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:	Department of Economics, George Washington University, (more information at EDIRC) Federal Reserve Board (Board of Governors of the Federal Reserve System), (more information at EDIRC) H.O. Stekler Research Program on Forecasting, Center for Economic Research, Department of Economics, George Washington University, (more information at EDIRC)

Access statistics for papers by Neil R. Ericsson.

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Jump to Journal Articles Edited books

Working Papers

2021

1. Dynamic Econometrics in Action: A Biography of David F. Hendry
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)

2017

2. How Biased Are U.S. Government Forecasts of the Federal Debt?
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (8)
   Also in Working Papers, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting (2017) View citations (13)
   See also Journal Article How biased are U.S. government forecasts of the federal debt?, International Journal of Forecasting, Elsevier (2017) View citations (11) (2017)
3. Milton Friedman and Data Adjustment
   IFDP Notes, Board of Governors of the Federal Reserve System (U.S.)

2016

4. Economic Forecasting in Theory and Practice: An Interview with David F. Hendry
   Working Papers, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting View citations (5)
   Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2016)
   See also Journal Article Economic forecasting in theory and practice: An interview with David F. Hendry, International Journal of Forecasting, Elsevier (2017) View citations (5) (2017)
5. Predicting Fed Forecasts
   IFDP Notes, Board of Governors of the Federal Reserve System (U.S.)
   See also Journal Article Predicting Fed Forecasts, Journal of Reviews on Global Economics, Lifescience Global (2017) View citations (1) (2017)

2015

6. Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.)
   Also in Working Papers, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting (2015) View citations (1)
   See also Journal Article Eliciting GDP forecasts from the FOMC’s minutes around the financial crisis, International Journal of Forecasting, Elsevier (2016) View citations (43) (2016)

2012

7. Evaluating a Global Vector Autoregression for Forecasting
   Working Papers, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting View citations (18)
   Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (2012) View citations (5)
   See also Journal Article Evaluating a Global Vector Autoregression for Forecasting, International Advances in Economic Research, Springer (2012) View citations (21) (2012)

2008

8. Constructive data mining: modeling Argentine broad money demand
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
9. The fragility of sensitivity analysis: an encompassing perspective
   International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (1)
   See also Journal Article The Fragility of Sensitivity Analysis: An Encompassing Perspective*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2008) View citations (1) (2008)

2005

10. 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 (64)

2004

11. The ET interview: professor David F. Hendry
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (12)

2001

12. 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.) View citations (2)
13. Forecast uncertainty in economic modeling
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (12)

2000

14. Constructive data mining: modeling consumers' expenditure in Venezuela
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (10)
    See also Journal Article Contructive data mining: modeling consumers' expenditure in Venezuela, Econometrics Journal, Royal Economic Society (1999) View citations (12) (1999)
15. Distributions of Error Correction Tests for Cointegration
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (2)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (1999) View citations (22)
    See also Journal Article Distributions of error correction tests for cointegration, Econometrics Journal, Royal Economic Society (2002) View citations (167) (2002)
16. Output and inflation in the long run
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (27)
    See also Journal Article Output and inflation in the long run, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2001) View citations (54) (2001)
17. Predictable uncertainty in economic forecasting
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (2)

1998

18. A framework for economic forecasting
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (9)
    See also Journal Article A framework for economic forecasting, Econometrics Journal, Royal Economic Society (1998) View citations (9) (1998)
19. Exogeneity, cointegration, and economic policy analysis
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (72)
    See also Journal Article Exogeneity, Cointegration, and Economic Policy Analysis, Journal of Business & Economic Statistics, American Statistical Association (1998) View citations (87) (1998)

1997

20. 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.) View citations (1)
    See also Journal Article The Demand for Broad Money in the United Kingdom, 1878–1993, Scandinavian Journal of Economics, Wiley Blackwell (1998) View citations (29) (1998)

1996

21. Broad money demand and financial liberalization in Greece
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (7)
    See also Journal Article Broad money demand and financial liberalization in Greece, Empirical Economics, Springer (1998) View citations (23) (1998)
22. Hazards in Implementing a Monetary Conditions Index
    Memorandum, Oslo University, Department of Economics View citations (61)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (1996) View citations (53)
    See also Journal Article Hazards in Implementing a Monetary Conditions Index, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1996) View citations (62) (1996)

1995

23. Modelling Inflation in Australia
    RBA Research Discussion Papers, Reserve Bank of Australia View citations (30)
    Also in International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) (1995) View citations (29)
    See also Journal Article Modeling Inflation in Australia, Journal of Business & Economic Statistics, American Statistical Association (1998) View citations (83) (1998)
24. The Lucas critique in practice: theory without measurement
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (97)

1994

25. Conditional and structural error correction models
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (4)
    See also Journal Article Conditional and structural error correction models, Journal of Econometrics, Elsevier (1995) View citations (29) (1995)

1993

26. Cointegration tests in the presence of structural breaks
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (13)
    See also Journal Article Cointegration tests in the presence of structural breaks, Journal of Econometrics, Elsevier (1996) View citations (123) (1996)
27. 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)
28. Dollarization in Argentina
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (32)

1992

29. The power of cointegration tests
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (523)
    See also Journal Article The Power of Cointegration Tests, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1992) View citations (617) (1992)

1991

30. Cointegration, exogeneity, and policy analysis: an overview
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (6)
    See also Journal Article Cointegration, exogeneity, and policy analysis: An overview, Journal of Policy Modeling, Elsevier (1992) View citations (54) (1992)
31. PC-give and David Hendry's econometric methodology
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (21)
    See also Journal Article Pc-Give and David Hendry'S Econometric Methodology, Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE (1990) View citations (11) (1990)
32. 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.) View citations (12)
    See also Journal Article Parameter constancy, mean square forecast errors, and measuring forecast performance: An exposition, extensions, and illustration, Journal of Policy Modeling, Elsevier (1992) View citations (80) (1992)

1990

33. Evaluating the predictive performance of trade-account models
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (6)
34. 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 (20)
    See also Journal Article Modeling the demand for narrow money in the United Kingdom and the United States, European Economic Review, Elsevier (1991) View citations (149) (1991)

1989

35. 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 (33)
    See also Journal Article 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, American Economic Association (1991) View citations (142) (1991)
36. 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 (6)
    See also Journal Article Encompassing and rational expectations: How sequential corroboration can imply refutation, Empirical Economics, Springer (1999) View citations (15) (1999)
37. 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.) View citations (3)

1988

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

1987

39. An analogue model of phase-averaging procedures
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (5)
    See also Journal Article An analogue model of phase-averaging procedures, Journal of Econometrics, Elsevier (1990) View citations (10) (1990)
40. 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.)

1986

41. 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.) View citations (4)
    See also Journal Article Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics, The Review of Economic Studies, Review of Economic Studies Ltd (1986) View citations (8) (1986)

1985

42. 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 (3)
43. 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 (8)

Undated

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

Journal Articles

2017

1. Economic forecasting in theory and practice: An interview with David F. Hendry
   International Journal of Forecasting, 2017, 33, (2), 523-542 View citations (5)
   See also Working Paper Economic Forecasting in Theory and Practice: An Interview with David F. Hendry, Working Papers (2016) View citations (5) (2016)
2. How biased are U.S. government forecasts of the federal debt?
   International Journal of Forecasting, 2017, 33, (2), 543-559 View citations (11)
   See also Working Paper How Biased Are U.S. Government Forecasts of the Federal Debt?, International Finance Discussion Papers (2017) View citations (8) (2017)
3. Interpreting estimates of forecast bias
   International Journal of Forecasting, 2017, 33, (2), 563-568 View citations (1)
4. Predicting Fed Forecasts
   Journal of Reviews on Global Economics, 2017, 6, 175-180 View citations (1)
   See also Working Paper Predicting Fed Forecasts, IFDP Notes (2016) (2016)

2016

5. Eliciting GDP forecasts from the FOMC’s minutes around the financial crisis
   International Journal of Forecasting, 2016, 32, (2), 571-583 View citations (43)
   See also Working Paper Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis, International Finance Discussion Papers (2015) (2015)
6. Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector
   Studies in Nonlinear Dynamics & Econometrics, 2016, 20, (4), 377-398

2012

7. Evaluating a Global Vector Autoregression for Forecasting
   International Advances in Economic Research, 2012, 18, (3), 247-258 View citations (21)
   See also Working Paper Evaluating a Global Vector Autoregression for Forecasting, Working Papers (2012) View citations (18) (2012)

2008

8. Comment on "Economic Forecasting in a Changing World" (by Michael Clements and David Hendry)
   Capitalism and Society, 2008, 3, (2), 18 View citations (8)
9. The Fragility of Sensitivity Analysis: An Encompassing Perspective*
   Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 895-914 View citations (1)
   See also Working Paper The fragility of sensitivity analysis: an encompassing perspective, International Finance Discussion Papers (2008) View citations (1) (2008)

2004

10. THE ET INTERVIEW: PROFESSOR DAVID F. HENDRY: Interviewed by Neil R. Ericsson
    Econometric Theory, 2004, 20, (4), 743-804 View citations (3)

2003

11. Dollarization in post-hyperinflationary Argentina
    Journal of International Money and Finance, 2003, 22, (2), 185-211 View citations (40)

2002

12. Distributions of error correction tests for cointegration
    Econometrics Journal, 2002, 5, (2), 285-318 View citations (167)
    See also Working Paper Distributions of Error Correction Tests for Cointegration, Econometric Society World Congress 2000 Contributed Papers (2000) View citations (2) (2000)

2001

13. Output and inflation in the long run
    Journal of Applied Econometrics, 2001, 16, (3), 241-253 View citations (54)
    See also Working Paper Output and inflation in the long run, International Finance Discussion Papers (2000) View citations (27) (2000)

1999

14. Contructive data mining: modeling consumers' expenditure in Venezuela
    Econometrics Journal, 1999, 2, (2), 226-240 View citations (12)
    See also Working Paper Constructive data mining: modeling consumers' expenditure in Venezuela, International Finance Discussion Papers (2000) View citations (10) (2000)
15. Encompassing and rational expectations: How sequential corroboration can imply refutation
    Empirical Economics, 1999, 24, (1), 1-21 View citations (15)
    See also Working Paper Encompassing and rational expectations: how sequential corroboration can imply refutation, International Finance Discussion Papers (1989) View citations (6) (1989)

1998

16. A framework for economic forecasting
    Econometrics Journal, 1998, 1, (ConferenceIssue), C228-C266 View citations (9)
    See also Working Paper A framework for economic forecasting, International Finance Discussion Papers (1998) View citations (9) (1998)
17. Broad money demand and financial liberalization in Greece
    Empirical Economics, 1998, 23, (3), 417-436 View citations (23)
    See also Working Paper Broad money demand and financial liberalization in Greece, International Finance Discussion Papers (1996) View citations (7) (1996)
18. Empirical modeling of money demand
    Empirical Economics, 1998, 23, (3), 295-315 View citations (83)
19. Exogeneity, Cointegration, and Economic Policy Analysis
    Journal of Business & Economic Statistics, 1998, 16, (4), 370-87 View citations (87)
    See also Working Paper Exogeneity, cointegration, and economic policy analysis, International Finance Discussion Papers (1998) View citations (72) (1998)
20. 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)
21. Modeling Inflation in Australia
    Journal of Business & Economic Statistics, 1998, 16, (4), 433-49 View citations (83)
    See also Working Paper Modelling Inflation in Australia, RBA Research Discussion Papers (1995) View citations (30) (1995)
22. The Demand for Broad Money in the United Kingdom, 1878–1993
    Scandinavian Journal of Economics, 1998, 100, (1), 289-324 View citations (29)
    See also Working Paper The demand for broad money in the United Kingdom, 1878-1993, International Finance Discussion Papers (1997) View citations (1) (1997)

1996

23. Cointegration tests in the presence of structural breaks
    Journal of Econometrics, 1996, 70, (1), 187-220 View citations (123)
    See also Working Paper Cointegration tests in the presence of structural breaks, International Finance Discussion Papers (1993) View citations (13) (1993)
24. Hazards in Implementing a Monetary Conditions Index
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 765-90 View citations (62)
    See also Working Paper Hazards in Implementing a Monetary Conditions Index, Memorandum (1996) View citations (61) (1996)

1995

25. Conditional and structural error correction models
    Journal of Econometrics, 1995, 69, (1), 159-171 View citations (29)
    See also Working Paper Conditional and structural error correction models, International Finance Discussion Papers (1994) View citations (4) (1994)

1993

26. Encompassing the Forecasts of U.S. Trade Balance Models
    The Review of Economics and Statistics, 1993, 75, (1), 19-31 View citations (25)
27. Testing for Common Features: Comment
    Journal of Business & Economic Statistics, 1993, 11, (4), 380-83 View citations (8)

1992

28. Cointegration, exogeneity, and policy analysis: A synopsis
    Journal of Policy Modeling, 1992, 14, (4), 395-400 View citations (22)
29. Cointegration, exogeneity, and policy analysis: An overview
    Journal of Policy Modeling, 1992, 14, (3), 251-280 View citations (54)
    See also Working Paper Cointegration, exogeneity, and policy analysis: an overview, International Finance Discussion Papers (1991) View citations (6) (1991)
30. Parameter constancy, mean square forecast errors, and measuring forecast performance: An exposition, extensions, and illustration
    Journal of Policy Modeling, 1992, 14, (4), 465-495 View citations (80)
    See also Working Paper Parameter constancy, mean square forecast errors, and measuring forecast performance: an exposition, extensions, and illustration, International Finance Discussion Papers (1991) View citations (12) (1991)
31. The Power of Cointegration Tests
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 325-48 View citations (617)
    See also Working Paper The power of cointegration tests, International Finance Discussion Papers (1992) View citations (523) (1992)

1991

32. 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 (142)
    See also Working Paper 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 (1989) View citations (33) (1989)
33. Modeling the demand for narrow money in the United Kingdom and the United States
    European Economic Review, 1991, 35, (4), 833-881 View citations (149)
    See also Working Paper Modeling the demand for narrow money in the United Kingdom and the United States, International Finance Discussion Papers (1990) View citations (20) (1990)
34. 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 View citations (13)

1990

35. An analogue model of phase-averaging procedures
    Journal of Econometrics, 1990, 43, (3), 275-292 View citations (10)
    See also Working Paper An analogue model of phase-averaging procedures, International Finance Discussion Papers (1987) View citations (5) (1987)
36. Pc-Give and David Hendry'S Econometric Methodology
    Brazilian Review of Econometrics, 1990, 10, (1) View citations (11)
    See also Working Paper PC-give and David Hendry's econometric methodology, International Finance Discussion Papers (1991) View citations (21) (1991)

1986

37. Post-simulation Analysis of Monte Carlo Experiments: Interpreting Pesaran's (1974) Study of Non-nested Hypothesis Test Statistics
    The Review of Economic Studies, 1986, 53, (4), 691-707 View citations (8)
    See also Working Paper Post-simulation analysis of Monte Carlo experiments: interpreting Pesaran's (1974) study of non-nested hypothesis test statistics, International Finance Discussion Papers (1986) View citations (4) (1986)

1983

38. Asymptotic Properties of Instrumental Variables Statistics for Testing Non-Nested Hypotheses
    The Review of Economic Studies, 1983, 50, (2), 287-304 View citations (14)

1982

39. Testing Linear versus Logarithmic Regression Models: A Comment
    The Review of Economic Studies, 1982, 49, (3), 477-481

1978

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

Edited books

2005

1. General-to-Specific Modelling, vol Two volume set
   Books, Edward Elgar Publishing View citations (11)

2003

2. Understanding Economic Forecasts, vol 1
   MIT Press Books, The MIT Press View citations (13)

1995

3. Testing Exogeneity
   OUP Catalogue, Oxford University Press