Details about Graham Elliott
Access statistics for papers by Graham Elliott.
Last updated 2022-10-13. Update your information in the RePEc Author Service.
Short-id: pel18
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Working Papers
2024
- The Power of Tests for Detecting $p$-Hacking
Papers, arXiv.org
2022
- Detecting p‐Hacking
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (1)
Also in Papers, arXiv.org (2021) View citations (1)
See also Journal Article Detecting p‐Hacking, Econometrica, Econometric Society (2022) View citations (2) (2022)
2020
- Testing for a trend with persistent errors
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (1)
See also Journal Article Testing for a trend with persistent errors, Journal of Econometrics, Elsevier (2020) View citations (1) (2020)
2016
- Forecasting in Economics and Finance
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (88)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2016) View citations (88)
See also Journal Article Forecasting in Economics and Finance, Annual Review of Economics, Annual Reviews (2016) View citations (88) (2016)
2015
- Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (79)
See also Journal Article Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis, Econometrica, Econometric Society (2015) View citations (77) (2015)
2014
- Annals issue of Journal of Econometrics “Recent Advances in Time Series Econometrics” Guest Editors’ introduction
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego
- Pre and post break parameter inference
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (14)
See also Journal Article Pre and post break parameter inference, Journal of Econometrics, Elsevier (2014) View citations (12) (2014)
2013
- Complete subset regressions
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego View citations (128)
See also Journal Article Complete subset regressions, Journal of Econometrics, Elsevier (2013) View citations (130) (2013)
2007
- Economic Forecasting
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
See also Journal Article Economic Forecasting, Journal of Economic Literature, American Economic Association (2008) View citations (192) (2008) Book Economic Forecasting, Economics Books, Princeton University Press (2016) View citations (85) (2016)
2005
- BIASES IN MACROECONOMIC FORECASTS: IRRATIONALITY OR ASYMMETRIC LOSS?
CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University View citations (9)
Also in Econometric Society 2004 North American Summer Meetings, Econometric Society (2004) View citations (17)
See also Journal Article Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?, Journal of the European Economic Association, MIT Press (2008) View citations (176) (2008)
2004
- 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 Confidence sets for the date of a single break in linear time series regressions, Journal of Econometrics, Elsevier (2007) View citations (75) (2007)
- Optimal Forecast Combination Under Regime Switching
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (9)
See also Journal Article OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING *, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2005) View citations (60) (2005)
- 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 View citations (1)
- 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
2003
- Estimating Loss Function Parameters
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (14)
2002
- Optimal Forecast Combination 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 (10)
See also Journal Article Optimal forecast combinations under general loss functions and forecast error distributions, Journal of Econometrics, Elsevier (2004) View citations (105) (2004)
- 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 (1) Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (2002)  Economics Working Papers, Department of Economics and Business Economics, Aarhus University View citations (7) Department of Economics, Working Paper Series, Department of Economics, Institute for Business and Economic Research, UC Berkeley (2000) 
See also Journal Article Testing for unit roots with stationary covariates, Journal of Econometrics, Elsevier (2003) View citations (64) (2003)
2001
- 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 View citations (2)
Also in University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego (2001) View citations (2)
2000
- 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 Confidence intervals for autoregressive coefficients near one, Journal of Econometrics, Elsevier (2001) View citations (40) (2001)
1999
- Estimating Restricted Cointegrating Vectors
University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego 
See also Journal Article Estimating Restricted Cointegrating Vectors, Journal of Business & Economic Statistics, American Statistical Association (2000) View citations (7) (2000)
1998
- 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 
Also in Discussion Paper Series, Institute of Economic Research, Hitotsubashi University (1998) View citations (3)
See also Journal Article Heterogeneous expectations and tests of efficiency in the yen/dollar forward exchange rate market, Journal of Monetary Economics, Elsevier (1999) View citations (100) (1999)
1995
- 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 (8)
- International Business Cycles and the Dynamics of the Current Account
CEPR Discussion Papers, C.E.P.R. Discussion Papers 
See also Journal Article International business cycles and the dynamics of the current account, European Economic Review, Elsevier (1996) View citations (36) (1996)
1992
- Efficient Tests for an Autoregressive Unit Root
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (137)
See also Journal Article Efficient Tests for an Autoregressive Unit Root, Econometrica, Econometric Society (1996) View citations (3812) (1996)
- 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 (7)
See also Journal Article Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown, Econometric Theory, Cambridge University Press (1994) View citations (104) (1994)
1989
- Option Prices and Implied Volatilities: An Empirical Analysis
RBA Research Discussion Papers, Reserve Bank of Australia
- THE REJECTION OF HOMOGENEITY IN DEMAND AND SUPPLY ANALYSIS: AN EXPLANATION AND SOLUTION
Working Papers, New South Wales - School of Economics View citations (2)
Also in 1989 Conference (33rd), February 7-9, 1989, Christchurch, New Zealand, Australian Agricultural and Resource Economics Society (1989) View citations (2)
1988
- Pricing Behaviour in Australian Financial Futures Markets
RBA Research Discussion Papers, Reserve Bank of Australia
- The Intertemporal Government Budget Constraint and Tests for Bubbles
RBA Research Discussion Papers, Reserve Bank of Australia View citations (10)
Journal Articles
2022
- Detecting p‐Hacking
Econometrica, 2022, 90, (2), 887-906 View citations (2)
See also Working Paper Detecting p‐Hacking, University of California at San Diego, Economics Working Paper Series (2022) View citations (1) (2022)
2020
- Testing for a trend with persistent errors
Journal of Econometrics, 2020, 219, (2), 314-328 View citations (1)
See also Working Paper Testing for a trend with persistent errors, University of California at San Diego, Economics Working Paper Series (2020) View citations (1) (2020)
2019
- Combined economic and technological evaluation of battery energy storage for grid applications
Nature Energy, 2019, 4, (1), 42-50 View citations (17)
2017
- Forecast combination when outcomes are difficult to predict
Empirical Economics, 2017, 53, (1), 7-20 View citations (5)
2016
- Forecasting Conditional Probabilities of Binary Outcomes under Misspecification
The Review of Economics and Statistics, 2016, 98, (4), 742-755 View citations (1)
- Forecasting in Economics and Finance
Annual Review of Economics, 2016, 8, (1), 81-110 View citations (88)
See also Working Paper Forecasting in Economics and Finance, University of California at San Diego, Economics Working Paper Series (2016) View citations (88) (2016)
2015
- Complete subset regressions with large-dimensional sets of predictors
Journal of Economic Dynamics and Control, 2015, 54, (C), 86-110 View citations (31)
- Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis
Econometrica, 2015, 83, 771-811 View citations (77)
See also Working Paper Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis, University of California at San Diego, Economics Working Paper Series (2015) View citations (79) (2015)
2014
- Pre and post break parameter inference
Journal of Econometrics, 2014, 180, (2), 141-157 View citations (12)
See also Working Paper Pre and post break parameter inference, University of California at San Diego, Economics Working Paper Series (2014) View citations (14) (2014)
2013
- Complete subset regressions
Journal of Econometrics, 2013, 177, (2), 357-373 View citations (130)
See also Working Paper Complete subset regressions, University of California at San Diego, Economics Working Paper Series (2013) View citations (128) (2013)
- Predicting binary outcomes
Journal of Econometrics, 2013, 174, (1), 15-26 View citations (48)
2012
- Supervisor training to support principle-driven practice with youth in foster care
Children and Youth Services Review, 2012, 34, (4), 680-690
2011
- 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 View citations (10)
2009
- Sir Clive W. J. Granger (1934-2009)
International Journal of Forecasting, 2009, 25, (4), 639-641
- TESTING THE NULL OF NO COINTEGRATION WHEN COVARIATES ARE KNOWN TO HAVE A UNIT ROOT
Econometric Theory, 2009, 25, (6), 1829-1850 View citations (3)
2008
- Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?
Journal of the European Economic Association, 2008, 6, (1), 122-157 View citations (176)
See also Working Paper BIASES IN MACROECONOMIC FORECASTS: IRRATIONALITY OR ASYMMETRIC LOSS?, CAMA Working Papers (2005) View citations (9) (2005)
- Economic Forecasting
Journal of Economic Literature, 2008, 46, (1), 3-56 View citations (192)
See also Book Economic Forecasting, Economics Books, 2016 (2016) View citations (85) (2016) Working Paper Economic Forecasting, CEPR Discussion Papers (2007) View citations (7) (2007)
2007
- Confidence sets for the date of a single break in linear time series regressions
Journal of Econometrics, 2007, 141, (2), 1196-1218 View citations (75)
See also Working Paper Confidence Sets for the Date of a Single Break in Linear Time Series Regressions, University of California at San Diego, Economics Working Paper Series (2004) (2004)
2006
- Efficient Tests for General Persistent Time Variation in Regression Coefficients
The Review of Economic Studies, 2006, 73, (4), 907-940 View citations (134)
- Minimizing the impact of the initial condition on testing for unit roots
Journal of Econometrics, 2006, 135, (1-2), 285-310 View citations (41)
- 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 (25)
- 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 View citations (4)
2005
- Estimation and Testing of Forecast Rationality under Flexible Loss
The Review of Economic Studies, 2005, 72, (4), 1107-1125 View citations (230)
- OPTIMAL FORECAST COMBINATION UNDER REGIME SWITCHING *
International Economic Review, 2005, 46, (4), 1081-1102 View citations (60)
See also Working Paper Optimal Forecast Combination Under Regime Switching, CEPR Discussion Papers (2004) View citations (9) (2004)
- Optimal Power for Testing Potential Cointegrating Vectors With Known Parameters for Nonstationarity
Journal of Business & Economic Statistics, 2005, 23, 34-48 View citations (26)
2004
- Evaluating significance: comments on "size matters"
Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), 2004, 33, (5), 547-550 View citations (5)
- Optimal forecast combinations under general loss functions and forecast error distributions
Journal of Econometrics, 2004, 122, (1), 47-79 View citations (105)
See also Working Paper Optimal Forecast Combination Under General Loss Functions and Forecast Error Distributions, University of California at San Diego, Economics Working Paper Series (2002) View citations (10) (2002)
2003
- Testing for unit roots with stationary covariates
Journal of Econometrics, 2003, 115, (1), 75-89 View citations (64)
See also Working Paper Testing for Unit Roots with Stationary Covariates, University of California at San Diego, Economics Working Paper Series (2002) (2002)
- Tests for Unit Roots and the Initial Condition
Econometrica, 2003, 71, (4), 1269-1286 View citations (135)
2002
- Comments on 'Forecasting with a real-time data set for macroeconomists'
Journal of Macroeconomics, 2002, 24, (4), 533-539 View citations (15)
2001
- Confidence intervals for autoregressive coefficients near one
Journal of Econometrics, 2001, 103, (1-2), 155-181 View citations (40)
See also Working Paper Confidence Intervals for Autoregressive Coefficients Near One, University of California at San Diego, Economics Working Paper Series (2000) (2000)
2000
- Estimating Restricted Cointegrating Vectors
Journal of Business & Economic Statistics, 2000, 18, (1), 91-99 View citations (7)
See also Working Paper Estimating Restricted Cointegrating Vectors, University of California at San Diego, Economics Working Paper Series (1999) (1999)
1999
- 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 (149)
- 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 (100)
See also Working Paper Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange Rate Market, University of California at San Diego, Economics Working Paper Series (1998) (1998)
1998
- On the Robustness of Cointegration Methods when Regressors Almost Have Unit Roots
Econometrica, 1998, 66, (1), 149-158 View citations (150)
- TIME SERIES ANALYSIS: NONSTATIONARY AND NONINVERTIBLE DISTRIBUTION THEORY
Econometric Theory, 1998, 14, (4), 511-516
1996
- Efficient Tests for an Autoregressive Unit Root
Econometrica, 1996, 64, (4), 813-36 View citations (3812)
See also Working Paper Efficient Tests for an Autoregressive Unit Root, NBER Technical Working Papers (1992) View citations (137) (1992)
- International business cycles and the dynamics of the current account
European Economic Review, 1996, 40, (2), 361-387 View citations (36)
See also Working Paper International Business Cycles and the Dynamics of the Current Account, CEPR Discussion Papers (1995) (1995)
1995
- Inference in Models with Nearly Integrated Regressors
Econometric Theory, 1995, 11, (5), 1131-1147 View citations (226)
1994
- 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 (104)
See also Working Paper Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown, NBER Technical Working Papers (1992) View citations (7) (1992)
- The Transmission of Monetary Policy: The Relationship Between Overnight Cash Rates
The Economic Record, 1994, 70, (208), 19-25
1992
- Some Evidence on Option Prices as Predictors of Volatility
Oxford Bulletin of Economics and Statistics, 1992, 54, (4), 567-78 View citations (3)
Books
2016
- Economic Forecasting
Economics Books, Princeton University Press View citations (85)
See also Journal Article Economic Forecasting, Journal of Economic Literature, American Economic Association (2008) View citations (192) (2008) Working Paper Economic Forecasting, CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (7) (2007)
Edited books
2013
- Handbook of Economic Forecasting, vol 2
Handbook of Economic Forecasting, Elsevier View citations (927)
2006
- Handbook of Economic Forecasting, vol 1
Handbook of Economic Forecasting, Elsevier View citations (892)
Chapters
2016
- Introduction
A chapter in Economic Forecasting, 2016
2006
- Forecasting with Trending Data
Elsevier View citations (14)
1992
- Accounting for Non-stationarity in Demand Systems
Palgrave Macmillan View citations (1)
Editor
- Handbook of Economic Forecasting
Elsevier
- Handbook of Economic Forecasting
Elsevier
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