Details about David F. Hendry

E-mail:
Phone:	44 1865 278554
Postal address:	Nuffield College Oxford
Workplace:	Department of Economics, Oxford University, (more information at EDIRC)

Access statistics for papers by David F. Hendry.

Last updated 2013-04-16. Update your information in the RePEc Author Service.

Short-id: phe33

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Working Papers

2013

1. Some Fallacies in Econometric Modelling of Climate Change
   Economics Series Working Papers, University of Oxford, Department of Economics
2. Unpredictability in Economic Analysis, Econometric Modeling and Forecasting
   Economics Papers, Economics Group, Nuffield College, University of Oxford
   Also in Economics Series Working Papers, University of Oxford, Department of Economics (2011)

2012

3. Forecasting by factors, by variables, or both?
   Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
4. Forecasting from Structural Econometric Models
   Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
5. Mis-specification Testing: Non-Invariance of Expectations Models of Inflation
   Working Paper Series, The Rimini Centre for Economic Analysis
6. Model Discovery and Trygve Haavelmo's Legacy
   Economics Series Working Papers, University of Oxford, Department of Economics
7. Model Selection in Equations with Many 'Small' Effects
   Working Paper Series, The Rimini Centre for Economic Analysis
   Also in Economics Series Working Papers, University of Oxford, Department of Economics (2011) View citations (2)

2011

8. A Tale of 3 Cities: Model Selection in Over-, Exact, and Under-specified Equations
   Economics Series Working Papers, University of Oxford, Department of Economics
9. An Open-model Forecast-error Taxonomy
   Economics Series Working Papers, University of Oxford, Department of Economics
10. Anthropogenic Influences on Atmospheric CO2
    Economics Series Working Papers, University of Oxford, Department of Economics
11. Empirical Economic Model Discovery and Theory Evaluation
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
    See also Journal Article in Rationality, Markets and Morals (2011)
12. Forecasting breaks and forecasting during breaks
    Economics Series Working Papers, University of Oxford, Department of Economics
13. Mathematical Models and Economic Forecasting: Some Uses and Mis-Uses of Mathematics in Economics
    Economics Series Working Papers, University of Oxford, Department of Economics
14. On Not Evaluating Economic Models by Forecast Outcomes
    Economics Series Working Papers, University of Oxford, Department of Economics
15. The Properties of Model Selection when Retaining Theory Variables
    Discussion Papers, University of Copenhagen. Department of Economics
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2011)

2010

16. A Low-Dimension Portmanteau Test for Non-linearity
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (2)
    See also Journal Article in Journal of Econometrics (2010)
17. An Automatic Test of Super Exogeneity
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (15)
18. Automatic Selection for Non-linear Models
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (5)
19. Climate Change: Lessons for our Future from the Distant Past
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
20. Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate
    Working Paper Series, European Central Bank View citations (13)
    See also Journal Article in Journal of Business & Economic Statistics (2011)
21. Econometric Modelling of Changing Time Series
    Economics Series Working Papers, University of Oxford, Department of Economics
22. Evaluating Automatic Model Selection
    Economics Series Working Papers, University of Oxford, Department of Economics
    See also Journal Article in Journal of Time Series Econometrics (2011)
23. Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts
    Economics Series Working Papers, University of Oxford, Department of Economics
24. Model Selection in Under-specified Equations Facing Breaks
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
25. On the Mathematical Basis of Inter-temporal Optimization
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (2)
26. RESEARCH AND THE ACADEMIC: A TALE OF TWO CULTURES
    Economics Discussion / Working Papers, The University of Western Australia, Department of Economics
27. Testing the Invariance of Expectations Models of Inflation
    Memorandum, Oslo University, Department of Economics View citations (2)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2010) View citations (5)

2008

28. Forecasting with Equilibrium-correction Models during Structural Breaks
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (5)
    See also Journal Article in Journal of Econometrics (2010)
29. Model Selection when there are Multiple Breaks
    Economics Series Working Papers, University of Oxford, Department of Economics
30. The Long-Run Determinants of UK Wages, 1860-2004
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
    See also Journal Article in Journal of Macroeconomics (2009)

2007

31. A Low-Dimension Collinearity-Robust Test for Non-linearity
    Economics Series Working Papers, University of Oxford, Department of Economics
32. AUTOMATIC TESTS for SUPER EXOGENEITY
    Working Papers de Economia (Economics Working Papers), Faculdade de Economia e Gestão, Universidade Católica Portuguesa (Porto) View citations (4)
33. Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation
    Economics Series Working Papers, University of Oxford, Department of Economics
34. Selecting a Regression Saturated by Indicators
    Discussion Papers, University of Copenhagen. Department of Economics
    Also in CREATES Research Papers, School of Economics and Management, University of Aarhus (2007) View citations (2)

2006

35. Forecasting Economic Aggregates by Disaggregates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (23)
    Also in Working Paper Series, European Central Bank (2006) View citations (14)

2005

36. Forecasting Aggregates by Disaggregates
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (11)
37. General-to-specific modeling: an overview and selected bibliography
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (19)

2004

38. Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (12)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2004) View citations (12)
    See also Journal Article in International Journal of Forecasting (2005)
39. Parallel Computation in Econometrics: A Simplified Approach
    Economics Papers, Economics Group, Nuffield College, University of Oxford
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2003)
40. Regression Models with Data-based Indicator Variables
    Economics Papers, Economics Group, Nuffield College, University of Oxford
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) View citations (14)
    Economics Series Working Papers, University of Oxford, Department of Economics (2003)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
41. Robustifying Forecasts from Equilibrium-Correction Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2004)
42. Unpredictability and the Foundations of Economic Forecasting
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (4)
    Also in Econometric Society 2004 Australasian Meetings, Econometric Society (2004) View citations (4)
    Economics Series Working Papers, University of Oxford, Department of Economics (2004)
43. We Ran One Regression
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (43)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2004) View citations (5)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2004)

2003

44. Sub-Sample Model Selection Procedures in Gets Modelling
    Economics Series Working Papers, University of Oxford, Department of Economics
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2003) View citations (1)
45. The Properties of Automatic Gets Modelling
    Royal Economic Society Annual Conference 2003, Royal Economic Society View citations (23)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2003)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2003) View citations (5)
    See also Journal Article in Economic Journal (2005)

2002

46. Economic Forecasting: Some Lessons from Recent Research
    Royal Economic Society Annual Conference 2002, Royal Economic Society View citations (7)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2001) View citations (10)
    Economics Series Working Papers, University of Oxford, Department of Economics (2001)
    Working Paper Series, European Central Bank (2001) View citations (10)
    See also Journal Article in Economic Modelling (2003)

2001

47. Computationally-intensive Econometrics using a Distributed Matrix-programming Language
    Economics Series Working Papers, University of Oxford, Department of Economics
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (8)
48. Forecasting in the Presence of Structural Breaks and Policy Regime Shifts
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (1)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2001)
49. Model Identification and Non-unique Structure
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (1)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2001)
50. Pooling of Forecasts
    Economics Series Working Papers, University of Oxford, Department of Economics
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2001) View citations (12)
    See also Journal Article in Econometrics Journal (2004)
51. Reformulating empirical macro-econometric modelling
    Discussion Paper Series In Economics And Econometrics, University of Southampton, Economics Division, School of Social Sciences View citations (3)

2000

52. A General Forecast-error Taxonomy
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (3)
53. Computer Automation of General-to-Specific Model Selection Procedures
    Economics Series Working Papers, University of Oxford, Department of Economics
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) View citations (4)
    See also Journal Article in Journal of Economic Dynamics and Control (2001)
54. Constructing Historical Euro-Zone Data
    Economics Working Papers, European University Institute View citations (8)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2000)
    See also Journal Article in Economic Journal (2001)
55. Explaining Cointegration Analysis: Part II
    Discussion Papers, University of Copenhagen. Department of Economics View citations (18)
    See also Journal Article in The Energy Journal (2001)
56. Forecast Failure, Expectations Formation, and the Lucas Critique
    Economics Series Working Papers, University of Oxford, Department of Economics
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2000) View citations (1)
    See also Journal Article in Annales d'Economie et de Statistique (2002)
57. Forecasting with Difference-Stationary and Trend-Stationary Models
    Economics Series Working Papers, University of Oxford, Department of Economics
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1998)
    See also Journal Article in Econometrics Journal (2001)
58. Modelling UK Inflation over the Long Run
    Economics Series Working Papers, University of Oxford, Department of Economics

1999

59. On selecting policy analysis models by forecast accuracy
    Discussion Paper Series In Economics And Econometrics, University of Southampton, Economics Division, School of Social Sciences View citations (20)

1998

60. Exogeneity, cointegration, and economic policy analysis
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (35)
    See also Journal Article in Journal of Business & Economic Statistics (1998)

1997

61. 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.)
    See also Journal Article in Scandinavian Journal of Economics (1998)

1996

62. Encompassing and Specificity
    Open Access publications from University of Toulouse 1 Capitole, University of Toulouse 1 Capitole View citations (1)
    See also Journal Article in Econometric Theory (1996)
63. Multi-Step Estimation for Forecasting
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics View citations (56)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1996)
64. The Econometric Analysis of Economic Policy
    Economics Working Papers, European University Institute View citations (16)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1996)
65. The Influence of A. W. H. Phillips on Econometrics
    Economics Working Papers, European University Institute

1995

66. On the interactions of unit roots and exogeneity
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (6)

1994

67. An evaluation of forecasting using leading indicators
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (8)

1993

68. An Econometric Analysis of Money Demand in Italy
    Working Papers, Banca Italia - Servizio di Studi View citations (8)
69. Cointegration tests in the presence of structural breaks
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (12)
    See also Journal Article in Journal of Econometrics (1996)
70. 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.) View citations (9)

1992

71. Forecasting in Cointegrated Systems
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (27)
72. On the Limitations of Comparing Mean Square Forecast Errors
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (50)

1991

73. Log Income vs. Linear Income: An Application of the Encompassing Principle
    Working Papers, University of Hawaii at Manoa, Department of Economics
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2008)

1990

74. EVALUATING DYNAMIC ECONOMETRIC MODELS BY ENCOMPASSING THE VAR
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (47)
75. 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.) View citations (17)
    See also Journal Article in European Economic Review (1991)
76. TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (19)
    See also Journal Article in Journal of Econometrics (1993)
77. TESTING THE LUCAS CRITIQUE: A REVIEW
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (50)

1989

78. 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.) View citations (32)
79. Encompassing and rational expectations: how sequential corroboration can imply refutation
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (5)
    See also Journal Article in Empirical Economics (1999)

1987

80. An analogue model of phase-averaging procedures
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (6)
    See also Journal Article in Journal of Econometrics (1990)
81. Recent developments in the theory of encompassing
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (10)

1985

82. 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.) View citations (2)
83. 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.) View citations (5)
84. Procrustean Econometrics: Stretching and Squeezing Data
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)

1979

85. Exogeneity
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics
    See also Journal Article in Econometrica (1983)

1975

86. A Control Variable Investigation of the Properties of Autoregressive Instrumental Variables Estimators for Dynamic Systems
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
87. Testing Dynamic Specification in Small Simultaneous Systems: An Application to a Model of Building Society Behavior in the United Kingdom
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
88. The Limiting Distribution of Inconsistent Instrumental Variables Estimators in a Class of Stationary Stochastic Systems
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

Undated

89. Beyer-Doornik-Hendry
    Instructional Stata datasets for econometrics, Boston College Department of Economics
90. Log income versus linear income: an application of the encompassing principl
    Economics Papers, Economics Group, Nuffield College, University of Oxford
91. The UK Demand for Broad Money over the Long run
    Economics Papers, Economics Group, Nuffield College, University of Oxford

Journal Articles

2011

1. Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate
   Journal of Business & Economic Statistics, 2011, 29, (2), 216-227 View citations (5)
   See also Working Paper (2010)
2. Econometric Modelling of Time Series with Outlying Observations
   Journal of Time Series Econometrics, 2011, 3, (1), 1-26 View citations (4)
3. Empirical Economic Model Discovery and Theory Evaluation
   Rationality, Markets and Morals, 2011, 2, (46) View citations (1)
   See also Working Paper (2011)
4. Evaluating Automatic Model Selection
   Journal of Time Series Econometrics, 2011, 3, (1), 1-33 View citations (15)
   See also Working Paper (2010)
5. On adding over-identifying instrumental variables to simultaneous equations
   Economics Letters, 2011, 111, (1), 68-70 View citations (4)
6. Revisiting UK consumers' expenditure: cointegration, breaks and robust forecasts
   Applied Financial Economics, 2011, 21, (1-2), 19-32

2010

7. A low-dimension portmanteau test for non-linearity
   Journal of Econometrics, 2010, 158, (2), 231-245 View citations (6)
   See also Working Paper (2010)
8. Forecasting with equilibrium-correction models during structural breaks
   Journal of Econometrics, 2010, 158, (1), 25-36 View citations (7)
   See also Working Paper (2008)
9. Nowcasting from disaggregates in the face of location shifts
   Journal of Forecasting, 2010, 29, (1-2), 200-214 View citations (3)
10. Professor Sir Clive W.J. Granger and Cointegration
    Journal of Financial Econometrics, 2010, 8, (2), 162-168

2009

11. Comment on "Excessive Ambitions" (by Jon Elster)
    Capitalism and Society, 2009, 4, (2), 1-21
12. In memory of Clive Granger: an advisory board member of the journal
    Journal of Applied Econometrics, 2009, 24, (6), 871-873
13. NOWCASTING IS NOT JUST CONTEMPORANEOUS FORECASTING
    National Institute Economic Review, 2009, 210, (1), 71-89 View citations (3)
14. OBITUARY
    Econometric Theory, 2009, 25, (05), 1139-1142
15. The long-run determinants of UK wages, 1860-2004
    Journal of Macroeconomics, 2009, 31, (1), 5-28 View citations (5)
    See also Working Paper (2008)

2008

16. Automatic selection of indicators in a fully saturated regression
    Computational Statistics, 2008, 23, (2), 337-339 View citations (28)
    Also in Computational Statistics, 2008, 23, (2), 317-335 (2008) View citations (35)
17. Economic Forecasting in a Changing World
    Capitalism and Society, 2008, 3, (2), 1-20 View citations (4)
18. Elusive return predictability: Discussion
    International Journal of Forecasting, 2008, 24, (1), 22-28
19. Foreword
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 711-714
20. Guest Editors' Introduction to Special Issue on Encompassing
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 715-719
21. Linear vs. Log-linear Unit-Root Specification: An Application of Mis-specification Encompassing
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 829-847
22. Log Income vs. Linear Income: An Application of the Encompassing Principle
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 807-827 View citations (1)
    See also Working Paper (1991)

2007

23. Co-Breaking: Recent Advances and a Synopsis of the Literature
    Journal of Business & Economic Statistics, 2007, 25, 33-51 View citations (18)

2006

24. A comment on "Specification searches in spatial econometrics: The relevance of Hendry's methodology"
    Regional Science and Urban Economics, 2006, 36, (2), 309-312 View citations (1)
25. Robustifying forecasts from equilibrium-correction systems
    Journal of Econometrics, 2006, 135, (1-2), 399-426 View citations (29)
26. Saturation in Autoregressive Models
    Notas Económicas, 2006, (24), 8-19 View citations (2)

2005

27. A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING
    Econometric Theory, 2005, 21, (01), 278-297 View citations (10)
28. Evaluating a Model by Forecast Performance
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 931-956
29. Guest Editors' Introduction: Information in Economic Forecasting
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 713-753 View citations (3)
30. Non-parametric direct multi-step estimation for forecasting economic processes
    International Journal of Forecasting, 2005, 21, (2), 201-218 View citations (31)
    See also Working Paper (2004)
31. Regression Models with Data-based Indicator Variables
    Oxford Bulletin of Economics and Statistics, 2005, 67, (5), 571-595 View citations (3)
    See also Working Paper (2004)
32. The Properties of Automatic "GETS" Modelling
    Economic Journal, 2005, 115, (502), C32-C61 View citations (65)
    See also Working Paper (2003)

2004

33. Pooling of forecasts
    Econometrics Journal, 2004, 7, (1), 1-31 View citations (80)
    See also Working Paper (2001)
34. The Nobel Memorial Prize for Clive W. J. Granger
    Scandinavian Journal of Economics, 2004, 106, (2), 187-213 View citations (1)
35. We Ran One Regression
    Oxford Bulletin of Economics and Statistics, 2004, 66, (5), 799-810 View citations (49)
    See also Working Paper (2004)

2003

36. Consistent Model Selection by an Automatic "Gets" Approach
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 803-819 View citations (19)
37. Economic forecasting: some lessons from recent research
    Economic Modelling, 2003, 20, (2), 301-329 View citations (16)
    See also Working Paper (2002)
38. Guest Editors' Introduction: Model Selection and Evaluation in Econometrics
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 681-688
39. J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY
    Econometric Theory, 2003, 19, (03), 457-480 View citations (6)

2002

40. Applied Econometrics without Sinning
    Journal of Economic Surveys, 2002, 16, (4), 591-604 View citations (3)
41. Forecast Failure, Expectations Formation and the Lucas Critique
    Annales d'Economie et de Statistique, 2002, (67-68), 21-40
    See also Working Paper (2000)
42. Modelling methodology and forecast failure
    Econometrics Journal, 2002, 5, (2), 319-344 View citations (22)

2001

43. A special issue in memory of John Denis Sargan: studies in empirical macroeconometrics
    Journal of Applied Econometrics, 2001, 16, (3), 197-202
44. Achievements and challenges in econometric methodology
    Journal of Econometrics, 2001, 100, (1), 7-10 View citations (8)
45. An Historical Perspective on Forecast Errors
    National Institute Economic Review, 2001, 177, (1), 100-112
46. Computer automation of general-to-specific model selection procedures
    Journal of Economic Dynamics and Control, 2001, 25, (6-7), 831-866 View citations (77)
    See also Working Paper (2000)
47. Constructing Historical Euro-Zone Data
    Economic Journal, 2001, 111, (469), F102-21 View citations (64)
    See also Working Paper (2000)
48. Explaining Cointegration Analysis: Part II
    The Energy Journal, 2001, Volume22, (Number 1), 75-120 View citations (25)
    Also in The Energy Journal, 2000, Volume21, (Number 1), 1-42 (2000) View citations (31)
    See also Working Paper (2000)
49. Forecasting with difference-stationary and trend-stationary models
    Econometrics Journal, 2001, 4, (1), S1-S19 View citations (12)
    See also Working Paper (2000)
50. Modelling UK inflation, 1875-1991
    Journal of Applied Econometrics, 2001, 16, (3), 255-275 View citations (3)

2000

51. Distinguished Fellow of the Economic Society of Australia, 1999: Adrian R. Pagan
    The Economic Record, 2000, 76, (233), 113-15
52. On detectable and non-detectable structural change
    Structural Change and Economic Dynamics, 2000, 11, (1-2), 45-65 View citations (27)
53. Reconstructing Aggregate Euro-zone Data
    Journal of Common Market Studies, 2000, 38, (4), 613-624 View citations (18)
54. Reformulating Empirical Macroeconomic Modelling
    Oxford Review of Economic Policy, 2000, 16, (4), 138-59 View citations (3)

1999

55. Encompassing and rational expectations: How sequential corroboration can imply refutation
    Empirical Economics, 1999, 24, (1), 1-21 View citations (11)
    See also Working Paper (1989)
56. Improving on 'Data mining reconsidered' by K.D. Hoover and S.J. Perez
    Econometrics Journal, 1999, 2, (2), 202-219 View citations (38)
57. On winning forecasting competitions in economics
    Spanish Economic Review, 1999, 1, (2), 123-160 View citations (19)

1998

58. Exogeneity, Cointegration, and Economic Policy Analysis
    Journal of Business & Economic Statistics, 1998, 16, (4), 370-87 View citations (41)
    See also Working Paper (1998)
59. Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK
    Empirical Economics, 1998, 23, (3), 267-294 View citations (42)
60. Forecasting economic processes
    International Journal of Forecasting, 1998, 14, (1), 111-131 View citations (41)
61. Foreword by the Editors
    Econometrics Journal, 1998, 1, (RegularPapers), i-ii
62. 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 View citations (1)
63. Inference in Cointegrating Models: UK M1 Revisited
    Journal of Economic Surveys, 1998, 12, (5), 533-72 View citations (91)
64. The Demand for Broad Money in the United Kingdom, 1878-1993
    Scandinavian Journal of Economics, 1998, 100, (1), 289-324 View citations (3)
    See also Working Paper (1997)

1997

65. An empirical study of seasonal unit roots in forecasting
    International Journal of Forecasting, 1997, 13, (3), 341-355 View citations (31)
66. John Denis Sargan
    Economic Journal, 1997, 107, (443), 1121-25 View citations (2)
67. On congruent econometric relations: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1997, 47, (1), 163-190 View citations (7)
68. The Econometrics of Macroeconomic Forecasting
    Economic Journal, 1997, 107, (444), 1330-57 View citations (27)
69. The Implications for Econometric Modelling of Forecast Failure
    Scottish Journal of Political Economy, 1997, 44, (4), 437-61 View citations (41)

1996

70. Cointegration tests in the presence of structural breaks
    Journal of Econometrics, 1996, 70, (1), 187-220 View citations (64)
    See also Working Paper (1993)
71. Encompassing and Specificity
    Econometric Theory, 1996, 12, (04), 620-656 View citations (1)
    See also Working Paper (1996)
72. Intercept Corrections and Structural Change
    Journal of Applied Econometrics, 1996, 11, (5), 475-94 View citations (49)
73. Multi-step Estimation for Forecasting
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 657-84 View citations (27)
    See also Working Paper (1996)
74. The Econometric Analysis of Economic Policy
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 573-600 View citations (25)
    See also Working Paper (1996)

1995

75. Econometrics and Business Cycle Empirics
    Economic Journal, 1995, 105, (433), 1622-36 View citations (9)
76. Forecasting in Cointegration Systems
    Journal of Applied Econometrics, 1995, 10, (2), 127-46 View citations (5)
77. Macro-economic Forecasting and Modelling
    Economic Journal, 1995, 105, (431), 1001-13 View citations (13)

1994

78. Can Econometrics Improve Economic Forecasting?
    Swiss Journal of Economics and Statistics (SJES), 1994, 130, (III), 267-298 View citations (8)
79. Encompassing in stationary linear dynamic models
    Journal of Econometrics, 1994, 63, (1), 245-270 View citations (4)
80. HUS Revisited
    Oxford Review of Economic Policy, 1994, 10, (2), 86-106 View citations (25)
81. Modelling Linear Dynamic Econometric Systems
    Scottish Journal of Political Economy, 1994, 41, (1), 1-33 View citations (44)
82. Professor H.O.A. Wold: 1908–1992
    Econometric Theory, 1994, 10, (02), 419-433

1993

83. Testing superexogeneity and invariance in regression models
    Journal of Econometrics, 1993, 56, (1-2), 119-139 View citations (83)
    See also Working Paper (1990)
84. The Demand for M1 in the USA: A Reply
    Economic Journal, 1993, 103, (420), 1158-69 View citations (2)

1992

85. An econometric analysis of TV advertising expenditure in the United Kingdom
    Journal of Policy Modeling, 1992, 14, (3), 281-311 View citations (1)
86. Testing Integration and Cointegration: An Overview
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 225-55 View citations (17)
87. The Demand for M1 in the U.S.A., 1960-1988
    Review of Economic Studies, 1992, 59, (1), 25-61 View citations (11)

1991

88. 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 View citations (19)
89. Modeling the demand for narrow money in the United Kingdom and the United States
    European Economic Review, 1991, 35, (4), 833-881 View citations (80)
    See also Working Paper (1990)
90. The response of consumption to income: A cross-country investigation: by John Y. Campbell and N. Gregory Mankiw
    European Economic Review, 1991, 35, (4), 764-767 View citations (3)
91. Using PC-NAIVE in Teaching Econometrics
    Oxford Bulletin of Economics and Statistics, 1991, 53, (2), 199-223 View citations (1)

1990

92. A Conversation on Econometric Methodology
    Econometric Theory, 1990, 6, (02), 171-261 View citations (19)
93. An analogue model of phase-averaging procedures
    Journal of Econometrics, 1990, 43, (3), 275-292 View citations (5)
    See also Working Paper (1987)

1989

94. A Re-analysis of Confluence Analysis
    Oxford Economic Papers, 1989, 41, (1), 35-52

1988

95. Econometric analysis of small linear systems using PC-FIML
    Journal of Econometrics, 1988, 38, (1-2), 203-226 View citations (8)
96. Encompassing
    National Institute Economic Review, 1988, 125, (1), 88-103 View citations (1)
97. Interpreting Long-run Equilibrium Solutions in Conventional Macro Models: A Comment
    Economic Journal, 1988, 98, (392), 808-17 View citations (3)
98. The Encompassing Implications of Feedback versus Feedforward Mechanisms in Econometrics
    Oxford Economic Papers, 1988, 40, (1), 132-49 View citations (44)

1986

99. Econometric Evaluation of Linear Macro-Economic Models
    Review of Economic Studies, 1986, 53, (4), 671-90 View citations (107)
100. Econometric Modelling with Cointegrated Variables: An Overview
     Oxford Bulletin of Economics and Statistics, 1986, 48, (3), 201-12 View citations (62)
101. Using PC-GIVE in Econometrics Teaching
     Oxford Bulletin of Economics and Statistics, 1986, 48, (1), 87-98 View citations (1)

1985

102. Monetary Economic Myth and Econometric Reality
     Oxford Review of Economic Policy, 1985, 1, (1), 72-84 View citations (15)
103. Small-Sample Properties of ARCH Estimators and Tests
     Canadian Journal of Economics, 1985, 18, (1), 66-93 View citations (21)

1984

104. An Econometric Model of United Kingdom Building Societies
     Oxford Bulletin of Economics and Statistics, 1984, 46, (3), 185-210 View citations (5)

1983

105. Econometric Modelling: The "Consumption Function" in Retrospect
     Scottish Journal of Political Economy, 1983, 30, (3), 193-220 View citations (8)
106. Exogeneity
     Econometrica, 1983, 51, (2), 277-304 View citations (50)
     See also Working Paper (1979)
107. On High and Low R2 Contributions
     Oxford Bulletin of Economics and Statistics, 1983, 45, (3), 313-16
108. On Keynesian Model Building and the Rational Expectations Critique: A Question of Methodology
     Cambridge Journal of Economics, 1983, 7, (1), 69-75

1982

109. A reply to Professors Maasoumi and Phillips
     Journal of Econometrics, 1982, 19, (2-3), 203-213 View citations (4)
110. On the formulation of empirical models in dynamic econometrics
     Journal of Econometrics, 1982, 20, (1), 3-33 View citations (77)

1981

111. Interpreting econometric evidence: The behaviour of consumers' expenditure in the UK
     European Economic Review, 1981, 16, (1), 177-192 View citations (16)
112. Model formulation to simplify selection when specification is uncertain
     Journal of Econometrics, 1981, 16, (1), 159-159

1980

113. An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification
     Review of Economic Studies, 1980, 47, (1), 21-45 View citations (10)
114. Autoreg: a computer program library for dynamic econometric models with autoregressive errors
     Journal of Econometrics, 1980, 12, (1), 85-102 View citations (3)
115. Econometrics-Alchemy or Science?
     Economica, 1980, 47, (188), 387-406 View citations (65)

1979

116. The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors
     Journal of Econometrics, 1979, 9, (3), 295-314 View citations (3)

1978

117. Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom
     Economic Journal, 1978, 88, (352), 661-92 View citations (201)
118. 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, 1978, 88, (351), 549-63 View citations (62)

1977

119. The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems
     Econometrica, 1977, 45, (4), 969-90 View citations (1)

1976

120. Estimating Systems of Dynamic Reduced Form Equations with Vector Autoregressive Errors
     International Economic Review, 1976, 17, (2), 463-71 View citations (1)
121. The structure of simultaneous equations estimators
     Journal of Econometrics, 1976, 4, (1), 51-88 View citations (21)

1974

122. Maximum Likelihood Estimation of Systems of Simultaneous Regression Equations with Errors Generated by a Vector Autoregressive Process: A Correction
     International Economic Review, 1974, 15, (1), 260
123. Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares
     Journal of Econometrics, 1974, 2, (2), 151-174 View citations (9)
124. Stochastic Specification in an Aggregate Demand Model of the United Kingdom
     Econometrica, 1974, 42, (3), 559-78 View citations (6)

1973

125. On Asymptotic Theory and Finite Sample Experiments
     Economica, 1973, 40, (158), 210-17 View citations (2)

1971

126. Maximum Likelihood Estimation of Systems of Simultaneous Regression Equations with Errors Generated by a Vector Autoregressive Process
     International Economic Review, 1971, 12, (2), 257-72 View citations (14)

1966

127. SURVEY OF STUDENT INCOME AND EXPENDITURE AT ABERDEEN UNIVERSITY 1963-64 AND 1964-65
     Scottish Journal of Political Economy, 1966, 13, (3), 363-376

Books

2001

1. Forecasting Non-Stationary Economic Time Series, vol 1
   MIT Press Books, The MIT Press View citations (133)

2000

2. Econometrics: Alchemy or Science?: Essays in Econometric Methodology
   OUP Catalogue, Oxford University Press View citations (6)

1998

3. Forecasting Economic Time Series
   Cambridge Books, Cambridge University Press View citations (88)
   Also in Cambridge Books, Cambridge University Press (1998) View citations (195)

1997

4. The Foundations of Econometric Analysis
   Cambridge Books, Cambridge University Press
   Also in Cambridge Books, Cambridge University Press (1995) View citations (6)

1995

5. Dynamic Econometrics
   OUP Catalogue, Oxford University Press View citations (190)

1993

6. Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
   OUP Catalogue, Oxford University Press View citations (239)

Edited books

2011

1. The Oxford Handbook of Economic Forecasting
   OUP Catalogue, Oxford University Press View citations (1)

2006

2. Nonlinear Econometric Modeling in Time Series
   Cambridge Books, Cambridge University Press

2003

3. Understanding Economic Forecasts, vol 1
   MIT Press Books, The MIT Press

2000

4. Nonlinear Econometric Modeling in Time Series
   Cambridge Books, Cambridge University Press View citations (2)

Chapters

2007

1. Preface to Econometric Modeling: A Likelihood Approach
   A chapter in Econometric Modeling: A Likelihood Approach, 2007 View citations (3)
2. The Bernoulli model, from Econometric Modeling: A Likelihood Approach
   A chapter in Econometric Modeling: A Likelihood Approach, 2007 View citations (2)

2006

3. Forecasting with Breaks
   Elsevier View citations (28)

1984

4. Dynamic specification
   Chapter 18 in Handbook of Econometrics, 1984, vol. 2, pp 1023-1100 View citations (129)
5. Monte carlo experimentation in econometrics
   Chapter 16 in Handbook of Econometrics, 1984, vol. 2, pp 937-976 View citations (42)

Editor

1. Oxford Bulletin of Economics and Statistics
   Department of Economics, University of Oxford