrics Working Papers Archive 2018_07, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    4. Calzolari, Giorgio & Panattoni, Lorenzo, 1984. "A Simulation Study on FIML Covariance Matrix," MPRA Paper 28804, University Library of Munich, Germany.
    5. Rich, M.M., 1979. "New Zealand Beef And Sheep Supply Relationships," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 23(2), pages 1-14, August.
    6. Geoffrey M. Heal, 1975. "The Influence of Interest Rates on Resource Prices," Cowles Foundation Discussion Papers 407, Cowles Foundation for Research in Economics, Yale University.
    7. Calzolari, Giorgio & Panattoni, Lorenzo, 1983. "Hessian and approximated Hessian matrices in maximum likelihood estimation: a Monte Carlo study," MPRA Paper 28847, University Library of Munich, Germany.
    8. Bianchi, Carlo & Calzolari, Giorgio & Corsi, Paolo, 1981. "Alternative estimates of the Klein-I model," MPRA Paper 23337, University Library of Munich, Germany, revised Sep 1981.
    9. Gabriele Fiorentini & Enrique Sentana, 2009. "Dynamic Specification Tests for Static Factor Models," Working Papers wp2009_0912, CEMFI.
    10. van Dijk, H. K. & Kloek, T., 1978. "Posterior Analysis Of Klein'S Model," Econometric Institute Archives 272173, Erasmus University Rotterdam.
    11. Jansson, Leif & Mellander, Erik, 1984. "CONRAD – A Maximum Likelihood Program for Estimation of Simultaneous Equations Models that are Non-Linear in the Parameters," Working Paper Series 131, Research Institute of Industrial Economics.
    12. Beach, Charles M. & Yeo, Stephen, 1979. "Exact Maximum Likelihood Estimation of Regression Equations with a General Stationary Auto-Regressive Disturbance," Queen's Institute for Economic Research Discussion Papers 275148, Queen's University - Department of Economics.
    13. Turkington, Darrell A., 1998. "Efficient estimation in the linear simultaneous equations model with vector autoregressive disturbances," Journal of Econometrics, Elsevier, vol. 85(1), pages 51-74, July.
    14. Giorgio Calzolari, 2015. "Indirect estimation and econometrics exams: how to live a round life," Econometrics Working Papers Archive 2015_01, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    15. Khaleel, Tarek Mohamed & Shehata, Emad Abd Elmessih, 2004. "دراسة قياسية للنماذج الديناميكية مع تطبيقها على التنبؤ بالعمالة فى مصر [An Econometric Study of Dynamic Models with Application on Forecasting Labor in Egypt]," MPRA Paper 43442, University Library of Munich, Germany, revised Apr 2004.
    16. Calzolari, Giorgio & Panattoni, Lorenzo, 1984. "Evaluating Forecast Uncertainty in Econometric Models: The Effect of Alternative Estimators of Maximum Likelihood Covariance Matrix," MPRA Paper 28806, University Library of Munich, Germany.
    17. Rude, James & Goddard, Ellen W., 1995. "Analysis of the Cost Structure for Processed Products: The Case of the Canadian Dairy Processing Sector," Working Papers 244804, University of Guelph, Department of Food, Agricultural and Resource Economics.
    18. Gunnar Bårdsen & Eilev S. Jansen & Ragnar Nymoen, 2000. "Model Specification and Inflation Forecast Uncertainty," Working Paper Series 1302, Department of Economics, Norwegian University of Science and Technology, revised 29 Jan 2002.
    19. Calzolari, Giorgio, 1987. "La varianza delle previsioni nei modelli econometrici [Forecast variance in econometric models]," MPRA Paper 23866, University Library of Munich, Germany.
    20. Unknown, 1979. "On Biased Technological Progress: Comment and Extension," Working Papers 225650, University of California, Davis, Department of Agricultural and Resource Economics.
    21. Denise R. Osborn, 1976. "Maximum Likelihood Estimation of Moving Average Processes," NBER Chapters, in: Annals of Economic and Social Measurement, Volume 5, number 1, pages 75-87, National Bureau of Economic Research, Inc.
    22. David F. Hendry & Gordon J. Anderson, 1975. "Testing Dynamic Specification in Small Simultaneous Systems: An Application to a Model of Building Society Behavior in the United Kingdom," Cowles Foundation Discussion Papers 398, Cowles Foundation for Research in Economics, Yale University.
    23. Vincent, David P., 1977. "Factor Substitution In Australian Agriculture," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 21(2), pages 1-11, August.
    24. Fisher, Brian S., 1979. "The Demand For Meat - An Example Of An Incomplete Commodity Demand System," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 23(3), pages 1-11, December.
    25. Wilson, William W. & Wilson, Wesley W. & Koo, Won W., 1987. "Intermodal Competition and Pricing in Grain Transportation: A Description and Comparison of Methods," Agricultural Economics Reports 23194, North Dakota State University, Department of Agribusiness and Applied Economics.
    26. Gabriele Fiorentini & Enrique Sentana, 2012. "Tests for Serial Dependence in Static, Non-Gaussian Factor Models," Working Papers wp2012_1211, CEMFI.

Chapters

  1. 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.
  2. 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.
    See citations under working paper version above.
  3. David F. Hendry, 2009. "The Methodology of Empirical Econometric Modeling: Applied Econometrics Through the Looking-Glass," Palgrave Macmillan Books, in: Terence C. Mills & Kerry Patterson (ed.), Palgrave Handbook of Econometrics, chapter 1, pages 3-67, Palgrave Macmillan.

    Cited by:

    1. Jennifer Castle & David Hendry & Jurgen A. Doornik, 2010. "Evaluating Automatic Model Selection," Economics Series Working Papers 474, University of Oxford, Department of Economics.
    2. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
    3. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    4. David Colander & Hans Föllmer & Armin Haas & Michael Goldberg & Katarina Juselius & Alan Kirman & Thomas Lux & Birgitte Sloth, 2009. "The Financial Crisis and the Systemic Failure of Academic Economics," Discussion Papers 09-03, University of Copenhagen. Department of Economics.
    5. Chevillon, G. & Hecq, A.W. & Laurent, S.F.J.A., 2015. "Long memory through marginalization of large systems and hidden cross-section dependence," Research Memorandum 014, Maastricht University, Graduate School of Business and Economics (GSBE).
    6. 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.
    7. Qin, Duo & Xu, Zhong & Zhang, Xuechun, 2014. "How much informal credit lending responded to monetary policy in China? The case of Wenzhou," Journal of Asian Economics, Elsevier, vol. 31, pages 22-31.
    8. Duo Qin & Sophie van H¸llen & Qing-Chao Wang, 2014. "What Happens to Wage Elasticities When We Strip Playometrics? Revisiting Married Women Labour Supply Model," Working Papers 190, Department of Economics, SOAS University of London, UK.
    9. 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.
    10. 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.
    11. Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating Univariate Fractional Integration within a Large VAR(1)," Working Papers halshs-01944588, HAL.
    12. 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.
    13. 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.
    14. Duo Qin & Sophie Van Huellen & Qing-Chao Wang, 2015. "How Credible Are Shrinking Wage Elasticities of Married Women Labour Supply?," Econometrics, MDPI, vol. 4(1), pages 1-31, December.
    15. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
    16. David Hendry & Felix Pretis, 2011. "Anthropogenic Influences on Atmospheric CO2," Economics Series Working Papers 584, University of Oxford, Department of Economics.
    17. 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.
    18. 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.
    19. 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.
    20. P. Dorian Owen, 2015. "Evaluating ingenious instruments for fundamental determinants of long-run economic growth and development," Working Papers 1508, University of Otago, Department of Economics, revised Dec 2015.
    21. 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.
    22. David Hendry, 2016. "Deciding Between Alternative Approaches In Macroeconomics," Economics Series Working Papers 778, University of Oxford, Department of Economics.
    23. Duo Qin, 2019. "Let’s take the bias out of econometrics," Journal of Economic Methodology, Taylor & Francis Journals, vol. 26(2), pages 81-98, April.
    24. Hendry David F & Mizon Grayham E, 2011. "Econometric Modelling of Time Series with Outlying Observations," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-26, February.
    25. 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.
    26. Katarina Juselius, 2009. "Time to reject the privileging of economic theory over empirical evidence? A Reply to Lawson (2009)," Discussion Papers 09-16, University of Copenhagen. Department of Economics.
    27. 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.
    28. Stuart Birks, 2012. "Rethinking economics: Logical gaps – empirical to the real world," Working Papers 20121217, Department of Accounting, Economics and Finance, Bristol Business School, University of the West of England, Bristol.
    29. 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.
    30. 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.
    31. Boris Salazar, 2016. "Mandelbrot, Fama and the emergence of econophysics," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID, vol. 35(69), pages 637-662, April.
    32. Wang, Yi & Niu, Geng & Zhou, Yang & Lu, Weijie, 2023. "Broadband internet and stock market participation," International Review of Financial Analysis, Elsevier, vol. 85(C).
    33. Owen, P. Dorian, 2018. "Replication to assess statistical adequacy," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 12, pages 1-16.
    34. David Colander, 2009. "Economists, Incentives, Judgment, and the European CVAR Approach to Macroeconometrics," Middlebury College Working Paper Series 0912, Middlebury College, Department of Economics.

  4. David F. Hendry & Bent Nielsen, 2007. "Preface to Econometric Modeling: A Likelihood Approach," Introductory Chapters, in: Econometric Modeling: A Likelihood Approach, Princeton University Press.

    Cited by:

    1. Steven Lehrer & Tian Xie, 2020. "The Bigger Picture: Combining Econometrics with Analytics Improve Forecasts of Movie Success," Working Paper 1449, Economics Department, Queen's University.
    2. 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.).
    3. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    4. Matthew Greenwood-Nimmo & Daan Steenkamp & Rossouw van Jaarsveld, 2022. "A banklevel analysis of interest rate passthrough in South Africa," Working Papers 11027, South African Reserve Bank.
    5. 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," Post-Print halshs-00917797, HAL.
    6. Guasch, J. Luis & Pena, Jorge, 2019. "Investment Climate Effects on Alternative Firm-Level Productivity Measures," UC3M Working papers. Economics 28639, Universidad Carlos III de Madrid. Departamento de Economía.
    7. 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.
    8. 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.
    9. Paul Plummer & Michael Taylor, 2011. "Enterprise and Competitive Advantage in the Australian Context: A Spatial Econometric Perspective," Spatial Economic Analysis, Taylor & Francis Journals, vol. 6(3), pages 311-330, January.
    10. Ahumada, Hildegart A. & Garegnani, Maria Lorena, 2012. "Forecasting a monetary aggregate under instability: Argentina after 2001," International Journal of Forecasting, Elsevier, vol. 28(2), pages 412-427.
    11. Gideon Du Rand & Monique Reid, 2013. "A Sticky Information Phillips Curve for South Africa," Working Papers 381, Economic Research Southern Africa.
    12. D. Kuang & B. Nielsen, 2018. "Generalized Log-Normal Chain-Ladder," Economics Papers 2018-W02, Economics Group, Nuffield College, University of Oxford.
    13. Paweł Kaczmarczyk, 2017. "Ekonometryczne modelowanie i prognozowanie rozwoju polskiego sektora ICT z uwzględnieniem wskaźników makroekonomicznych," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 45, pages 259-272.
    14. 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.
    15. Soyer, Emre & Hogarth, Robin M., 2012. "The illusion of predictability: How regression statistics mislead experts," International Journal of Forecasting, Elsevier, vol. 28(3), pages 695-711.
    16. Francesco Grigoli & José M. Mota, 2017. "Interest rate pass-through in the Dominican Republic," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 26(1), pages 1-25, December.
    17. Vassili Bazinas & Bent Nielsen, 2015. "Causal transmission in reduced-form models," Economics Papers 2015-W07, Economics Group, Nuffield College, University of Oxford.
    18. W H Boshoff, 2012. "Gasoline, Diesel Fuel And Jet Fuel Demand In South Africa," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 36(1), pages 43-78, April.
    19. 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.
    20. D. Kuang & B. Nielsen, 2018. "Generalized Log-Normal Chain-Ladder," Papers 1806.05939, arXiv.org.
    21. Muhammad Akhtaruzzaman & Christopher Hajzler & P. Dorian Owen, 2016. "Does institutional quality resolve the Lucas Paradox?," Working Papers 1611, University of Otago, Department of Economics, revised Dec 2016.
    22. P. Dorian Owen, 2015. "Evaluating ingenious instruments for fundamental determinants of long-run economic growth and development," Working Papers 1508, University of Otago, Department of Economics, revised Dec 2015.
    23. Jennifer L. Castle & David F. Hendry, 2024. "What a Puzzle! Unravelling Why UK Phillips Curves were Unstable," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(4), pages 743-760, August.
    24. 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.
    25. Steven Lehrer & Tian Xie, 2016. "Box Office Buzz: Does Social Media Data Steal the Show from Model Uncertainty When Forecasting for Hollywood?," NBER Working Papers 22959, National Bureau of Economic Research, Inc.
    26. Clements Michael P. & Hendry David F., 2008. "Economic Forecasting in a Changing World," Capitalism and Society, De Gruyter, vol. 3(2), pages 1-20, October.
    27. Mr. Andrew J Swiston, 2011. "Official Dollarization As a Monetary Regime: Its Effectson El Salvador," IMF Working Papers 2011/129, International Monetary Fund.
    28. Norden, Lars & Mesquita, Daniel & Wang, Weichao, 2021. "COVID-19, policy interventions and credit: The Brazilian experience," Journal of Financial Intermediation, Elsevier, vol. 48(C).
    29. Takamitsu Kurita, 2019. "A Recursive Monte Carlo Study of Structural-Break Sensitivity of Adjustment Coefficients in Cointegrated VAR Systems," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 251-270, June.
    30. Fullerton, Thomas M., Jr. & Ceballos, Alejandro & Walke, Adam G., 2015. "Short-Term Forecasting Analysis for Municipal Water Demand," MPRA Paper 78259, University Library of Munich, Germany, revised 04 Aug 2015.
    31. Frédérique Bec & Matteo Mogliani, 2013. "Nowcasting French GDP in Real-Time from Survey Opinions : Information or Forecast Combinations ?," Working Papers 2013-21, Center for Research in Economics and Statistics.
    32. 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.
    33. Jonas Harnau, 2018. "Log-Normal or Over-Dispersed Poisson?," Risks, MDPI, vol. 6(3), pages 1-37, July.
    34. Tian Xie, 2012. "Least Squares Model Averaging By Prediction Criterion," Working Paper 1299, Economics Department, Queen's University.
    35. Owen, P. Dorian, 2018. "Replication to assess statistical adequacy," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 12, pages 1-16.
    36. Antonia Lòpez-Villavicencio & Luis Antonio Reyes Ortiz, 2018. "Is globalisation taking away jobs? An empirical assessment for advanced economies," Working Papers halshs-01895223, HAL.
    37. Mauleón, Ignacio & Hamoudi, Hamid, 2017. "Photovoltaic and wind cost decrease estimation: Implications for investment analysis," Energy, Elsevier, vol. 137(C), pages 1054-1065.
    38. Mrs. Swarnali A Hannan, 2015. "If the Fed Acts, How Do You React? The Liftoff Effect on Capital Flows," IMF Working Papers 2015/256, International Monetary Fund.

  5. David F. Hendry & Bent Nielsen, 2007. "The Bernoulli model, from Econometric Modeling: A Likelihood Approach," Introductory Chapters, in: Econometric Modeling: A Likelihood Approach, Princeton University Press.

    Cited by:

    1. Steven Lehrer & Tian Xie, 2020. "The Bigger Picture: Combining Econometrics with Analytics Improve Forecasts of Movie Success," Working Paper 1449, Economics Department, Queen's University.
    2. 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.).
    3. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    4. Matthew Greenwood-Nimmo & Daan Steenkamp & Rossouw van Jaarsveld, 2022. "A banklevel analysis of interest rate passthrough in South Africa," Working Papers 11027, South African Reserve Bank.
    5. 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," Post-Print halshs-00917797, HAL.
    6. Guasch, J. Luis & Pena, Jorge, 2019. "Investment Climate Effects on Alternative Firm-Level Productivity Measures," UC3M Working papers. Economics 28639, Universidad Carlos III de Madrid. Departamento de Economía.
    7. Paul Plummer & Michael Taylor, 2011. "Enterprise and Competitive Advantage in the Australian Context: A Spatial Econometric Perspective," Spatial Economic Analysis, Taylor & Francis Journals, vol. 6(3), pages 311-330, January.
    8. Gideon Du Rand & Monique Reid, 2013. "A Sticky Information Phillips Curve for South Africa," Working Papers 381, Economic Research Southern Africa.
    9. Paweł Kaczmarczyk, 2017. "Ekonometryczne modelowanie i prognozowanie rozwoju polskiego sektora ICT z uwzględnieniem wskaźników makroekonomicznych," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 45, pages 259-272.
    10. Francesco Grigoli & José M. Mota, 2017. "Interest rate pass-through in the Dominican Republic," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 26(1), pages 1-25, December.
    11. Vassili Bazinas & Bent Nielsen, 2015. "Causal transmission in reduced-form models," Economics Papers 2015-W07, Economics Group, Nuffield College, University of Oxford.
    12. W H Boshoff, 2012. "Gasoline, Diesel Fuel And Jet Fuel Demand In South Africa," Studies in Economics and Econometrics, Taylor & Francis Journals, vol. 36(1), pages 43-78, April.
    13. Muhammad Akhtaruzzaman & Christopher Hajzler & P. Dorian Owen, 2016. "Does institutional quality resolve the Lucas Paradox?," Working Papers 1611, University of Otago, Department of Economics, revised Dec 2016.
    14. P. Dorian Owen, 2015. "Evaluating ingenious instruments for fundamental determinants of long-run economic growth and development," Working Papers 1508, University of Otago, Department of Economics, revised Dec 2015.
    15. Jennifer L. Castle & David F. Hendry, 2024. "What a Puzzle! Unravelling Why UK Phillips Curves were Unstable," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(4), pages 743-760, August.
    16. 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.
    17. Steven Lehrer & Tian Xie, 2016. "Box Office Buzz: Does Social Media Data Steal the Show from Model Uncertainty When Forecasting for Hollywood?," NBER Working Papers 22959, National Bureau of Economic Research, Inc.
    18. Clements Michael P. & Hendry David F., 2008. "Economic Forecasting in a Changing World," Capitalism and Society, De Gruyter, vol. 3(2), pages 1-20, October.
    19. Mr. Andrew J Swiston, 2011. "Official Dollarization As a Monetary Regime: Its Effectson El Salvador," IMF Working Papers 2011/129, International Monetary Fund.
    20. Norden, Lars & Mesquita, Daniel & Wang, Weichao, 2021. "COVID-19, policy interventions and credit: The Brazilian experience," Journal of Financial Intermediation, Elsevier, vol. 48(C).
    21. Takamitsu Kurita, 2019. "A Recursive Monte Carlo Study of Structural-Break Sensitivity of Adjustment Coefficients in Cointegrated VAR Systems," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 17(2), pages 251-270, June.
    22. Fullerton, Thomas M., Jr. & Ceballos, Alejandro & Walke, Adam G., 2015. "Short-Term Forecasting Analysis for Municipal Water Demand," MPRA Paper 78259, University Library of Munich, Germany, revised 04 Aug 2015.
    23. Frédérique Bec & Matteo Mogliani, 2013. "Nowcasting French GDP in Real-Time from Survey Opinions : Information or Forecast Combinations ?," Working Papers 2013-21, Center for Research in Economics and Statistics.
    24. 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.
    25. Jonas Harnau, 2018. "Log-Normal or Over-Dispersed Poisson?," Risks, MDPI, vol. 6(3), pages 1-37, July.
    26. Owen, P. Dorian, 2018. "Replication to assess statistical adequacy," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 12, pages 1-16.
    27. Antonia Lòpez-Villavicencio & Luis Antonio Reyes Ortiz, 2018. "Is globalisation taking away jobs? An empirical assessment for advanced economies," Working Papers halshs-01895223, HAL.
    28. Mauleón, Ignacio & Hamoudi, Hamid, 2017. "Photovoltaic and wind cost decrease estimation: Implications for investment analysis," Energy, Elsevier, vol. 137(C), pages 1054-1065.
    29. Mrs. Swarnali A Hannan, 2015. "If the Fed Acts, How Do You React? The Liftoff Effect on Capital Flows," IMF Working Papers 2015/256, International Monetary Fund.

  6. Clements, Michael P. & Hendry, David F., 2006. "Forecasting with Breaks," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 12, pages 605-657, Elsevier.

    Cited by:

    1. Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2022. "Forecasting under Structural Breaks Using Improved Weighted Estimation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202212, University of Kansas, Department of Economics.
    2. 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.
    3. Sinclair, Tara M. & Stekler, H.O., 2013. "Examining the quality of early GDP component estimates," International Journal of Forecasting, Elsevier, vol. 29(4), pages 736-750.
    4. Yi, Yongsheng & Ma, Feng & Zhang, Yaojie & Huang, Dengshi, 2019. "Forecasting stock returns with cycle-decomposed predictors," International Review of Financial Analysis, Elsevier, vol. 64(C), pages 250-261.
    5. Tzeng, Kae-Yih & Su, Yi-Kai, 2024. "Can U.S. macroeconomic indicators forecast cryptocurrency volatility?," The North American Journal of Economics and Finance, Elsevier, vol. 74(C).
    6. Timmermann, Allan & Elliott, Graham, 2007. "Economic Forecasting," CEPR Discussion Papers 6158, C.E.P.R. Discussion Papers.
    7. Antoine Mandel & Amir Sani, 2017. "A Machine Learning Approach to the Forecast Combination Puzzle," Working Papers halshs-01317974, HAL.
    8. Graziano Moramarco, 2021. "Financial-cycle ratios and medium-term predictions of GDP: Evidence from the United States," Papers 2111.00822, arXiv.org, revised Jan 2024.
    9. 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.).
    10. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
    11. Kapetanios, G. & Tzavalis, E., 2010. "Modeling structural breaks in economic relationships using large shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 417-436, March.
    12. Davide De Gaetano, 2018. "Forecast Combinations in the Presence of Structural Breaks: Evidence from U.S. Equity Markets," Mathematics, MDPI, vol. 6(3), pages 1-19, March.
    13. Clements, Michael P., 2012. "Subjective and Ex Post Forecast Uncertainty: US Inflation and Output Growth," Economic Research Papers 270629, University of Warwick - Department of Economics.
    14. 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.
    15. Pesaran, M. Hashem & Pick, Andreas & Pranovich, Mikhail, 2013. "Optimal forecasts in the presence of structural breaks," Journal of Econometrics, Elsevier, vol. 177(2), pages 134-152.
    16. Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2012. "Is there an Optimal Forecast Combination? A Stochastic Dominance Approach to Forecast Combination Puzzle," Working Paper series 17_12, Rimini Centre for Economic Analysis.
    17. Lima, Luiz Renato Regis de Oliveira & Issler, João Victor, 2007. "A panel data approach to economic forecasting: the bias-corrected average forecast," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 650, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    18. Clements, Michael P. & Kim, Jae H., 2007. "Bootstrap prediction intervals for autoregressive time series," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3580-3594, April.
    19. Josef Baumgartner, 2008. "Die Preistransmission entlang der Wertschöpfungskette in Österreich für ausgewählte Produktgruppen," WIFO Studies, WIFO, number 33139, January.
    20. Sjoerd van den Hauwe & Richard Paap & Dick J.C. van Dijk, 2011. "An Alternative Bayesian Approach to Structural Breaks in Time Series Models," Tinbergen Institute Discussion Papers 11-023/4, Tinbergen Institute.
    21. Conlon, Thomas & Cotter, John & Eyiah-Donkor, Emmanuel, 2024. "Forecasting the price of oil: A cautionary note," Journal of Commodity Markets, Elsevier, vol. 33(C).
    22. Kapetanios, George & Labhard, Vincent & Price, Simon, 2008. "Forecast combination and the Bank of England's suite of statistical forecasting models," Economic Modelling, Elsevier, vol. 25(4), pages 772-792, July.
    23. Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006. "Econometrics: A Bird's Eye View," IZA Discussion Papers 2458, Institute of Labor Economics (IZA).
    24. Pesaran, M.H. & Schuermann, T. & Smit, L.V., 2008. "Forecasting Economic and Financial Variables with Global VARs," Cambridge Working Papers in Economics 0807, Faculty of Economics, University of Cambridge.
    25. YiLi Chien & Harold L. Cole & Hanno Lustig, 2014. "Implications of heterogeneity in preferences, beliefs and asset trading technologies for the macroeconomy," Working Papers 2014-14, Federal Reserve Bank of St. Louis.
    26. 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.
    27. Kaya, Huseyin, 2013. "Forecasting the yield curve and the role of macroeconomic information in Turkey," Economic Modelling, Elsevier, vol. 33(C), pages 1-7.
    28. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.
    29. Afsaneh Bahrami & Abul Shamsuddin & Katherine Uylangco, 2018. "Out‐of‐sample stock return predictability in emerging markets," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(3), pages 727-750, September.
    30. Valentina Corradi & Norman Swanson, 2013. "Testing for Structural Stability of Factor Augmented Forecasting Models," Departmental Working Papers 201314, Rutgers University, Department of Economics.
    31. Hendry, David F. & Hubrich, Kirstin, 2011. "Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(2), pages 216-227.
    32. Issler, João Victor & Rodrigues, Claudia Ferreira & Burjack, Rafael, 2013. "Using common features to understand the behavior of metal-commodity prices and forecast them at different horizons," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 744, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    33. Mehmet Pinar & Thanasis Stengos & M. Ege Yazgan, 2018. "Quantile forecast combination using stochastic dominance," Empirical Economics, Springer, vol. 55(4), pages 1717-1755, December.
    34. Alessandro Casini & Pierre Perron, 2018. "Structural Breaks in Time Series," Boston University - Department of Economics - Working Papers Series WP2019-02, Boston University - Department of Economics.
    35. Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
    36. Jari Hännikäinen, 2016. "Selection of an Estimation Window in the Presence of Data Revisions and Recent Structural Breaks," Working Papers 1692, Tampere University, Faculty of Management and Business, Economics.
    37. 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.
    38. Chevillon, Guillaume, 2016. "Multistep forecasting in the presence of location shifts," International Journal of Forecasting, Elsevier, vol. 32(1), pages 121-137.
    39. Yili Chien & Harold Cole & Hanno Lustig, 2016. "Implications of Heterogeneity in Preferences, Beliefs and Asset Trading Technologies in an Endowment Economy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 20, pages 215-239, April.
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    51. 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.
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    54. WAN, Shui-Ki & WANG, Shin-Huei & WOO, Chi-Keung, 2012. "Total tourist arrival forecast: aggregation vs. disaggregation," LIDAM Discussion Papers CORE 2012039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    55. Fokin, Nikita & Polbin, Andrey, 2019. "A Bivariate Forecasting Model For Russian GDP Under Structural Changes In Monetary Policy and Long-Term Growth," MPRA Paper 95306, University Library of Munich, Germany, revised Apr 2019.
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    Cited by:

    1. Chatelain, Jean-Bernard & Ralf, Kirsten, 2018. "Publish and Perish: Creative Destruction and Macroeconomic Theory," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 46(2), pages 65-101.
    2. Qin, Duo & Cagas, Marie Anne & Ducanes, Geoffrey & Magtibay-Ramos, Nedelyn & Quising, Pilipinas, 2008. "Automatic leading indicators versus macroeconometric structural models: A comparison of inflation and GDP growth forecasting," International Journal of Forecasting, Elsevier, vol. 24(3), pages 399-413.
    3. Diebolt, Claude, 2009. "Editorial introduction: Advances in historical macroeconomics," Journal of Macroeconomics, Elsevier, vol. 31(1), pages 1-4, March.
    4. Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas Quising, 2007. "Automatic Leading Indicators (ALIs) versus Macro Econometric Structural Models (MESMs): Comparison of Inflation and GDP growth Forecasting," EcoMod2007 23900072, EcoMod.
    5. Meszaros, Sandor, 2008. "Theory testing (hypothesis testing) in agricultural economics," Studies in Agricultural Economics, Research Institute for Agricultural Economics, vol. 107, pages 1-13, March.
    6. Duo Qin & Marie Anne Cagas & Geoffrey Ducanes & Nedelyn Magtibay-Ramos & Pilipinas Quising, 2006. "Forecasting Inflation and GDP growth: Comparison of Automatic Leading Indicator (ALI) Method with Macro Econometric Structural Models (MESMs)," Working Papers 554, Queen Mary University of London, School of Economics and Finance.

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    5. Giorgio Calzolari & F. Di Iorio & G. Fiorentini, 1999. "Indirect Estimation of Just-Identified Models with Control Variates," Econometrics Working Papers Archive quaderno46, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    6. Neil R. Ericsson & James G. MacKinnon, 2000. "Distributions of Error Correction Tests for Cointegration," Econometric Society World Congress 2000 Contributed Papers 0561, Econometric Society.
    7. Lawford, Steve & Stamatogiannis, Michalis P., 2009. "The finite-sample effects of VAR dimensions on OLS bias, OLS variance, and minimum MSE estimators," Journal of Econometrics, Elsevier, vol. 148(2), pages 124-130, February.
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    34. Skavysh, Vladimir & Priazhkina, Sofia & Guala, Diego & Bromley, Thomas R., 2023. "Quantum monte carlo for economics: Stress testing and macroeconomic deep learning," Journal of Economic Dynamics and Control, Elsevier, vol. 153(C).
    35. Liesenfeld, Roman & Breitung, Jörg, 1998. "Simulation based methods of moments in empirical finance," SFB 373 Discussion Papers 1998,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
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    37. Bianchi, Carlo & Calzolari, Giorgio & Sterbenz, Frederic P., 1991. "Simulation of interest rate options using ARCH," MPRA Paper 24844, University Library of Munich, Germany.
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    41. Jean-François Richard, 2019. "Bidder Collusion: Accounting for All Feasible Bidders," Working Paper 6759, Department of Economics, University of Pittsburgh.
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    43. A. Geraci & D. Fabbri & C. Monfardini, 2014. "Testing exogeneity of multinomial regressors in count data models: does two stage residual inclusion work?," Working Papers wp921, Dipartimento Scienze Economiche, Universita' di Bologna.
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    49. Cerqueti, Roy & Costantini, Mauro & Lupi, Claudio, 2011. "FDR Control in the Presence of an Unknown Correlation Structure," Economics & Statistics Discussion Papers esdp11059, University of Molise, Department of Economics.
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    Cited by:

    1. Baffes, John & Kshirsagar, Varun & Mitchell, Donald, 2015. "What Drives Local Food Prices? Evidence from the Tanzanian Maize Market," 2015 Conference, August 9-14, 2015, Milan, Italy 211193, International Association of Agricultural Economists.
    2. Bårdsen, Gunnar & Nymoen, Ragnar, 2006. "U.S. natural rate dynamics reconsidered," Memorandum 13/2006, Oslo University, Department of Economics.
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    4. Anita Ghatak, 1998. "Aggregate consumption functions for India: A cointegration analysis under structural changes, 1919-86," Journal of Applied Statistics, Taylor & Francis Journals, vol. 25(4), pages 475-488.
    5. Samarendu Mohanty & E. Wesley F. Peterson & Darnell B. Smith, 1997. "Estimation of Demand for Wheat by Classes for the United States and the European Union," Food and Agricultural Policy Research Institute (FAPRI) Publications (archive only) 97-wp181, Center for Agricultural and Rural Development (CARD) at Iowa State University.
    6. Dimitrios P Tsomocos & Gunnar Bardsen & Department of Economics & NTNUKjersti-Gro Lindquist & Norges Bank, 2006. "Evaluation of macroeconomic models for financial stability analysis," Economics Series Working Papers 2006-FE-01, University of Oxford, Department of Economics.
    7. Neil R. Ericsson & John S. Irons & Ralph W. Tryon, 2000. "Output and inflation in the long run," International Finance Discussion Papers 687, Board of Governors of the Federal Reserve System (U.S.).
    8. Fok, D. & Paap, R. & Franses, Ph.H.B.F., 2002. "Modeling dynamic effects of promotion on interpurchase times," Econometric Institute Research Papers EI 2002-37, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    9. Sean Pascoe & Peggy Schrobback & Eriko Hoshino & Robert Curtotti, 2023. "Impact of changes in imports and farmed salmon on wild-caught fish prices in Australia," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 50(2), pages 335-359.
    10. Syed Muhammad Tariq & Kent Matthews, 1997. "The Demand for Simple-sum and Divisia Monetary Aggregates for Pakistan: A Cointegration Approach," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 36(3), pages 275-291.
    11. Neil R. Ericsson & James G. MacKinnon, 2000. "Distributions of Error Correction Tests for Cointegration," Econometric Society World Congress 2000 Contributed Papers 0561, Econometric Society.
    12. Carone, Giuseppe, 1996. "Modeling the U.S. demand for imports through cointegration and error correction," Journal of Policy Modeling, Elsevier, vol. 18(1), pages 1-48, February.
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    15. K Abadir & W Distaso, "undated". "Testing joint hypotheses when one of the alternatives is one-sided," Discussion Papers 05/13, Department of Economics, University of York.
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    17. Jongwanich, Juthathip, 2009. "Equilibrium Real Exchange Rate, Misalignment, and Export Performance in Developing Asia," ADB Economics Working Paper Series 151, Asian Development Bank.
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Books

  1. Clements, Michael P. & Hendry, David F. (ed.), 2011. "The Oxford Handbook of Economic Forecasting," OUP Catalogue, Oxford University Press, number 9780195398649.

    Cited by:

    1. 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.
    2. Exterkate, Peter & Groenen, Patrick J.F. & Heij, Christiaan & van Dijk, Dick, 2016. "Nonlinear forecasting with many predictors using kernel ridge regression," International Journal of Forecasting, Elsevier, vol. 32(3), pages 736-753.
    3. Francisco Corona & Pilar Poncela & Esther Ruiz, 2017. "Determining the number of factors after stationary univariate transformations," Empirical Economics, Springer, vol. 53(1), pages 351-372, August.
    4. Tae-Hwy Lee & Shahnaz Parsaeian & Aman Ullah, 2022. "Forecasting under Structural Breaks Using Improved Weighted Estimation," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202212, University of Kansas, Department of Economics.
    5. Masayoshi Hayashi, 2012. "Forecasting Welfare Caseloads: The Case of the Japanese Public Assistance Program," CIRJE F-Series CIRJE-F-846, CIRJE, Faculty of Economics, University of Tokyo.
    6. Laurent Callot & Johannes Tang Kristensen, 2015. "Regularized Estimation of Structural Instability in Factor Models: The US Macroeconomy and the Great Moderation," CREATES Research Papers 2015-29, Department of Economics and Business Economics, Aarhus University.
    7. 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.
    8. Aviral Kumar Tiwari & Rangan Gupta & Juncal Cunado & Xin Sheng, 2019. "Testing the White Noise Hypothesis in High-Frequency Housing Returns of the United States," Working Papers 201952, University of Pretoria, Department of Economics.
    9. Francisco Corona & Graciela González-Farías & Pedro Orraca, 2017. "A dynamic factor model for the Mexican economy: are common trends useful when predicting economic activity?," Latin American Economic Review, Springer;Centro de Investigaciòn y Docencia Económica (CIDE), vol. 26(1), pages 1-35, December.
    10. Davide Pettenuzzo & Antonio Gargano & Allan Timmermann, 2014. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Working Papers 75, Brandeis University, Department of Economics and International Business School.
    11. 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.
    12. Johanna Posch & Fabio Rumler, 2015. "Semi‐Structural Forecasting of UK Inflation Based on the Hybrid New Keynesian Phillips Curve," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(2), pages 145-162, March.
    13. Luciani, Matteo & Pundit, Madhavi & Ramayandi, Arief & Veronese , Giovanni, 2015. "Nowcasting Indonesia," ADB Economics Working Paper Series 471, Asian Development Bank.
    14. 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.
    15. Norman R. Swanson & Weiqi Xiong, 2018. "Big data analytics in economics: What have we learned so far, and where should we go from here?," Canadian Journal of Economics, Canadian Economics Association, vol. 51(3), pages 695-746, August.
    16. Brum, Matias & De Rosa, Mauricio, 2021. "Too little but not too late: nowcasting poverty and cash transfers’ incidence during COVID-19’s crisis," World Development, Elsevier, vol. 140(C).
    17. 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.).
    18. Moratis, Georgios & Sakellaris, Plutarchos, 2021. "Measuring the systemic importance of banks," Journal of Financial Stability, Elsevier, vol. 54(C).
    19. Tony Chernis & Rodrigo Sekkel, 2017. "A dynamic factor model for nowcasting Canadian GDP growth," Empirical Economics, Springer, vol. 53(1), pages 217-234, August.
    20. Jennifer Castle & David Hendry, 2012. "Forecasting by factors, by variables, or both?," Economics Series Working Papers 600, University of Oxford, Department of Economics.
    21. Clements, Michael P., 2012. "Subjective and Ex Post Forecast Uncertainty: US Inflation and Output Growth," Economic Research Papers 270629, University of Warwick - Department of Economics.
    22. 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.
    23. Lucchetti, Riccardo & Venetis, Ioannis A., 2020. "A replication of "A quasi-maximum likelihood approach for large, approximate dynamic factor models" (Review of Economics and Statistics, 2012)," Economics Discussion Papers 2020-5, Kiel Institute for the World Economy (IfW Kiel).
    24. 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.
    25. Anders Bredahl Kock & Laurent A.F. Callot, 2012. "Oracle Inequalities for High Dimensional Vector Autoregressions," CREATES Research Papers 2012-16, Department of Economics and Business Economics, Aarhus University.
    26. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    27. Matías Brum & Mauricio de Rosa, 2020. "Too little but not too late. Nowcasting poverty and cash transfers' incidence in Uruguay during COVID-19's crisis," Documentos de Trabajo (working papers) 20-09, Instituto de Economía - IECON.
    28. Uluceviz, Erhan & Yilmaz, Kamil, 2021. "Measuring real–financial connectedness in the U.S. economy," The North American Journal of Economics and Finance, Elsevier, vol. 58(C).
    29. Katja Heinisch & Rolf Scheufele, 2018. "Bottom-up or direct? Forecasting German GDP in a data-rich environment," Empirical Economics, Springer, vol. 54(2), pages 705-745, March.
    30. Till Weigt & Bernd Wilfling, 2018. "An approach to increasing forecast-combination accuracy through VAR error modeling," CQE Working Papers 6818, Center for Quantitative Economics (CQE), University of Muenster.
    31. Katarina Juselius, 2022. "A Theory-Consistent CVAR Scenario for a Monetary Model with Forward-Looking Expectations," Econometrics, MDPI, vol. 10(2), pages 1-15, April.
    32. Ricardo Reis, 2017. "Is Something Really Wrong with Macroeconomics?," Discussion Papers 1713, Centre for Macroeconomics (CFM).
    33. Jiang, Yu & Guo, Yongji & Zhang, Yihao, 2017. "Forecasting China's GDP growth using dynamic factors and mixed-frequency data," Economic Modelling, Elsevier, vol. 66(C), pages 132-138.
    34. Ádám Csápai, 0000. "Macroeconomic Forecasting Using Machine Learning: A Case of Slovakia," Proceedings of Economics and Finance Conferences 14115967, International Institute of Social and Economic Sciences.
    35. Carlos Medel, 2015. "Inflation Dynamics and the Hybrid Neo Keynesian Phillips Curve: The Case of Chile," Working Papers Central Bank of Chile 769, Central Bank of Chile.
    36. Medel, Carlos A., 2015. "Forecasting Inflation with the Hybrid New Keynesian Phillips Curve: A Compact-Scale Global VAR Approach," MPRA Paper 67081, University Library of Munich, Germany.
    37. 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.
    38. Jose M. Carabias, 2018. "The real-time information content of macroeconomic news: implications for firm-level earnings expectations," Review of Accounting Studies, Springer, vol. 23(1), pages 136-166, March.
    39. Yuanyuan Gu & Sonia García-Pérez & John Massie & Kees Gool, 2015. "Cost of care for cystic fibrosis: an investigation of cost determinants using national registry data," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 16(7), pages 709-717, September.
    40. Robert Adamek & Stephan Smeekes & Ines Wilms, 2020. "Lasso Inference for High-Dimensional Time Series," Papers 2007.10952, arXiv.org, revised Sep 2022.
    41. Jin, Sainan & Corradi, Valentina & Swanson, Norman R., 2017. "Robust Forecast Comparison," Econometric Theory, Cambridge University Press, vol. 33(6), pages 1306-1351, December.
    42. Shahnaz Parsaeian, 2023. "Structural Breaks in Seemingly Unrelated Regression Models," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202308, University of Kansas, Department of Economics.
    43. Gebka, Bartosz & Wohar, Mark E., 2019. "Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 1-25.
    44. Aviral Kumar Tiwari & Rangan Gupta & Mark E. Wohar, 2019. "Is the Housing Market in the United States Really Weakly-Efficient?," Working Papers 201934, University of Pretoria, Department of Economics.
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    46. Elie Bouri & Rangan Gupta & Clement Kweku Kyei & Rinsuna Shivambu, 2020. "Uncertainty and Daily Predictability of Housing Returns and Volatility of the United States: Evidence from a Higher-Order Nonparametric Causality-in-Quantiles Test," Working Papers 202071, University of Pretoria, Department of Economics.
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    54. Michael Clements, 2017. "Do forecasters target first or later releases of national accounts data?," ICMA Centre Discussion Papers in Finance icma-dp2017-03, Henley Business School, University of Reading.
    55. Jennifer Castle & David Hendry, 2013. "Semi-automatic Non-linear Model selection," Economics Series Working Papers 654, University of Oxford, Department of Economics.
    56. Pablo Pincheira & Carlos A. Medel, 2012. "Forecasting Inflation with a Simple and Accurate Benchmark: a Cross-Country Analysis," Working Papers Central Bank of Chile 677, Central Bank of Chile.
    57. 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.
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    59. 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.
    60. 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.
    61. Marc Hallin & Marco Lippi, 2013. "Factor Models in High-Dimensional Time Series: A Time-Domain Approach," Working Papers ECARES ECARES 2013-15, ULB -- Universite Libre de Bruxelles.
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    63. Boonman, Tjeerd M. & Jacobs, Jan P.A.M. & Kuper, Gerard H., 2012. "The Global Financial Crisis and currency crises in Latin America," Research Report 12005-EEF, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
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    67. Karlsson, Sune, 2013. "Forecasting with Bayesian Vector Autoregression," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 791-897, Elsevier.
    68. Zongwu Cai & Gunawan, 2023. "A Combination Forecast for Nonparametric Models with Structural Breaks," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202310, University of Kansas, Department of Economics, revised Sep 2023.
    69. Franses, Philip Hans & Legerstee, Rianne, 2013. "Do statistical forecasting models for SKU-level data benefit from including past expert knowledge?," International Journal of Forecasting, Elsevier, vol. 29(1), pages 80-87.
    70. Johannes Tang Kristensen, 2013. "Diffusion Indexes with Sparse Loadings," CREATES Research Papers 2013-22, Department of Economics and Business Economics, Aarhus University.
    71. Elena Andreou & Constantinos Kourouyiannis & Andros Kourtellos, 2012. "Volatility Forecast Combinations using Asymmetric Loss Functions," University of Cyprus Working Papers in Economics 07-2012, University of Cyprus Department of Economics.
    72. Heather Anderson & Howard Chan & Robert Faff & Yew Kee Ho, 2012. "Reported earnings and analyst forecasts as competing sources of information: A new approach," Australian Journal of Management, Australian School of Business, vol. 37(3), pages 333-359, December.
    73. 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.
    74. Jorge Caiado & Nuno Crato & Pilar Poncela, 2020. "A fragmented-periodogram approach for clustering big data time series," Advances in Data Analysis and Classification, Springer;German Classification Society - Gesellschaft für Klassifikation (GfKl);Japanese Classification Society (JCS);Classification and Data Analysis Group of the Italian Statistical Society (CLADAG);International Federation of Classification Societies (IFCS), vol. 14(1), pages 117-146, March.
    75. Meriküll, Jaanika & Eamets, Raul & Humal, Katrin & Espenberg, Kerly, 2012. "Power without manpower: Forecasting labour demand for Estonian energy sector," Energy Policy, Elsevier, vol. 49(C), pages 740-750.
    76. 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..
    77. Matthew Franklin & James Lomas & Simon Walker & Tracey Young, 2019. "An Educational Review About Using Cost Data for the Purpose of Cost-Effectiveness Analysis," PharmacoEconomics, Springer, vol. 37(5), pages 631-643, May.
    78. Asger Lunde & Kasper V. Olesen, 2014. "Modeling and Forecasting the Distribution of Energy Forward Returns - Evidence from the Nordic Power Exchange," CREATES Research Papers 2013-19, Department of Economics and Business Economics, Aarhus University.
    79. Clements, Michael P. & Galvão, Ana Beatriz, 2013. "Forecasting with vector autoregressive models of data vintages: US output growth and inflation," International Journal of Forecasting, Elsevier, vol. 29(4), pages 698-714.
    80. 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.
    81. Alain Kabundi & Asi Mbelu, 2017. "Estimating a timevarying financial conditions index for South Africa," Working Papers 8008, South African Reserve Bank.
    82. 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).
    83. Jennifer Castle & David Hendry & Michael P. Clements, 2014. "Robust Approaches to Forecasting," Economics Series Working Papers 697, University of Oxford, Department of Economics.
    84. Jones, A. & Lomas, J. & Rice, N., 2014. "Going Beyond the Mean in Healthcare Cost Regressions: a Comparison of Methods for Estimating the Full Conditional Distribution," Health, Econometrics and Data Group (HEDG) Working Papers 14/26, HEDG, c/o Department of Economics, University of York.
    85. Buchmueller, Thomas C. & Johar, Meliyanni, 2015. "Obesity and health expenditures: Evidence from Australia," Economics & Human Biology, Elsevier, vol. 17(C), pages 42-58.
    86. Erhan Uluceviz & Kamil Yilmaz, 2020. "Real-financial connectedness in the Swiss economy," Swiss Journal of Economics and Statistics, Springer;Swiss Society of Economics and Statistics, vol. 156(1), pages 1-20, December.
    87. Kenneth W Clements & Grace Gao, 2013. "A Multi-Market Approach to Measuring the Cycle," Economics Discussion / Working Papers 13-16, The University of Western Australia, Department of Economics.
    88. Chen, Peng, 2015. "Global oil prices, macroeconomic fundamentals and China's commodity sector comovements," Energy Policy, Elsevier, vol. 87(C), pages 284-294.
    89. Silvija Vlah Jerić & Mihovil Anđelinović, 2019. "Evaluating Croatian stock index forecasts," Empirical Economics, Springer, vol. 56(4), pages 1325-1339, April.
    90. David Hendry & Grayham E. Mizon, 2012. "Forecasting from Structural Econometric Models," Economics Series Working Papers 597, University of Oxford, Department of Economics.
    91. Byun, Suk Joon & Cho, Hangjun, 2013. "Forecasting carbon futures volatility using GARCH models with energy volatilities," Energy Economics, Elsevier, vol. 40(C), pages 207-221.
    92. Minxian Yang, 2017. "Effects of idiosyncratic shocks on macroeconomic time series," Empirical Economics, Springer, vol. 53(4), pages 1441-1461, December.
    93. Kőrösi, Gábor, 2016. "A lány továbbra is szolgál.. [Modelling and econometrics]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(6), pages 647-667.
    94. Gianluca De Nard & Olivier Ledoit & Michael Wolf, 2018. "Factor models for portfolio selection in large dimensions: the good, the better and the ugly," ECON - Working Papers 290, Department of Economics - University of Zurich, revised Dec 2018.
    95. Giampiero M. Gallo, 2017. "Hendry, David F. and Doornik, Jurgen A.: Empirical model discovery and theory evaluation: automatic selection methods in econometrics," Journal of Economics, Springer, vol. 120(3), pages 279-281, April.
    96. Sriubaite, I. & Harris, A. & Jones, A.M. & Gabbe, B., 2020. "Economic Consequences of Road Traffic Injuries. Application of the Super Learner algorithm," Health, Econometrics and Data Group (HEDG) Working Papers 20/20, HEDG, c/o Department of Economics, University of York.
    97. Ca' Zorzi, Michele & Kolasa, Marcin & Rubaszek, Michał, 2016. "Exchange rate forecasting with DSGE models," Working Paper Series 1905, European Central Bank.
    98. 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).
    99. Bhattarai, Keshab & Mallick, Sushanta K. & Yang, Bo, 2021. "Are global spillovers complementary or competitive? Need for international policy coordination," Journal of International Money and Finance, Elsevier, vol. 110(C).
    100. Michael P. Clements, 2014. "Forecast Uncertainty- Ex Ante and Ex Post : U.S. Inflation and Output Growth," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(2), pages 206-216, April.
    101. Eduard Baitinger & Christian Fieberg & Thorsten Poddig & Armin Varmaz, 2015. "Liquidity-driven approach to dynamic asset allocation: evidence from the German stock market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 29(4), pages 365-379, November.
    102. Dovern, Jonas & Hartmann, Matthias, 2016. "Forecast Performance, Disagreement, and Heterogeneous Signal-to-Noise Ratios," Working Papers 0611, University of Heidelberg, Department of Economics.
    103. In Choi & Jorg Breitung, 2011. "Factor models," Working Papers 1121, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy), revised Dec 2011.
    104. Afees A. Salisu & Rangan Gupta & Riza Demirer, 2021. "Global Financial Cycle and the Predictability of Oil Market Volatility: Evidence from a GARCH-MIDAS Model," Working Papers 202121, University of Pretoria, Department of Economics.
    105. Çakmaklı, Cem & van Dijk, Dick, 2016. "Getting the most out of macroeconomic information for predicting excess stock returns," International Journal of Forecasting, Elsevier, vol. 32(3), pages 650-668.
    106. Fritz Breuss, 2016. "Would DSGE Models have Predicted the Great Recession in Austria?," WIFO Working Papers 530, WIFO.
    107. Scott A. Brave & R. Andrew Butters & David Kelley, 2019. "A New “Big Data” Index of U.S. Economic Activity," Economic Perspectives, Federal Reserve Bank of Chicago, issue 1, pages 1-30.
    108. Peter Exterkate, 2012. "Model Selection in Kernel Ridge Regression," CREATES Research Papers 2012-10, Department of Economics and Business Economics, Aarhus University.
    109. 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.
    110. Fischer, Manfred M. & Hauzenberger, Niko & Huber, Florian & Pfarrhofer, Michael, 2022. "General Bayesian time-varying parameter VARs for modeling government bond yields," Working Papers in Regional Science 2021/01, WU Vienna University of Economics and Business.
    111. Frédérique Bec & Matteo Mogliani, 2013. "Nowcasting French GDP in Real-Time from Survey Opinions : Information or Forecast Combinations ?," Working Papers 2013-21, Center for Research in Economics and Statistics.
    112. Schanne, Norbert, 2015. "A Global Vector Autoregression (GVAR) model for regional labour markets and its forecasting performance with leading indicators in Germany," IAB-Discussion Paper 201513, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
    113. María del Pilar Cruz N. & Hugo Peralta V. & Juan Pablo Cova M., 2022. "Utilización de noticias de prensa como indicador de confianza económica en tiempo real," Working Papers Central Bank of Chile 938, Central Bank of Chile.
    114. Stig V. Møller & Jesper Rangvid, 2018. "Global Economic Growth and Expected Returns Around the World: The End-of-the-Year Effect," Management Science, INFORMS, vol. 64(2), pages 573-591, February.
    115. Romeo Ionescu, 2012. "The Economic Recovery across the EU vs the Global Crisis," EuroEconomica, Danubius University of Galati, issue 2(31), pages 30-39, May.
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    121. Riccardo (Jack) Lucchetti & Ioannis A. Venetis, 2019. "Dynamic Factor Models in gretl. The DFM package," gretl working papers 7, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
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    125. Jennifer L. Castle & Jurgen A. Doornik & David F. Hendry, 2024. "Forecasting the UK top 1% income share in a shifting world," Economica, London School of Economics and Political Science, vol. 91(363), pages 1047-1074, July.
    126. Pilar Poncela & Eva Senra, 2017. "Measuring uncertainty and assessing its predictive power in the euro area," Empirical Economics, Springer, vol. 53(1), pages 165-182, August.
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    128. Pilar Poncela & Eva Senra & Lya Paola Sierra, 2020. "Global vs Sectoral Factors and the Impact of the Financialization in Commodity Price Changes," Open Economies Review, Springer, vol. 31(4), pages 859-879, September.
    129. Jongsay Yong & Ou Yang, 2021. "Does socioeconomic status affect hospital utilization and health outcomes of chronic disease patients?," The European Journal of Health Economics, Springer;Deutsche Gesellschaft für Gesundheitsökonomie (DGGÖ), vol. 22(2), pages 329-339, March.
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  2. David F. Hendry & Neil R. Ericsson (ed.), 2003. "Understanding Economic Forecasts," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262582422, December.

    Cited by:

    1. Wändi Bruine de Bruin & Michael F. Bryan & Simon M. Potter & Giorgio Topa & Wilbert Van der Klaauw, 2008. "Rethinking the measurement of household inflation expectations: preliminary findings," Staff Reports 359, Federal Reserve Bank of New York.
    2. Rolando F. Peláez, 2015. "A recession‐and‐state forecasting model," Southern Economic Journal, John Wiley & Sons, vol. 81(4), pages 1025-1039, April.
    3. Katarina Juselius, 2022. "A Theory-Consistent CVAR Scenario for a Monetary Model with Forward-Looking Expectations," Econometrics, MDPI, vol. 10(2), pages 1-15, April.
    4. Goodwin, Paul & Önkal, Dilek & Thomson, Mary, 2010. "Do forecasts expressed as prediction intervals improve production planning decisions?," European Journal of Operational Research, Elsevier, vol. 205(1), pages 195-201, August.
    5. Döhrn, Roland, 2010. "Konjunkturprognosen in bewegten Zeiten: Die Kunst des Unmöglichen?," RWI Materialien 62, RWI - Leibniz-Institut für Wirtschaftsforschung.
    6. Rolando F. Peláez, 2015. "Market‐timing the business cycle," Review of Financial Economics, John Wiley & Sons, vol. 26(1), pages 55-64, September.
    7. J. M. Kargbo, 2007. "Forecasting agricultural exports and imports in South Africa," Applied Economics, Taylor & Francis Journals, vol. 39(16), pages 2069-2084.
    8. Peláez, Rolando F., 2015. "Market-timing the business cycle," Review of Financial Economics, Elsevier, vol. 26(C), pages 55-64.
    9. Alexander HARIN, 2014. "Partially Unforeseen Events. Corrections and Correcting Formulae for Forecasts," Expert Journal of Economics, Sprint Investify, vol. 2(2), pages 69-79.
    10. Araz Taeihagh, 2017. "Crowdsourcing: a new tool for policy-making?," Policy Sciences, Springer;Society of Policy Sciences, vol. 50(4), pages 629-647, December.
    11. Gerit Vogt, 2009. "Konjunkturprognose in Deutschland. Ein Beitrag zur Prognose der gesamtwirtschaftlichen Entwicklung auf Bundes- und Länderebene," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 36.

  3. Michael P. Clements & David F. Hendry, 2001. "Forecasting Non-Stationary Economic Time Series," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262531895, December.

    Cited by:

    1. Frédérick Demers & Annie De Champlain, 2005. "Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?," Staff Working Papers 05-44, Bank of Canada.
    2. Corielli, Francesco & Marcellino, Massimiliano, 2006. "Factor based index tracking," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2215-2233, August.
    3. Camille Logeay & Sven Schreiber, 2006. "Testing the effectiveness of the French work-sharing reform: a forecasting approach," Applied Economics, Taylor & Francis Journals, vol. 38(17), pages 2053-2068.
    4. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    5. Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2006. "Learning, Structural Instability and Present Value Calculations," Cambridge Working Papers in Economics 0602, Faculty of Economics, University of Cambridge.
    6. Vitek, Francis, 2006. "Measuring the Stance of Monetary Policy in a Small Open Economy: A Dynamic Stochastic General Equilibrium Approach," MPRA Paper 802, University Library of Munich, Germany.
    7. 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).
    8. Luis Fernando Melo & Martha Misas A., 2004. "Modelos Estructurales de Inflación en Colombia: Estimación a Través de Mínimos Cuadrados Flexibles," Borradores de Economia 283, Banco de la Republica de Colombia.
    9. Anindya Banerjee & Massimiliano Marcellino & Igor Masten, 2008. "Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change," Working Papers 334, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    10. Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
    11. D. Kuang & Bent Nielsen & J. P. Nielsen, 2008. "Forecasting with the age-period-cohort model and the extended chain-ladder model," Economics Papers 2008-W09, Economics Group, Nuffield College, University of Oxford.
    12. Anyfantakis, Costas & Caporale, Guglielmo M. & Pittis, Nikitas, 2004. "Parameter Instability and Forecasting Performance. A Monte Carlo Study," Economics Series 160, Institute for Advanced Studies.
    13. Anindya Banerjee & Massimiliano Marcellino, 2003. "Are There Any Reliable Leading Indicators for U.S. Inflation and GDP Growth?," Working Papers 236, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    14. J. James Reade & Ulrich Volz, 2009. "Too Much to Lose, or More to Gain? Should Sweden Join the Euro?," Economics Series Working Papers 442, University of Oxford, Department of Economics.
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    1. Hendry, David F. & Clements, Michael P., 2003. "Economic forecasting: some lessons from recent research," Economic Modelling, Elsevier, vol. 20(2), pages 301-329, March.
    2. M Sensier & D van Dijk, 2001. "Short-term Volatility versus Long-term Growth: Evidence in US Macroeconomic Time Series," Centre for Growth and Business Cycle Research Discussion Paper Series 08, Economics, The University of Manchester.
    3. Waldyr Dutra Areosa & Michael McAleer & Marcelo C. Medeiros, 2009. "Moment-Based Estimation of Smooth Transition Regression Models with Endogenous Variables," CIRJE F-Series CIRJE-F-671, CIRJE, Faculty of Economics, University of Tokyo.
    4. D van Dijk & D R Osborn & M Sensier, 2002. "Changes in variability of the business cycle in the G7 countries," Economics Discussion Paper Series 0204, Economics, The University of Manchester.
    5. Dalu Zhang & Peter Moffatt, 2013. "Time series non-linearity in the real growth / recession-term spread relationship," University of East Anglia Applied and Financial Economics Working Paper Series 047, School of Economics, University of East Anglia, Norwich, UK..
    6. Michael P. Clements & David F. Hendry, 2005. "Guest Editors’ Introduction: Information in Economic Forecasting," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 713-753, December.

  5. Hendry, David F., 2000. "Econometrics: Alchemy or Science?: Essays in Econometric Methodology," OUP Catalogue, Oxford University Press, number 9780198293545.

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    1. Bernd Hayo & Matthias Uhl, 2015. "Regional effects of federal tax shocks," Southern Economic Journal, John Wiley & Sons, vol. 82(2), pages 343-360, October.
    2. Bernd Hayo & Ali M. Kutan & Matthias Neuenkirch, 2009. "Federal Reserve Communications and Emerging Equity Markets," MAGKS Papers on Economics 200923, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    3. Bernd Hayo & Florian Neumeier, 2013. "Political Leaders Socioeconomic Background and Public Budget Deficits: Evidence from OECD Countries," MAGKS Papers on Economics 201308, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    4. 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.).
    5. 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.
    6. Stan du Plessis & Ronelle Burger, 2006. "Examining the Robustness of Competing Explanations of Slow Growth in African Countries," Working Papers 03/2006, Stellenbosch University, Department of Economics.
    7. David F. Hendry & Carlos Santos, 2004. "Regression Models with Data-based Indicator Variables," Economics Papers 2004-W13, Economics Group, Nuffield College, University of Oxford.
    8. Bernd Hayo & Matthias Neuenkirch, 2008. "Does the Currency Board Matter? U.S. News and Argentine Financial Market Reaction," MAGKS Papers on Economics 200823, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    9. Md. Bokhtiar Hasan & SM Nahidul Islam & Abu N. M. Wahid, 2018. "The effect of macroeconomic variables on the performance of non-life insurance companies in Bangladesh," Indian Economic Review, Springer, vol. 53(1), pages 369-383, December.
    10. Klomp, Jeroen, 2023. "Political budget cycles in military expenditures: A meta-analysis," Economic Analysis and Policy, Elsevier, vol. 77(C), pages 1083-1102.
    11. David Hendry & Grayham E. Mizon, 2016. "Improving the Teaching of Econometrics," Economics Series Working Papers 785, University of Oxford, Department of Economics.
    12. Afonso, António & Arghyrou, Michael G. & Bagdatoglou, George & Kontonikas, Alexandros, 2013. "On the time-varying relationship between EMU sovereign spreads and their determinants," SIRE Discussion Papers 2013-47, Scottish Institute for Research in Economics (SIRE).
    13. Emmanuel Flachaire & Sullivan Hué & Sébastien Laurent & Gilles Hacheme, 2024. "Interpretable Machine Learning Using Partial Linear Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(3), pages 519-540, June.
    14. Bernd Hayo & Florian Neumeier, 2011. "Political Leaders’ Socioeconomic Background and Fiscal Performance in Germany," MAGKS Papers on Economics 201141, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
    15. Asad Zaman, 2010. "Causal Relations via Econometrics," International Econometric Review (IER), Econometric Research Association, vol. 2(1), pages 36-56, April.
    16. Ye, Haichun & Ashley, Richard & Guerard, John, 2015. "Comparing the effectiveness of traditional vs. mechanized identification methods in post-sample forecasting for a macroeconomic Granger causality analysis," International Journal of Forecasting, Elsevier, vol. 31(2), pages 488-500.
    17. Sullivan Hué, 2022. "GAM(L)A: An econometric model for interpretable machine learning," French Stata Users' Group Meetings 2022 19, Stata Users Group.
    18. Bartkus Algirdas, 2017. "The Impact of Taxes on the Consumption to Income Ratio," Ekonomika (Economics), Sciendo, vol. 96(2), pages 7-27, February.
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