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Details about Graham Elliott

E-mail:
Homepage:http://www.econ.ucsd.edu/~gelliott
Workplace:Department of Economics, University of California-San Diego (UCSD), (more information at EDIRC)

Access statistics for papers by Graham Elliott.

Last updated 2011-11-07. Update your information in the RePEc Author Service.

Short-id: pel18


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Working Papers

2007

  1. Economic Forecasting
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)
    See also Journal Article in Journal of Economic Literature (2008)

2005

  1. Higher Power Tests for Bilateral Failure of PPP after 1973
    Emory Economics, Department of Economics, Emory University (Atlanta) Downloads View citations (4)

2004

  1. Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?
    Econometric Society 2004 North American Summer Meetings, Econometric Society Downloads View citations (14)
    See also Journal Article in Journal of the European Economic Association (2008)
  2. Optimal Forecast Combination Under Regime Switching
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    See also Journal Article in International Economic Review (2005)

2003

  1. Estimating Loss Function Parameters
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (10)
  2. Optimal Power For Testing Potential Cointegrating Vectors with Known Parameters for Nonstationarity
    Emory Economics, Department of Economics, Emory University (Atlanta) Downloads View citations (6)
    See also Journal Article in Journal of Business & Economic Statistics (2005)

2001

  1. Tests for Unit Roots and the Initial Observation
    University of St. Gallen Department of Economics working paper series 2002, Department of Economics, University of St. Gallen Downloads View citations (1)

1998

  1. Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange rate Market
    Discussion Paper Series, Institute of Economic Research, Hitotsubashi University
    See also Journal Article in Journal of Monetary Economics (1999)

1995

  1. Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
  2. International Business Cycles and the Dynamics of the Current Account
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article in European Economic Review (1996)

1992

  1. Efficient Tests for an Autoregressive Unit Root
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (49)
    See also Journal Article in Econometrica (1996)
  2. Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads View citations (3)
    See also Journal Article in Econometric Theory (1994)

1989

  1. Option Prices and Implied Volatilities: An Empirical Analysis
    RBA Research Discussion Papers, Reserve Bank of Australia Downloads
  2. THE REJECTION OF HOMOGENEITY IN DEMAND AND SUPPLY ANALYSIS: AN EXPLANATION AND SOLUTION
    Working Papers, New South Wales - School of Economics View citations (2)

1988

  1. Pricing Behaviour in Australian Financial Futures Markets
    RBA Research Discussion Papers, Reserve Bank of Australia Downloads
  2. The Intertemporal Government Budget Constraint and Tests for Bubbles
    RBA Research Discussion Papers, Reserve Bank of Australia Downloads View citations (3)

Undated

  1. Testing for Unit Roots with Stationary Covariates
    Economics Working Papers, School of Economics and Management, University of Aarhus Downloads View citations (7)
    See also Journal Article in Journal of Econometrics (2003)

Journal Articles

2011

  1. A control function approach for testing the usefulness of trending variables in forecast models and linear regression
    Journal of Econometrics, 2011, 164, (1), 79-91 Downloads View citations (1)

2009

  1. Sir Clive W. J. Granger (1934-2009)
    International Journal of Forecasting, 2009, 25, (4), 639-641 Downloads
  2. TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
    Econometric Theory, 2009, 25, (06), 1829-1850 Downloads

2008

  1. Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?
    Journal of the European Economic Association, 2008, 6, (1), 122-157 Downloads View citations (43)
    See also Working Paper (2004)
  2. Economic Forecasting
    Journal of Economic Literature, 2008, 46, (1), 3-56 Downloads View citations (81)
    See also Working Paper (2007)

2007

  1. Confidence sets for the date of a single break in linear time series regressions
    Journal of Econometrics, 2007, 141, (2), 1196-1218 Downloads View citations (12)

2006

  1. Minimizing the impact of the initial condition on testing for unit roots
    Journal of Econometrics, 2006, 135, (1-2), 285-310 Downloads View citations (20)
  2. On the Failure of Purchasing Power Parity for Bilateral Exchange Rates after 1973
    Journal of Money, Credit and Banking, 2006, 38, (6), 1405-1430 Downloads View citations (12)
  3. Predictive methodology and application in economics and finance: Volume in honor of the accomplishments of Clive W.J. Granger
    Journal of Econometrics, 2006, 135, (1-2), 1-9 Downloads View citations (2)

2005

  1. OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING *
    International Economic Review, 2005, 46, (4), 1081-1102 Downloads View citations (11)
    See also Working Paper (2004)
  2. Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity
    Journal of Business & Economic Statistics, 2005, 23, 34-48 Downloads View citations (15)
    See also Working Paper (2003)

2004

  1. Evaluating significance: comments on "size matters"
    Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), 2004, 33, (5), 547-550 Downloads View citations (2)
  2. Optimal forecast combinations under general loss functions and forecast error distributions
    Journal of Econometrics, 2004, 122, (1), 47-79 Downloads View citations (48)

2003

  1. Testing for unit roots with stationary covariates
    Journal of Econometrics, 2003, 115, (1), 75-89 Downloads View citations (41)
    See also Working Paper
  2. Tests for Unit Roots and the Initial Condition
    Econometrica, 2003, 71, (4), 1269-1286 Downloads View citations (85)

2002

  1. Comments on 'Forecasting with a real-time data set for macroeconomists'
    Journal of Macroeconomics, 2002, 24, (4), 533-539 Downloads View citations (12)

2001

  1. Confidence intervals for autoregressive coefficients near one
    Journal of Econometrics, 2001, 103, (1-2), 155-181 Downloads View citations (27)

2000

  1. Estimating Restricted Cointegrating Vectors
    Journal of Business & Economic Statistics, 2000, 18, (1), 91-99 View citations (5)

1999

  1. Efficient Tests for a Unit Root When the Initial Observation Is Drawn from Its Unconditional Distribution
    International Economic Review, 1999, 40, (3), 767-83 View citations (81)
  2. Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market
    Journal of Monetary Economics, 1999, 43, (2), 435-456 Downloads View citations (44)
    See also Working Paper (1998)

1998

  1. On the Robustness of Cointegration Methods when Regressors Almost Have Unit Roots
    Econometrica, 1998, 66, (1), 149-158 View citations (53)
  2. TIME SERIES ANALYSIS: NONSTATIONARY AND NONINVERTIBLE DISTRIBUTION THEORY
    Econometric Theory, 1998, 14, (04), 511-516 Downloads

1996

  1. Efficient Tests for an Autoregressive Unit Root
    Econometrica, 1996, 64, (4), 813-36 Downloads View citations (1413)
    See also Working Paper (1992)
  2. International business cycles and the dynamics of the current account
    European Economic Review, 1996, 40, (2), 361-387 Downloads View citations (20)
    See also Working Paper (1995)

1995

  1. Inference in Models with Nearly Integrated Regressors
    Econometric Theory, 1995, 11, (05), 1131-1147 Downloads View citations (122)

1994

  1. Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown
    Econometric Theory, 1994, 10, (3-4), 672-700 Downloads View citations (49)
    See also Working Paper (1992)
  2. The Transmission of Monetary Policy: The Relationship between Overnight Cash Rates
    The Economic Record, 1994, 70, (208), 19-25

1992

  1. Some Evidence on Option Prices as Predictors of Volatility
    Oxford Bulletin of Economics and Statistics, 1992, 54, (4), 567-78 View citations (1)

Edited books

2006

  1. Handbook of Economic Forecasting, vol 1
    Handbook of Economic Forecasting, Elsevier Downloads View citations (6)

Chapters

2006

  1. Forecasting with Trending Data
    Elsevier Downloads View citations (3)

Software Items

Editor

  1. Handbook of Economic Forecasting
    Elsevier
  2. Handbook of Economic Forecasting
    Elsevier
 
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