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Details about Neil R. Ericsson

E-mail:
Homepage:http://www.federalreserve.gov/research/staff/ericssonneilr.htm
Phone:202-452-3709
Postal address:P.O. Box 18646 Washington, DC 20036-8646 USA
Workplace:Federal Reserve Board (Board of Governors of the Federal Reserve System), (more information at EDIRC)
Department of Economics, George Washington University, (more information at EDIRC)
Research Program on Forecasting, Department of Economics, George Washington University, (more information at EDIRC)

Access statistics for papers by Neil R. Ericsson.

Last updated 2013-09-17. Update your information in the RePEc Author Service.

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Working Papers

2012

  1. Evaluating a Global Vector Autoregression for Forecasting
    Working Papers, The George Washington University, Department of Economics, Research Program on Forecasting Downloads
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2012) Downloads

    See also Journal Article in International Advances in Economic Research (2012)

2008

  1. Constructive data mining: modeling Argentine broad money demand
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (1)
  2. The fragility of sensitivity analysis: an encompassing perspective
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2008)

2005

  1. General-to-specific modeling: an overview and selected bibliography
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (24)

2004

  1. The ET interview: professor David F. Hendry
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (5)

2001

  1. A retrospective on J. Denis Sargan and his contributions to econometrics
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads
  2. A retrospective on J.D. Sargan and his contribution to Econometrics
    Discussion Paper Series In Economics And Econometrics, University of Southampton, Economics Division, School of Social Sciences Downloads
  3. Forecast uncertainty in economic modeling
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (9)

2000

  1. Constructive data mining: modeling consumers' expenditure in Venezuela
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (9)
    See also Journal Article in Econometrics Journal (1999)
  2. Distributions of Error Correction Tests for Cointegration
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (2)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (1999) Downloads View citations (21)

    See also Journal Article in Econometrics Journal (2002)
  3. Output and Inflation in the Long Run
    Amherst Economic Papers, Amherst College, Department of Economics Downloads View citations (5)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2000) Downloads

    See also Journal Article in Journal of Applied Econometrics (2001)
  4. Predictable uncertainty in economic forecasting
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)

1998

  1. A framework for economic forecasting
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (7)
    See also Journal Article in Econometrics Journal (1998)
  2. Exogeneity, cointegration, and economic policy analysis
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (42)
    See also Journal Article in Journal of Business & Economic Statistics (1998)

1997

  1. The demand for broad money in the United Kingdom, 1878-1993
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads
    See also Journal Article in Scandinavian Journal of Economics (1998)

1996

  1. Broad Money Demand and Financial Liberalization in Greece
    IMF Working Papers, International Monetary Fund Downloads View citations (12)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (1996) Downloads View citations (7)

    See also Journal Article in Empirical Economics (1998)
  2. Hazards in Implementing a Monetary Conditions Index
    Memorandum, Oslo University, Department of Economics View citations (39)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (1996) Downloads View citations (42)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (1996)

1995

  1. Modelling Inflation in Australia
    RBA Research Discussion Papers, Reserve Bank of Australia Downloads View citations (12)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (1995) Downloads View citations (22)

    See also Journal Article in Journal of Business & Economic Statistics (1998)
  2. The Lucas critique in practice: theory without measurement
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (73)

1994

  1. Conditional and structural error correction models
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (4)
    See also Journal Article in Journal of Econometrics (1995)

1993

  1. Cointegration tests in the presence of structural breaks
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (12)
    See also Journal Article in Journal of Econometrics (1996)
  2. Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (9)
  3. Dollarization in Argentina
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (28)

1992

  1. The power of cointegration tests
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (320)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1992)

1991

  1. Cointegration, exogeneity, and policy analysis: an overview
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (5)
    See also Journal Article in Journal of Policy Modeling (1992)
  2. PC-give and David Hendry's econometric methodology
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (19)
  3. Parameter constancy, mean square forecast errors, and measuring forecast performance: an exposition, extensions, and illustration
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (14)
    See also Journal Article in Journal of Policy Modeling (1992)

1990

  1. Evaluating the predictive performance of trade-account models
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (6)
  2. Modeling the demand for narrow money in the United Kingdom and the United States
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (18)
    See also Journal Article in European Economic Review (1991)

1989

  1. An econometric analysis of UK money demand in MONETARY TRENDS IN THE UNITED STATES AND THE UNITED KINGDOM by Milton Friedman and Anna J. Schwartz
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (30)
  2. Encompassing and rational expectations: how sequential corroboration can imply refutation
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (5)
    See also Journal Article in Empirical Economics (1999)
  3. Exact and approximate multi-period mean-square forecast errors for dynamic econometric models
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (3)

1988

  1. Econometric modeling of consumers' expenditure in Venezuela
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (11)

1987

  1. An analogue model of phase-averaging procedures
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (1990)
  2. Monte Carlo methodology and the finite sample properties of statistics for testing nested and non-nested hypotheses
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads

1986

  1. Post-simulation analysis of Monte Carlo experiments: interpreting Pesaran's (1974) study of non-nested hypothesis test statistics
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (4)
    See also Journal Article in Review of Economic Studies (1986)

1985

  1. 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, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (2)
  2. Conditional econometric modelling: an application to new house prices in the United Kingdom
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (6)

Undated

  1. An early version of The Lucas Critique in Practice: Theory without Measurement
    Home Pages, Massachussets Institute of Technology, Economics Downloads
  2. The UK Demand for Broad Money over the Long run
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads

Journal Articles

2012

  1. Evaluating a Global Vector Autoregression for Forecasting
    International Advances in Economic Research, 2012, 18, (3), 247-258 Downloads
    See also Working Paper (2012)

2008

  1. Comment on "Economic Forecasting in a Changing World" (by Michael Clements and David Hendry)
    Capitalism and Society, 2008, 3, (2), 1-18 Downloads
  2. The Fragility of Sensitivity Analysis: An Encompassing Perspective
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 895-914 Downloads
    See also Working Paper (2008)

2004

  1. THE ET INTERVIEW: PROFESSOR DAVID F. HENDRY: Interviewed by Neil R. Ericsson
    Econometric Theory, 2004, 20, (04), 743-804 Downloads View citations (1)

2003

  1. Dollarization in post-hyperinflationary Argentina
    Journal of International Money and Finance, 2003, 22, (2), 185-211 Downloads View citations (18)

2002

  1. Distributions of error correction tests for cointegration
    Econometrics Journal, 2002, 5, (2), 285-318 Downloads View citations (79)
    See also Working Paper (2000)

2001

  1. Output and inflation in the long run
    Journal of Applied Econometrics, 2001, 16, (3), 241-253 Downloads View citations (22)
    See also Working Paper (2000)

1999

  1. Contructive data mining: modeling consumers' expenditure in Venezuela
    Econometrics Journal, 1999, 2, (2), 226-240 View citations (1)
    See also Working Paper (2000)
  2. Encompassing and rational expectations: How sequential corroboration can imply refutation
    Empirical Economics, 1999, 24, (1), 1-21 Downloads View citations (12)
    See also Working Paper (1989)

1998

  1. A framework for economic forecasting
    Econometrics Journal, 1998, 1, (ConferenceIssue), C228-C266 View citations (7)
    See also Working Paper (1998)
  2. Broad money demand and financial liberalization in Greece
    Empirical Economics, 1998, 23, (3), 417-436 Downloads View citations (11)
    See also Working Paper (1996)
  3. Empirical modeling of money demand
    Empirical Economics, 1998, 23, (3), 295-315 Downloads View citations (38)
  4. Exogeneity, Cointegration, and Economic Policy Analysis
    Journal of Business & Economic Statistics, 1998, 16, (4), 370-87 View citations (48)
    See also Working Paper (1998)
  5. Friedman and Schwartz (1982) revisited: Assessing annual and phase-average models of money demand in the United Kingdom
    Empirical Economics, 1998, 23, (3), 401-415 Downloads View citations (1)
  6. Modeling Inflation in Australia
    Journal of Business & Economic Statistics, 1998, 16, (4), 433-49 View citations (42)
    See also Working Paper (1995)
  7. The Demand for Broad Money in the United Kingdom, 1878-1993
    Scandinavian Journal of Economics, 1998, 100, (1), 289-324 Downloads View citations (6)
    See also Working Paper (1997)

1996

  1. Cointegration tests in the presence of structural breaks
    Journal of Econometrics, 1996, 70, (1), 187-220 Downloads View citations (69)
    See also Working Paper (1993)
  2. Hazards in Implementing a Monetary Conditions Index
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 765-90 View citations (40)
    See also Working Paper (1996)

1995

  1. Conditional and structural error correction models
    Journal of Econometrics, 1995, 69, (1), 159-171 Downloads View citations (19)
    See also Working Paper (1994)

1993

  1. Encompassing the Forecasts of U.S. Trade Balance Models
    The Review of Economics and Statistics, 1993, 75, (1), 19-31 Downloads View citations (11)
  2. Testing for Common Features: Comment
    Journal of Business & Economic Statistics, 1993, 11, (4), 380-83 View citations (1)

1992

  1. Cointegration, exogeneity, and policy analysis: A synopsis
    Journal of Policy Modeling, 1992, 14, (4), 395-400 Downloads View citations (6)
  2. Cointegration, exogeneity, and policy analysis: An overview
    Journal of Policy Modeling, 1992, 14, (3), 251-280 Downloads View citations (34)
    See also Working Paper (1991)
  3. Parameter constancy, mean square forecast errors, and measuring forecast performance: An exposition, extensions, and illustration
    Journal of Policy Modeling, 1992, 14, (4), 465-495 Downloads View citations (33)
    See also Working Paper (1991)
  4. The Power of Cointegration Tests
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 325-48 View citations (341)
    See also Working Paper (1992)

1991

  1. 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, 1991, 81, (1), 8-38 Downloads View citations (25)
  2. Modeling the demand for narrow money in the United Kingdom and the United States
    European Economic Review, 1991, 35, (4), 833-881 Downloads View citations (94)
    See also Working Paper (1990)
  3. Monte Carlo Methodology and the Finite Sample Properties of Instrumental Variables Statistics for Testing Nested and Non-nested Hypotheses
    Econometrica, 1991, 59, (5), 1249-77 Downloads View citations (12)

1990

  1. An analogue model of phase-averaging procedures
    Journal of Econometrics, 1990, 43, (3), 275-292 Downloads View citations (6)
    See also Working Paper (1987)

1986

  1. Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics
    Review of Economic Studies, 1986, 53, (4), 691-707 Downloads
    See also Working Paper (1986)

1983

  1. Asymptotic Properties of Instrumental Variables Statistics for Testing Non-Nested Hypotheses
    Review of Economic Studies, 1983, 50, (2), 287-304 Downloads View citations (8)

1982

  1. Testing Linear versus Logarithmic Regression Models: A Comment
    Review of Economic Studies, 1982, 49, (3), 477-81 Downloads

1978

  1. The Economic Feasibility of Shale Oil: An Activity Analysis
    Bell Journal of Economics, 1978, 9, (2), 457-487 Downloads

Edited books

2003

  1. Understanding Economic Forecasts, vol 1
    MIT Press Books, The MIT Press View citations (1)

1995

  1. Testing Exogeneity
    OUP Catalogue, Oxford University Press
 
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