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Details about David F. Hendry

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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 2017-08-09. Update your information in the RePEc Author Service.

Short-id: phe33


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Working Papers

2017

  1. John Denis Sargan at the London School of Economics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads
  2. Milton Friedman and Data Adjustment
    IFDP Notes, Board of Governors of the Federal Reserve System (U.S.) Downloads
  3. The Impact of Integrated Measurement Errors on Modelling Long-run Macroeconomic Time Series
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads

2016

  1. An Overview of Forecasting Facing Breaks
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads
    See also Journal Article in Journal of Business Cycle Research (2016)
  2. Deciding Between Alternative Approaches In Macroeconomics
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (2)
  3. Detecting Volcanic Eruptions in Temperature Reconstructions by Designed Break-Indicator Saturation
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (7)
    See also Journal Article in Journal of Economic Surveys (2016)
  4. Evaluating Multi-Step System Forecasts with Relatively Few Forecast-Error Observations
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (4)
    See also Journal Article in International Journal of Forecasting (2017)
  5. Improving the Teaching of Econometrics
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads
  6. Policy Analysis, Forediction, and Forecast Failure
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads

2014

  1. Robust Approaches to Forecasting
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads
    See also Journal Article in International Journal of Forecasting (2015)
  2. Statistical Model Selection with 'Big Data'
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads

2013

  1. Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (2)
  2. Semi-automatic Non-linear Model selection
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (1)
  3. Some Fallacies in Econometric Modelling of Climate Change
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (1)
  4. Step-indicator Saturation
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (9)
  5. Unpredictability in Economic Analysis, Econometric Modeling and Forecasting
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2011) Downloads

    See also Journal Article in Journal of Econometrics (2014)

2012

  1. Forecasting by factors, by variables, or both?
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (2)
  2. Forecasting from Structural Econometric Models
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (2)
  3. Mis-specification Testing: Non-Invariance of Expectations Models of Inflation
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (1)
    See also Journal Article in Econometric Reviews (2014)
  4. Model Discovery and Trygve Haavelmo's Legacy
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (1)
    See also Journal Article in Econometric Theory (2015)
  5. Model Selection in Equations with Many 'Small' Effects
    Working Paper Series, The Rimini Centre for Economic Analysis Downloads View citations (2)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2011) Downloads View citations (2)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2013)

2011

  1. A Tale of 3 Cities: Model Selection in Over-, Exact, and Under-specified Equations
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads
  2. An Open-model Forecast-error Taxonomy
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads
  3. Anthropogenic Influences on Atmospheric CO2
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (1)
    See also Chapter (2013)
  4. Empirical Economic Model Discovery and Theory Evaluation
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (4)
    See also Journal Article in Rationality, Markets and Morals (2011)
  5. Forecasting breaks and forecasting during breaks
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (11)
  6. Mathematical Models and Economic Forecasting: Some Uses and Mis-Uses of Mathematics in Economics
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads
  7. On Not Evaluating Economic Models by Forecast Outcomes
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (1)
  8. The Properties of Model Selection when Retaining Theory Variables
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2011) Downloads

2010

  1. A Low-Dimension Portmanteau Test for Non-linearity
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (16)
    See also Journal Article in Journal of Econometrics (2010)
  2. An Automatic Test of Super Exogeneity
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (54)
  3. Automatic Selection for Non-linear Models
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (9)
  4. Climate Change: Lessons for our Future from the Distant Past
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (1)
  5. Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate
    Working Paper Series, European Central Bank Downloads View citations (20)
    See also Journal Article in Journal of Business & Economic Statistics (2011)
  6. Econometric Modelling of Changing Time Series
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads
  7. Evaluating Automatic Model Selection
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (3)
    See also Journal Article in Journal of Time Series Econometrics (2011)
  8. Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (1)
  9. Model Selection in Under-specified Equations Facing Breaks
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2014)
  10. On the Mathematical Basis of Inter-temporal Optimization
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (6)
  11. RESEARCH AND THE ACADEMIC: A TALE OF TWO CULTURES
    Economics Discussion / Working Papers, The University of Western Australia, Department of Economics Downloads
  12. Testing the Invariance of Expectations Models of Inflation
    Memorandum, Oslo University, Department of Economics Downloads View citations (11)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2010) Downloads View citations (14)

2008

  1. Forecasting with Equilibrium-correction Models during Structural Breaks
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (5)
    See also Journal Article in Journal of Econometrics (2010)
  2. Model Selection when there are Multiple Breaks
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (16)
    See also Journal Article in Journal of Econometrics (2012)
  3. The Long-Run Determinants of UK Wages, 1860-2004
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (1)
    See also Journal Article in Journal of Macroeconomics (2009)

2007

  1. A Low-Dimension Collinearity-Robust Test for Non-linearity
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (1)
  2. AUTOMATIC TESTS for SUPER EXOGENEITY
    Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa Downloads View citations (6)
  3. Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (3)
  4. Selecting a Regression Saturated by Indicators
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads View citations (2)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2007) Downloads

2006

  1. Forecasting Economic Aggregates by Disaggregates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (28)
    Also in Working Paper Series, European Central Bank (2006) Downloads View citations (26)

2005

  1. Forecasting Aggregates by Disaggregates
    Computing in Economics and Finance 2005, Society for Computational Economics Downloads View citations (15)
  2. 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 (41)

2004

  1. Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (12)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) Downloads View citations (15)

    See also Journal Article in International Journal of Forecasting (2005)
  2. Parallel Computation in Econometrics: A Simplified Approach
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
  3. Regression Models with Data-based Indicator Variables
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) Downloads View citations (18)

    See also Journal Article in Oxford Bulletin of Economics and Statistics (2005)
  4. Robustifying Forecasts from Equilibrium-Correction Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
  5. Unpredictability and the Foundations of Economic Forecasting
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (5)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) Downloads View citations (5)
  6. We Ran One Regression
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (84)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (2004)

2003

  1. Sub-sample Model Selection Procedures in Gets Modelling
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (1)
  2. The Properties of Automatic Gets Modelling
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (5)
    Also in Royal Economic Society Annual Conference 2003, Royal Economic Society (2003) Downloads View citations (21)

    See also Journal Article in Economic Journal (2005)

2002

  1. Economic Forecasting: Some Lessons from Recent Research
    Royal Economic Society Annual Conference 2002, Royal Economic Society Downloads View citations (8)
    Also in Working Paper Series, European Central Bank (2001) Downloads View citations (15)
    Economics Series Working Papers, University of Oxford, Department of Economics (2001) Downloads View citations (6)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2001) Downloads View citations (16)

    See also Journal Article in Economic Modelling (2003)

2001

  1. Forecasting in the Presence of Structural Breaks and Policy Regime Shifts
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (4)
  2. Model Identification and Non-unique Structure
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (2)
  3. Pooling of Forecasts
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (12)
    See also Journal Article in Econometrics Journal (2004)
  4. Reformulating empirical macro-econometric modelling
    Discussion Paper Series In Economics And Econometrics, University of Southampton, Economics Division, School of Social Sciences Downloads

2000

  1. A General Forecast-error Taxonomy
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (4)
  2. Computer Automation of General-to-Specific Model Selection Procedures
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (6)
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) View citations (5)

    See also Journal Article in Journal of Economic Dynamics and Control (2001)
  3. Constructing Historical Euro-Zone Data
    Economics Working Papers, European University Institute View citations (13)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2000) Downloads View citations (4)

    See also Journal Article in Economic Journal (2001)
  4. Explaining Cointegration Analysis: Part II
    Discussion Papers, University of Copenhagen. Department of Economics Downloads View citations (77)
    See also Journal Article in The Energy Journal (2001)
  5. Forecast Failure, Expectations Formation, and the Lucas Critique
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (3)
    See also Journal Article in Annals of Economics and Statistics (2002)
  6. Forecasting with Difference-Stationary and Trend-Stationary Models
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1998) Downloads

    See also Journal Article in Econometrics Journal (2001)
  7. Modelling UK Inflation over the Long Run
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (1)

1999

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

1998

  1. Exogeneity, cointegration, and economic policy analysis
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) Downloads View citations (54)
    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. Multi-Step Estimation for Forecasting
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads View citations (69)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1996)
  2. The Econometric Analysis of Economic Policy
    Economics Working Papers, European University Institute View citations (18)
    See also Journal Article in Oxford Bulletin of Economics and Statistics (1996)
  3. The Influence of A. W. H. Phillips on Econometrics
    Economics Working Papers, European University Institute

1995

  1. On the interactions of unit roots and exogeneity
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (17)

1994

  1. An evaluation of forecasting using leading indicators
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (9)

1993

  1. An Econometric Analysis of Money Demand in Italy
    Working Papers, Banca Italia - Servizio di Studi View citations (8)
  2. 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 (13)
    See also Journal Article in Journal of Econometrics (1996)
  3. 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 (10)

1992

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

1991

  1. 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

  1. EVALUATING DYNAMIC ECONOMETRIC MODELS BY ENCOMPASSING THE VAR
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (54)
  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 (20)
    See also Journal Article in European Economic Review (1991)
  3. TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (21)
    See also Journal Article in Journal of Econometrics (1993)
  4. TESTING THE LUCAS CRITIQUE: A REVIEW
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (50)

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 (33)
  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 (6)
    See also Journal Article in Empirical Economics (1999)

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. Recent developments in the theory of encompassing
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (11)

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 (3)
  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 (7)
  3. Procrustean Econometrics: Stretching and Squeezing Data
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)

1979

  1. Exogeneity
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics Downloads
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

    See also Journal Article in Econometrica (1983)

1975

  1. 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 Downloads
  2. 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 Downloads View citations (4)
  3. 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 Downloads

Undated

  1. Beyer-Doornik-Hendry
    Instructional Stata datasets for econometrics, Boston College Department of Economics Downloads
  2. Computationally-intensive Econometrics using a Distributed Matrix-programming Language
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (7)
  3. Log income versus linear income: an application of the encompassing principl
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
  4. The UK Demand for Broad Money over the Long run
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads
  5. The econometric analysis of economic time series
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Journal Articles

2017

  1. Evaluating multi-step system forecasts with relatively few forecast-error observations
    International Journal of Forecasting, 2017, 33, (2), 359-372 Downloads View citations (1)
    See also Working Paper (2016)

2016

  1. An Overview of Forecasting Facing Breaks
    Journal of Business Cycle Research, 2016, 12, (1), 3-23 Downloads
    See also Working Paper (2016)
  2. DETECTING VOLCANIC ERUPTIONS IN TEMPERATURE RECONSTRUCTIONS BY DESIGNED BREAK-INDICATOR SATURATION
    Journal of Economic Surveys, 2016, 30, (3), 403-429 Downloads View citations (7)
    See also Working Paper (2016)
  3. Outliers and Model Selection: Discussion of the Paper by Søren Johansen and Bent Nielsen
    Scandinavian Journal of Statistics, 2016, 43, (2), 360-365 Downloads

2015

  1. Detecting Location Shifts during Model Selection by Step-Indicator Saturation
    Econometrics, 2015, 3, (2), 1-25 Downloads View citations (25)
  2. MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
    Econometric Theory, 2015, 31, (01), 93-114 Downloads View citations (15)
    See also Working Paper (2012)
  3. Robust approaches to forecasting
    International Journal of Forecasting, 2015, 31, (1), 99-112 Downloads View citations (13)
    See also Working Paper (2014)

2014

  1. Misspecification Testing: Non-Invariance of Expectations Models of Inflation
    Econometric Reviews, 2014, 33, (5-6), 553-574 Downloads View citations (3)
    See also Working Paper (2012)
  2. Model selection in under-specified equations facing breaks
    Journal of Econometrics, 2014, 178, (P2), 286-293 Downloads View citations (6)
    See also Working Paper (2010)
  3. Unpredictability in economic analysis, econometric modeling and forecasting
    Journal of Econometrics, 2014, 182, (1), 186-195 Downloads View citations (15)
    See also Working Paper (2013)

2013

  1. Econometric Modelling: The ‘Consumption Function’ In Retrospect
    Scottish Journal of Political Economy, 2013, 60, (5), 495-522 Downloads
    Also in Scottish Journal of Political Economy, 1983, 30, (3), 193-220 (1983) View citations (19)
  2. Forecasting by factors, by variables, by both or neither?
    Journal of Econometrics, 2013, 177, (2), 305-319 Downloads View citations (21)
  3. Model Selection in Equations with Many ‘Small’ Effects
    Oxford Bulletin of Economics and Statistics, 2013, 75, (1), 6-22 Downloads View citations (1)
    See also Working Paper (2012)
  4. Retrospective on ‘Econometric Modelling: The Consumption Function in Retrospect’, Scottish Journal of Political Economy, 30 (1983), 193–220'
    Scottish Journal of Political Economy, 2013, 60, (5), 523-525 Downloads

2012

  1. Model selection when there are multiple breaks
    Journal of Econometrics, 2012, 169, (2), 239-246 Downloads View citations (47)
    See also Working Paper (2008)

2011

  1. Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate
    Journal of Business & Economic Statistics, 2011, 29, (2), 216-227 Downloads View citations (54)
    Also in Journal of Business & Economic Statistics, 2011, 29, (2), 216-227 (2011) Downloads View citations (38)

    See also Working Paper (2010)
  2. Econometric Modelling of Time Series with Outlying Observations
    Journal of Time Series Econometrics, 2011, 3, (1), 1-26 Downloads View citations (15)
  3. Empirical Economic Model Discovery and Theory Evaluation
    Rationality, Markets and Morals, 2011, 2, (46) Downloads View citations (4)
    See also Working Paper (2011)
  4. Evaluating Automatic Model Selection
    Journal of Time Series Econometrics, 2011, 3, (1), 1-33 Downloads View citations (41)
    See also Working Paper (2010)
  5. On adding over-identifying instrumental variables to simultaneous equations
    Economics Letters, 2011, 111, (1), 68-70 Downloads View citations (5)
  6. Revisiting UK consumers' expenditure: cointegration, breaks and robust forecasts
    Applied Financial Economics, 2011, 21, (1-2), 19-32 Downloads

2010

  1. A low-dimension portmanteau test for non-linearity
    Journal of Econometrics, 2010, 158, (2), 231-245 Downloads View citations (20)
    See also Working Paper (2010)
  2. Forecasting with equilibrium-correction models during structural breaks
    Journal of Econometrics, 2010, 158, (1), 25-36 Downloads View citations (25)
    See also Working Paper (2008)
  3. Nowcasting from disaggregates in the face of location shifts
    Journal of Forecasting, 2010, 29, (1-2), 200-214 Downloads View citations (15)
  4. Professor Sir Clive W.J. Granger and Cointegration
    Journal of Financial Econometrics, 2010, 8, (2), 162-168 Downloads

2009

  1. Comment on "Excessive Ambitions" (by Jon Elster)
    Capitalism and Society, 2009, 4, (2), 1-21 Downloads
  2. In memory of Clive Granger: an advisory board member of the journal
    Journal of Applied Econometrics, 2009, 24, (6), 871-873 Downloads
  3. NOWCASTING IS NOT JUST CONTEMPORANEOUS FORECASTING
    National Institute Economic Review, 2009, 210, (1), 71-89 Downloads View citations (22)
  4. OBITUARY
    Econometric Theory, 2009, 25, (05), 1139-1142 Downloads
  5. The long-run determinants of UK wages, 1860-2004
    Journal of Macroeconomics, 2009, 31, (1), 5-28 Downloads View citations (14)
    See also Working Paper (2008)

2008

  1. Automatic selection of indicators in a fully saturated regression
    Computational Statistics, 2008, 23, (2), 337-339 Downloads View citations (108)
    Also in Computational Statistics, 2008, 23, (2), 317-335 (2008) Downloads View citations (121)
  2. Economic Forecasting in a Changing World
    Capitalism and Society, 2008, 3, (2), 1-20 Downloads View citations (17)
  3. Elusive return predictability: Discussion
    International Journal of Forecasting, 2008, 24, (1), 22-28 Downloads
  4. Foreword
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 711-714 Downloads
  5. Guest Editors' Introduction to Special Issue on Encompassing
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 715-719 Downloads View citations (1)
  6. Linear vs. Log-linear Unit-Root Specification: An Application of Mis-specification Encompassing
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 829-847 Downloads View citations (1)
  7. Log Income vs. Linear Income: An Application of the Encompassing Principle
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 807-827 Downloads View citations (2)
    See also Working Paper (1991)

2007

  1. Co-Breaking: Recent Advances and a Synopsis of the Literature
    Journal of Business & Economic Statistics, 2007, 25, 33-51 Downloads View citations (44)

2006

  1. A comment on "Specification searches in spatial econometrics: The relevance of Hendry's methodology"
    Regional Science and Urban Economics, 2006, 36, (2), 309-312 Downloads View citations (7)
  2. Robustifying forecasts from equilibrium-correction systems
    Journal of Econometrics, 2006, 135, (1-2), 399-426 Downloads View citations (54)
  3. Saturation in Autoregressive Models
    Notas Económicas, 2006, (24), 8-19 Downloads View citations (5)

2005

  1. A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING
    Econometric Theory, 2005, 21, (01), 278-297 Downloads View citations (11)
  2. Evaluating a Model by Forecast Performance
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 931-956 Downloads View citations (8)
  3. Guest Editors' Introduction: Information in Economic Forecasting
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 713-753 Downloads View citations (12)
  4. Non-parametric direct multi-step estimation for forecasting economic processes
    International Journal of Forecasting, 2005, 21, (2), 201-218 Downloads View citations (49)
    See also Working Paper (2004)
  5. Regression Models with Data-based Indicator Variables
    Oxford Bulletin of Economics and Statistics, 2005, 67, (5), 571-595 Downloads View citations (16)
    See also Working Paper (2004)
  6. The Properties of Automatic "GETS" Modelling
    Economic Journal, 2005, 115, (502), C32-C61 Downloads View citations (129)
    See also Working Paper (2003)

2004

  1. Pooling of forecasts
    Econometrics Journal, 2004, 7, (1), 1-31 Downloads View citations (147)
    See also Working Paper (2001)
  2. The Nobel Memorial Prize for Clive W. J. Granger
    Scandinavian Journal of Economics, 2004, 106, (2), 187-213 Downloads View citations (6)
  3. We Ran One Regression
    Oxford Bulletin of Economics and Statistics, 2004, 66, (5), 799-810 Downloads View citations (90)
    See also Working Paper (2004)

2003

  1. Consistent Model Selection by an Automatic "Gets" Approach
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 803-819 Downloads View citations (30)
  2. Economic forecasting: some lessons from recent research
    Economic Modelling, 2003, 20, (2), 301-329 Downloads View citations (37)
    See also Working Paper (2002)
  3. Guest Editors' Introduction: Model Selection and Evaluation in Econometrics
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 681-688 Downloads
  4. J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY
    Econometric Theory, 2003, 19, (03), 457-480 Downloads View citations (10)

2002

  1. Applied Econometrics without Sinning
    Journal of Economic Surveys, 2002, 16, (4), 591-604 Downloads View citations (5)
  2. Forecast Failure, Expectations Formation and the Lucas Critique
    Annals of Economics and Statistics, 2002, (67-68), 21-40 Downloads View citations (2)
    See also Working Paper (2000)
  3. Modelling methodology and forecast failure
    Econometrics Journal, 2002, 5, (2), 319-344 Downloads View citations (30)

2001

  1. A special issue in memory of John Denis Sargan: studies in empirical macroeconometrics
    Journal of Applied Econometrics, 2001, 16, (3), 197-202 Downloads View citations (2)
  2. Achievements and challenges in econometric methodology
    Journal of Econometrics, 2001, 100, (1), 7-10 Downloads View citations (12)
  3. An Historical Perspective on Forecast Errors
    National Institute Economic Review, 2001, 177, (1), 100-112 Downloads View citations (1)
  4. Computer automation of general-to-specific model selection procedures
    Journal of Economic Dynamics and Control, 2001, 25, (6-7), 831-866 Downloads View citations (128)
    See also Working Paper (2000)
  5. Constructing Historical Euro-Zone Data
    Economic Journal, 2001, 111, (469), F102-21 Downloads View citations (86)
    See also Working Paper (2000)
  6. Explaining Cointegration Analysis: Part II
    The Energy Journal, 2001, Volume22, (Number 1), 75-120 Downloads View citations (83)
    Also in The Energy Journal, 2000, Volume21, (Number 1), 1-42 (2000) Downloads View citations (87)

    See also Working Paper (2000)
  7. Forecasting with difference-stationary and trend-stationary models
    Econometrics Journal, 2001, 4, (1), S1-S19 View citations (37)
    See also Working Paper (2000)
  8. Modelling UK inflation, 1875-1991
    Journal of Applied Econometrics, 2001, 16, (3), 255-275 Downloads View citations (33)

2000

  1. Distinguished Fellow of the Economic Society of Australia, 1999: Adrian R. Pagan
    The Economic Record, 2000, 76, (233), 113-15
  2. On detectable and non-detectable structural change
    Structural Change and Economic Dynamics, 2000, 11, (1-2), 45-65 Downloads View citations (39)
  3. Reconstructing Aggregate Euro-zone Data
    Journal of Common Market Studies, 2000, 38, (4), 613-624 Downloads View citations (24)
  4. Reformulating Empirical Macroeconomic Modelling
    Oxford Review of Economic Policy, 2000, 16, (4), 138-59 View citations (8)

1999

  1. 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)
  2. Improving on 'Data mining reconsidered' by K.D. Hoover and S.J. Perez
    Econometrics Journal, 1999, 2, (2), 202-219 View citations (52)
  3. On winning forecasting competitions in economics
    Spanish Economic Review, 1999, 1, (2), 123-160 Downloads View citations (23)

1998

  1. Exogeneity, Cointegration, and Economic Policy Analysis
    Journal of Business & Economic Statistics, 1998, 16, (4), 370-87 View citations (59)
    See also Working Paper (1998)
  2. 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 Downloads View citations (64)
  3. Forecasting economic processes
    International Journal of Forecasting, 1998, 14, (1), 111-131 Downloads View citations (45)
  4. Foreword by the Editors
    Econometrics Journal, 1998, 1, (RegularPapers), i-ii
  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. Inference in Cointegrating Models: UK M1 Revisited
    Journal of Economic Surveys, 1998, 12, (5), 533-72 Downloads View citations (123)
    Also in Journal of Economic Surveys, 1998, 12, (5), 533-572 (1998) Downloads View citations (39)
  7. The Demand for Broad Money in the United Kingdom, 1878-1993
    Scandinavian Journal of Economics, 1998, 100, (1), 289-324 Downloads View citations (12)
    See also Working Paper (1997)

1997

  1. An empirical study of seasonal unit roots in forecasting
    International Journal of Forecasting, 1997, 13, (3), 341-355 Downloads View citations (41)
  2. John Denis Sargan
    Economic Journal, 1997, 107, (443), 1121-25 Downloads View citations (2)
  3. On congruent econometric relations: A comment
    Carnegie-Rochester Conference Series on Public Policy, 1997, 47, (1), 163-190 Downloads View citations (6)
  4. The Econometrics of Macroeconomic Forecasting
    Economic Journal, 1997, 107, (444), 1330-57 Downloads View citations (29)
  5. The Implications for Econometric Modelling of Forecast Failure
    Scottish Journal of Political Economy, 1997, 44, (4), 437-61 Downloads View citations (50)

1996

  1. Cointegration tests in the presence of structural breaks
    Journal of Econometrics, 1996, 70, (1), 187-220 Downloads View citations (94)
    See also Working Paper (1993)
  2. Encompassing and Specificity
    Econometric Theory, 1996, 12, (04), 620-656 Downloads View citations (2)
  3. Intercept Corrections and Structural Change
    Journal of Applied Econometrics, 1996, 11, (5), 475-94 Downloads View citations (80)
  4. Multi-step Estimation for Forecasting
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 657-84 View citations (42)
    See also Working Paper (1996)
  5. The Econometric Analysis of Economic Policy
    Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 573-600 View citations (27)
    See also Working Paper (1996)

1995

  1. Econometrics and Business Cycle Empirics
    Economic Journal, 1995, 105, (433), 1622-36 Downloads View citations (20)
  2. Forecasting in Cointegration Systems
    Journal of Applied Econometrics, 1995, 10, (2), 127-46 Downloads View citations (45)
  3. Macro-economic Forecasting and Modelling
    Economic Journal, 1995, 105, (431), 1001-13 Downloads View citations (17)

1994

  1. Can Econometrics Improve Economic Forecasting?
    Swiss Journal of Economics and Statistics (SJES), 1994, 130, (III), 267-298 Downloads View citations (9)
  2. Encompassing in stationary linear dynamic models
    Journal of Econometrics, 1994, 63, (1), 245-270 Downloads View citations (5)
  3. HUS Revisited
    Oxford Review of Economic Policy, 1994, 10, (2), 86-106 View citations (31)
  4. Modelling Linear Dynamic Econometric Systems
    Scottish Journal of Political Economy, 1994, 41, (1), 1-33 View citations (68)
  5. Professor H.O.A. Wold: 1908–1992
    Econometric Theory, 1994, 10, (02), 419-433 Downloads

1993

  1. Testing superexogeneity and invariance in regression models
    Journal of Econometrics, 1993, 56, (1-2), 119-139 Downloads View citations (122)
    See also Working Paper (1990)
  2. The Demand for M1 in the USA: A Reply
    Economic Journal, 1993, 103, (420), 1158-69 Downloads View citations (2)

1992

  1. An econometric analysis of TV advertising expenditure in the United Kingdom
    Journal of Policy Modeling, 1992, 14, (3), 281-311 Downloads View citations (6)
  2. Testing Integration and Cointegration: An Overview
    Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 225-55 View citations (21)
  3. The Demand for M1 in the U.S.A., 1960–1988
    Review of Economic Studies, 1992, 59, (1), 25-61 Downloads View citations (29)

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 (29)
  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 (112)
    See also Working Paper (1990)
  3. 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 Downloads View citations (3)
  4. Using PC-NAIVE in Teaching Econometrics
    Oxford Bulletin of Economics and Statistics, 1991, 53, (2), 199-223 View citations (2)

1990

  1. A Conversation on Econometric Methodology
    Econometric Theory, 1990, 6, (02), 171-261 Downloads View citations (20)
  2. An analogue model of phase-averaging procedures
    Journal of Econometrics, 1990, 43, (3), 275-292 Downloads View citations (7)
    See also Working Paper (1987)

1989

  1. A Re-analysis of Confluence Analysis
    Oxford Economic Papers, 1989, 41, (1), 35-52 Downloads View citations (2)

1988

  1. Econometric analysis of small linear systems using PC-FIML
    Journal of Econometrics, 1988, 38, (1-2), 203-226 Downloads View citations (12)
  2. Encompassing
    National Institute Economic Review, 1988, 125, (1), 88-103 Downloads View citations (3)
  3. Interpreting Long-run Equilibrium Solutions in Conventional Macro Models: A Comment
    Economic Journal, 1988, 98, (392), 808-17 Downloads View citations (6)
  4. The Encompassing Implications of Feedback versus Feedforward Mechanisms in Econometrics
    Oxford Economic Papers, 1988, 40, (1), 132-49 Downloads View citations (55)

1986

  1. Econometric Evaluation of Linear Macro-Economic Models
    Review of Economic Studies, 1986, 53, (4), 671-690 Downloads View citations (211)
  2. Econometric Modelling with Cointegrated Variables: An Overview
    Oxford Bulletin of Economics and Statistics, 1986, 48, (3), 201-12 View citations (109)
  3. Using PC-GIVE in Econometrics Teaching
    Oxford Bulletin of Economics and Statistics, 1986, 48, (1), 87-98 View citations (5)

1985

  1. Monetary Economic Myth and Econometric Reality
    Oxford Review of Economic Policy, 1985, 1, (1), 72-84 View citations (26)
  2. Small-Sample Properties of ARCH Estimators and Tests
    Canadian Journal of Economics, 1985, 18, (1), 66-93 Downloads View citations (35)

1984

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

1983

  1. Exogeneity
    Econometrica, 1983, 51, (2), 277-304 Downloads View citations (49)
    See also Working Paper (1979)
  2. On High and Low R2 Contributions
    Oxford Bulletin of Economics and Statistics, 1983, 45, (3), 313-16 View citations (1)
  3. On Keynesian Model Building and the Rational Expectations Critique: A Question of Methodology
    Cambridge Journal of Economics, 1983, 7, (1), 69-75

1982

  1. A reply to Professors Maasoumi and Phillips
    Journal of Econometrics, 1982, 19, (2-3), 203-213 Downloads View citations (5)
  2. On the formulation of empirical models in dynamic econometrics
    Journal of Econometrics, 1982, 20, (1), 3-33 Downloads View citations (96)

1981

  1. Interpreting econometric evidence: The behaviour of consumers' expenditure in the UK
    European Economic Review, 1981, 16, (1), 177-192 Downloads View citations (26)
  2. Model formulation to simplify selection when specification is uncertain
    Journal of Econometrics, 1981, 16, (1), 159-159 Downloads

1980

  1. An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification
    Review of Economic Studies, 1980, 47, (1), 21-45 Downloads View citations (13)
  2. Autoreg: a computer program library for dynamic econometric models with autoregressive errors
    Journal of Econometrics, 1980, 12, (1), 85-102 Downloads View citations (5)
  3. Econometrics-Alchemy or Science?
    Economica, 1980, 47, (188), 387-406 Downloads View citations (89)

1979

  1. The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors
    Journal of Econometrics, 1979, 9, (3), 295-314 Downloads View citations (12)

1978

  1. Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom
    Economic Journal, 1978, 88, (352), 661-92 Downloads View citations (338)
  2. 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 Downloads View citations (99)

1977

  1. The Properties of Autoregressive Instrumental Variables Estimators in Dynamic Systems
    Econometrica, 1977, 45, (4), 969-90 Downloads View citations (2)

1976

  1. Estimating Systems of Dynamic Reduced Form Equations with Vector Autoregressive Errors
    International Economic Review, 1976, 17, (2), 463-71 Downloads View citations (1)
  2. The structure of simultaneous equations estimators
    Journal of Econometrics, 1976, 4, (1), 51-88 Downloads View citations (29)

1974

  1. 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 Downloads
  2. Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares
    Journal of Econometrics, 1974, 2, (2), 151-174 Downloads View citations (11)
  3. Stochastic Specification in an Aggregate Demand Model of the United Kingdom
    Econometrica, 1974, 42, (3), 559-78 Downloads View citations (10)

1973

  1. On Asymptotic Theory and Finite Sample Experiments
    Economica, 1973, 40, (158), 210-17 Downloads View citations (4)

1972

  1. Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study
    Review of Economic Studies, 1972, 39, (2), 117-145 Downloads View citations (8)

1971

  1. 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 Downloads View citations (16)

1966

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

Books

2001

  1. Forecasting Non-Stationary Economic Time Series, vol 1
    MIT Press Books, The MIT Press View citations (142)

2000

  1. Econometrics: Alchemy or Science?: Essays in Econometric Methodology
    OUP Catalogue, Oxford University Press View citations (22)

1998

  1. Forecasting Economic Time Series
    Cambridge Books, Cambridge University Press View citations (131)
    Also in Cambridge Books, Cambridge University Press (1998) View citations (169)

1997

  1. The Foundations of Econometric Analysis
    Cambridge Books, Cambridge University Press
    Also in Cambridge Books, Cambridge University Press (1995) View citations (43)

1995

  1. Dynamic Econometrics
    OUP Catalogue, Oxford University Press View citations (495)

1993

  1. Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
    OUP Catalogue, Oxford University Press View citations (426)

Edited books

2011

  1. The Oxford Handbook of Economic Forecasting
    OUP Catalogue, Oxford University Press View citations (20)

2006

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

2003

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

2000

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

Chapters

2013

  1. Anthropogenic influences on atmospheric CO2
    Chapter 12 in Handbook on Energy and Climate Change, 2013, pp 287-326 Downloads View citations (3)
    See also Working Paper (2011)

2007

  1. Preface to Econometric Modeling: A Likelihood Approach
    A chapter in Econometric Modeling: A Likelihood Approach, 2007 Downloads View citations (24)
  2. The Bernoulli model, from Econometric Modeling: A Likelihood Approach
    A chapter in Econometric Modeling: A Likelihood Approach, 2007 Downloads View citations (14)

2006

  1. Forecasting with Breaks
    Elsevier Downloads View citations (51)

1984

  1. Dynamic specification
    Chapter 18 in Handbook of Econometrics, 1984, vol. 2, pp 1023-1100 Downloads View citations (141)
  2. Monte carlo experimentation in econometrics
    Chapter 16 in Handbook of Econometrics, 1984, vol. 2, pp 937-976 Downloads View citations (48)

Editor

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