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 2009-11-25. 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 View citations
   See also Journal Article in Journal of Economic Literature (2008)

2005

2. BIASES IN MACROECONOMIC FORECASTS: IRRATIONALITY OR ASYMMETRIC LOSS?
   CAMA Working Papers, Australian National University, Centre for Applied Macroeconomic Analysis View citations
   Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations
   See also Journal Article in Journal of the European Economic Association (2008)
3. Higher Power Tests for Bilateral Failure of PPP after 1973
   Emory Economics, Department of Economics, Emory University (Atlanta) View citations

2004

4. Confidence Sets for the Date of a Single Break in Linear Time Series Regressions
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
   See also Journal Article in Journal of Econometrics (2007)
5. Optimal Forecast Combination Under Regime Switching
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations
   See also Journal Article in International Economic Review (2005)
6. Optimal Power for Testing Potential Cointegrating Vectors with Known
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
7. Optimally Testing General Breaking Processes in Linear Time Series Models
   University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations

2003

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

2002

10. Optimal Forecast Combinations Under General Loss Functions and Forecast Error Distributions
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See also Journal Article in Journal of Econometrics (2004)
11. Testing for Unit Roots with Stationary Covariates
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2000) View citations
    Economics Working Papers, School of Economics and Management, University of Aarhus View citations
    See also Journal Article in Journal of Econometrics (2003)

2001

12. Tests for Unit Roots and the Initial Observation
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    Also in University of St. Gallen Department of Economics working paper series 2002, Department of Economics, University of St. Gallen (2001) View citations

2000

13. Confidence Intervals for Autoregressive Coefficients Near One
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    See also Journal Article in Journal of Econometrics (2001)

1999

14. Estimating Restricted Cointegrating Vectors
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1999)
    See also Journal Article in Journal of Business & Economic Statistics (2000)

1998

15. Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange Rate Market
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (1998) View citations
    Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (1998)
    See also Journal Article in Journal of Monetary Economics (1999)

1996

16. International Business Cycles and the Dynamics of the Current Account
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1995)
    See also Journal Article in European Economic Review (1996)

1995

17. Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market
    NBER Working Papers, National Bureau of Economic Research, Inc View citations
18. Inference in Models with Nearly Integrated Regressors
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See also Journal Article in Econometric Theory (1995)
19. On the Robustness of Cointegration Methods when Regressors Almost have Unit Roots
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See also Journal Article in Econometrica (1998)
20. Tests for the Correct Specification of Cointegrating Vectors and the Error Correction Model
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations

1994

21. Efficient Tests for a Unit Root when the Initial Observation is Drawn from its Unconditional Distribution
    University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations
    See also Journal Article in International Economic Review (1999)

1992

22. Efficient Tests for an Autoregressive Unit Root
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations
    See also Journal Article in Econometrica (1996)
23. 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 View citations
    See also Journal Article in Econometric Theory (1994)

1989

24. THE REJECTION OF HOMOGENEITY IN DEMAND AND SUPPLY ANALYSIS: AN EXPLANATION AND SOLUTION
    Working Papers, New South Wales - School of Economics

Undated

25. Option Prices and Implied Volatilities: An Empirical Analysis
    RBA Research Discussion Papers, Reserve Bank of Australia
26. Pricing Behaviour in Australian Financial Future Markets
    RBA Research Discussion Papers, Reserve Bank of Australia
27. The Intertemporal Government Budget Constraint and Tests for Bubbles
    RBA Research Discussion Papers, Reserve Bank of Australia View citations

Journal Articles

2009

1. TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
   Econometric Theory, 2009, 25, (06), 1829-1850

2008

2. Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?
   Journal of the European Economic Association, 2008, 6, (1), 122-157 View citations
   See also Working Paper (2005)
3. Economic Forecasting
   Journal of Economic Literature, 2008, 46, (1), 3-56 View citations
   See also Working Paper (2007)

2007

4. Confidence sets for the date of a single break in linear time series regressions
   Journal of Econometrics, 2007, 141, (2), 1196-1218 View citations
   See also Working Paper (2004)

2006

5. Efficient Tests for General Persistent Time Variation in Regression Coefficients
   Review of Economic Studies, 2006, 73, (4), 907-940 View citations
6. Minimizing the impact of the initial condition on testing for unit roots
   Journal of Econometrics, 2006, 135, (1-2), 285-310 View citations
7. On the Failure of Purchasing Power Parity for Bilateral Exchange Rates after 1973
   Journal of Money, Credit and Banking, 2006, 38, (6), 1405-1430 View citations
8. 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

2005

9. Estimation and Testing of Forecast Rationality under Flexible Loss
   Review of Economic Studies, 2005, 72, (4), 1107-1125 View citations
10. OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING *
    International Economic Review, 2005, 46, (4), 1081-1102
    See also Working Paper (2004)
11. Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity
    Journal of Business & Economic Statistics, 2005, 23, 34-48 View citations
    See also Working Paper (2003)

2004

12. Evaluating significance: comments on "size matters"
    The Journal of Socio-Economics, 2004, 33, (5), 547-550 View citations
13. Optimal forecast combinations under general loss functions and forecast error distributions
    Journal of Econometrics, 2004, 122, (1), 47-79 View citations
    See also Working Paper (2002)

2003

14. Testing for unit roots with stationary covariates
    Journal of Econometrics, 2003, 115, (1), 75-89 View citations
    See also Working Paper (2002)
15. Tests for Unit Roots and the Initial Condition
    Econometrica, 2003, 71, (4), 1269-1286 View citations

2002

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

2001

17. Confidence intervals for autoregressive coefficients near one
    Journal of Econometrics, 2001, 103, (1-2), 155-181 View citations
    See also Working Paper (2000)

2000

18. Estimating Restricted Cointegrating Vectors
    Journal of Business & Economic Statistics, 2000, 18, (1), 91-99 View citations
    See also Working Paper (1999)

1999

19. 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
    See also Working Paper (1994)
20. Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market
    Journal of Monetary Economics, 1999, 43, (2), 435-456 View citations
    See also Working Paper (1998)

1998

21. On the Robustness of Cointegration Methods when Regressors Almost Have Unit Roots
    Econometrica, 1998, 66, (1), 149-158 View citations
    See also Working Paper (1995)
22. TIME SERIES ANALYSIS: NONSTATIONARY AND NONINVERTIBLE DISTRIBUTION THEORY
    Econometric Theory, 1998, 14, (04), 511-516

1996

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

1995

25. Inference in Models with Nearly Integrated Regressors
    Econometric Theory, 1995, 11, (05), 1131-1147 View citations
    See also Working Paper (1995)

1994

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

1992

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

Edited books

2006

1. Handbook of Economic Forecasting, vol 1
   Handbook of Economic Forecasting, Elsevier

Chapters

2006

1. Forecasting with Trending Data
   Elsevier

Editor

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