Details about David F. Hendry

Homepage:	https://www.nuffield.ox.ac.uk/people/profiles/david-hendry/
Phone:	44 1865 278554
Postal address:	Nuffield College Oxford
Workplace:	Rimini Centre for Economic Analysis (RCEA), (more information at EDIRC) Department of Economics, Oxford University, (more information at EDIRC)

Access statistics for papers by David F. Hendry.

Last updated 2025-03-14. Update your information in the RePEc Author Service.

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Working Papers

2022

1. Forecasting: theory and practice
   Papers, arXiv.org View citations (70)
   See also Journal Article Forecasting: theory and practice, International Journal of Forecasting, Elsevier (2022) View citations (30) (2022)
2. The Historical Role of Energy in UK Inflation and Productivity and Implications for Price Inflation in 2022
   Working Papers, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting
   Also in Economics Series Working Papers, University of Oxford, Department of Economics (2022) View citations (1)

2021

3. Can the UK achieve net-zero greenhouse gas emissions by 2050?
   Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
   See also Journal Article CAN THE UK ACHIEVE NET ZERO GREENHOUSE GAS EMISSIONS BY 2050?, National Institute Economic Review, National Institute of Economic and Social Research (2023) (2023)
4. Geoclimate, geopolitics, and the geovolatility of carbon-intensive equity returns
   Economics Series Working Papers, University of Oxford, Department of Economics
5. Smooth Robust Multi-Horizon Forecasts
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (2)
   Also in Working Papers, The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting (2020) View citations (2)
   See also Chapter Smooth Robust Multi-Horizon Forecasts, Advances in Econometrics, Emerald Group Publishing Limited (2022) View citations (1) (2022)

2020

6. A Short History of Macro-econometric Modelling
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (1)
7. Analyzing Differences between Scenarios
   Economics Papers, Economics Group, Nuffield College, University of Oxford
   See also Journal Article Analysing differences between scenarios, International Journal of Forecasting, Elsevier (2023) (2023)
8. First in, First out: Econometric Modelling of UK Annual CO_2 Emissions, 1860–2017
   Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (2)
9. Identifying the Causal Role of CO2 during the Ice Ages
   Economics Series Working Papers, University of Oxford, Department of Economics View citations (3)
10. Modelling Non-stationary 'Big Data'
    Economics Series Working Papers, University of Oxford, Department of Economics
    See also Journal Article Modelling non-stationary ‘Big Data’, International Journal of Forecasting, Elsevier (2021) View citations (2) (2021)
11. Robust Discovery of Regression Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (3)
    See also Journal Article Robust Discovery of Regression Models, Econometrics and Statistics, Elsevier (2023) View citations (3) (2023)
12. Short-term forecasting of the Coronavirus Pandemic - 2020-04-27
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (7)

2019

13. Some forecasting principles from the M4 competition
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (3)

2018

14. Selecting a Model for Forecasting
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (2)
    See also Journal Article Selecting a Model for Forecasting, Econometrics, MDPI (2021) View citations (1) (2021)

2017

15. John Denis Sargan at the London School of Economics
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University
16. Milton Friedman and Data Adjustment
    IFDP Notes, Board of Governors of the Federal Reserve System (U.S.)
17. The Impact of Integrated Measurement Errors on Modelling Long-run Macroeconomic Time Series
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (10)
    See also Journal Article The impact of integrated measurement errors on modeling long-run macroeconomic time series, Econometric Reviews, Taylor & Francis Journals (2017) View citations (3) (2017)
18. The future of macroeconomics: Macro theory and models at the Bank of England
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (9)
    See also Journal Article The future of macroeconomics: macro theory and models at the Bank of England, Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited (2018) View citations (45) (2018)

2016

19. An Overview of Forecasting Facing Breaks
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (22)
    See also Journal Article An Overview of Forecasting Facing Breaks, Journal of Business Cycle Research, Springer (2016) View citations (22) (2016)
20. Deciding Between Alternative Approaches In Macroeconomics
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (3)
    See also Journal Article Deciding between alternative approaches in macroeconomics, International Journal of Forecasting, Elsevier (2018) View citations (20) (2018)
21. Detecting Volcanic Eruptions in Temperature Reconstructions by Designed Break-Indicator Saturation
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (31)
    See also Journal Article DETECTING VOLCANIC ERUPTIONS IN TEMPERATURE RECONSTRUCTIONS BY DESIGNED BREAK-INDICATOR SATURATION, Journal of Economic Surveys, Wiley Blackwell (2016) View citations (29) (2016)
22. Evaluating Multi-Step System Forecasts with Relatively Few Forecast-Error Observations
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (5)
    See also Journal Article Evaluating multi-step system forecasts with relatively few forecast-error observations, International Journal of Forecasting, Elsevier (2017) View citations (15) (2017)
23. Improving the Teaching of Econometrics
    Economics Series Working Papers, University of Oxford, Department of Economics
24. Policy Analysis, Forediction, and Forecast Failure
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)

2014

25. Robust Approaches to Forecasting
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
    See also Journal Article Robust approaches to forecasting, International Journal of Forecasting, Elsevier (2015) View citations (37) (2015)
26. Statistical Model Selection with 'Big Data'
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)

2013

27. Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (7)
28. Semi-automatic Non-linear Model selection
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
29. Some Fallacies in Econometric Modelling of Climate Change
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (6)
30. Step-indicator Saturation
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (26)
31. Unpredictability in Economic Analysis, Econometric Modeling and Forecasting
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (2)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2011) View citations (1)
    See also Journal Article Unpredictability in economic analysis, econometric modeling and forecasting, Journal of Econometrics, Elsevier (2014) View citations (37) (2014)

2012

32. Forecasting by factors, by variables, or both?
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (4)
33. Forecasting from Structural Econometric Models
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (2)
34. Mis-specification Testing: Non-Invariance of Expectations Models of Inflation
    Working Paper series, Rimini Centre for Economic Analysis View citations (1)
    See also Journal Article Misspecification Testing: Non-Invariance of Expectations Models of Inflation, Econometric Reviews, Taylor & Francis Journals (2014) View citations (12) (2014)
35. Model Discovery and Trygve Haavelmo's Legacy
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
    See also Journal Article MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY, Econometric Theory, Cambridge University Press (2015) View citations (44) (2015)
36. Model Selection in Equations with Many 'Small' Effects
    Working Paper series, Rimini Centre for Economic Analysis View citations (2)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2011) View citations (2)
    See also Journal Article Model Selection in Equations with Many ‘Small’ Effects, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2013) View citations (4) (2013)

2011

37. A Tale of 3 Cities: Model Selection in Over-, Exact, and Under-specified Equations
    Economics Series Working Papers, University of Oxford, Department of Economics
38. An Open-model Forecast-error Taxonomy
    Economics Series Working Papers, University of Oxford, Department of Economics
39. Anthropogenic Influences on Atmospheric CO2
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (11)
    See also Chapter Anthropogenic influences on atmospheric CO2, Chapters, Edward Elgar Publishing (2013) View citations (9) (2013)
40. Empirical Economic Model Discovery and Theory Evaluation
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (6)
    See also Journal Article Empirical Economic Model Discovery and Theory Evaluation, Rationality, Markets and Morals, Frankfurt School Verlag, Frankfurt School of Finance & Management (2011) View citations (6) (2011)
41. Forecasting breaks and forecasting during breaks
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (31)
42. Mathematical Models and Economic Forecasting: Some Uses and Mis-Uses of Mathematics in Economics
    Economics Series Working Papers, University of Oxford, Department of Economics
43. On Not Evaluating Economic Models by Forecast Outcomes
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (4)
44. The Properties of Model Selection when Retaining Theory Variables
    Discussion Papers, University of Copenhagen. Department of Economics View citations (4)
    Also in CREATES Research Papers, Department of Economics and Business Economics, Aarhus University (2011) View citations (4)

2010

45. A Low-Dimension Portmanteau Test for Non-linearity
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (37)
    See also Journal Article A low-dimension portmanteau test for non-linearity, Journal of Econometrics, Elsevier (2010) View citations (39) (2010)
46. An Automatic Test of Super Exogeneity
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (80)
47. Automatic Selection for Non-linear Models
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (12)
48. Climate Change: Lessons for our Future from the Distant Past
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
49. Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate
    Working Paper Series, European Central Bank View citations (27)
    See also Journal Article Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate, Journal of Business & Economic Statistics, Taylor & Francis Journals (2011) View citations (111) (2011)
50. Econometric Modelling of Changing Time Series
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (3)
51. Evaluating Automatic Model Selection
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (5)
    See also Journal Article Evaluating Automatic Model Selection, Journal of Time Series Econometrics, De Gruyter (2011) View citations (79) (2011)
52. Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (2)
53. Model Selection in Under-specified Equations Facing Breaks
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (2)
    See also Journal Article Model selection in under-specified equations facing breaks, Journal of Econometrics, Elsevier (2014) View citations (15) (2014)
54. On the Mathematical Basis of Inter-temporal Optimization
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (24)
55. RESEARCH AND THE ACADEMIC: A TALE OF TWO CULTURES
    Economics Discussion / Working Papers, The University of Western Australia, Department of Economics
56. Testing the Invariance of Expectations Models of Inflation
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (15)
    Also in Memorandum, Oslo University, Department of Economics (2010) View citations (13)

2008

57. Bayesian inference based only on simulated likelihood: particle filter analysis of dynamic economic models
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (12)
58. Forecasting with Equilibrium-correction Models during Structural Breaks
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (5)
    See also Journal Article Forecasting with equilibrium-correction models during structural breaks, Journal of Econometrics, Elsevier (2010) View citations (38) (2010)
59. Model Selection when there are Multiple Breaks
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (20)
    See also Journal Article Model selection when there are multiple breaks, Journal of Econometrics, Elsevier (2012) View citations (76) (2012)
60. The Long-Run Determinants of UK Wages, 1860-2004
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
    See also Journal Article The long-run determinants of UK wages, 1860-2004, Journal of Macroeconomics, Elsevier (2009) View citations (25) (2009)

2007

61. A Low-Dimension Collinearity-Robust Test for Non-linearity
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (1)
62. AUTOMATIC TESTS for SUPER EXOGENEITY
    Working Papers de Economia (Economics Working Papers), Católica Porto Business School, Universidade Católica Portuguesa View citations (7)
63. Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (8)
64. Selecting a Regression Saturated by Indicators
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (2)
    Also in Discussion Papers, University of Copenhagen. Department of Economics (2007)

2006

65. Forecasting Economic Aggregates by Disaggregates
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (50)
    Also in Working Paper Series, European Central Bank (2006) View citations (49)

2005

66. Forecasting Aggregates by Disaggregates
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (20)
67. 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

68. Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (14)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) View citations (17)
    See also Journal Article Non-parametric direct multi-step estimation for forecasting economic processes, International Journal of Forecasting, Elsevier (2005) View citations (69) (2005)
69. Parallel Computation in Econometrics: A Simplified Approach
    Economics Papers, Economics Group, Nuffield College, University of Oxford
70. Regression Models with Data-based Indicator Variables
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (18)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004)
    See also Journal Article Regression Models with Data‐based Indicator Variables, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2005) View citations (20) (2005)
71. Robustifying Forecasts from Equilibrium-Correction Models
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (1)
72. Unpredictability and the Foundations of Economic Forecasting
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (10)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) View citations (10)
73. We Ran One Regression
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (122)
    See also Journal Article We Ran One Regression, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2004) View citations (124) (2004)

2003

74. Sub-sample Model Selection Procedures in Gets Modelling
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (2)
75. The Properties of Automatic Gets Modelling
    Royal Economic Society Annual Conference 2003, Royal Economic Society View citations (25)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2003) View citations (9)
    See also Journal Article The Properties of Automatic "GETS" Modelling, Economic Journal, Royal Economic Society (2005) View citations (183) (2005)

2002

76. Economic Forecasting: Some Lessons from Recent Research
    Royal Economic Society Annual Conference 2002, Royal Economic Society View citations (10)
    Also in Working Paper Series, European Central Bank (2001) View citations (25)
    Economics Series Working Papers, University of Oxford, Department of Economics (2001) View citations (20)
    Economics Papers, Economics Group, Nuffield College, University of Oxford (2001) View citations (21)
    See also Journal Article Economic forecasting: some lessons from recent research, Economic Modelling, Elsevier (2003) View citations (65) (2003)

2001

77. Forecasting in the Presence of Structural Breaks and Policy Regime Shifts
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (5)
78. Model Identification and Non-unique Structure
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (3)
79. Pooling of Forecasts
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (12)
    See also Journal Article Pooling of forecasts, Econometrics Journal, Royal Economic Society (2004) View citations (227) (2004)

2000

80. A General Forecast-error Taxonomy
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (6)
81. Computer Automation of General-to-Specific Model Selection Procedures
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (12)
    Also in Computing in Economics and Finance 1999, Society for Computational Economics (1999) View citations (7)
    See also Journal Article Computer automation of general-to-specific model selection procedures, Journal of Economic Dynamics and Control, Elsevier (2001) View citations (168) (2001)
82. Constructing Historical Euro-Zone Data
    Economics Working Papers, European University Institute View citations (17)
    See also Journal Article Constructing Historical Euro-Zone Data, Economic Journal, Royal Economic Society (2001) View citations (107) (2001)
83. Explaining Cointegration Analysis: Part II
    Discussion Papers, University of Copenhagen. Department of Economics View citations (157)
    See also Journal Article Explaining Cointegration Analysis: Part II, The Energy Journal (2001) View citations (7) (2001)
84. Forecast Failure, Expectations Formation, and the Lucas Critique
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (4)
    See also Journal Article Forecast Failure, Expectations Formation and the Lucas Critique, Annals of Economics and Statistics, GENES (2002) View citations (5) (2002)
85. Forecasting with Difference-Stationary and Trend-Stationary Models
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (4)
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1998)
    Economic Research Papers, University of Warwick - Department of Economics (1998)
    See also Journal Article Forecasting with difference-stationary and trend-stationary models, Econometrics Journal, Royal Economic Society (2001) View citations (41) (2001)
86. Modelling UK Inflation over the Long Run
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (2)

1998

87. 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

88. 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

89. MULTI-STEP ESTIMATION FOR FORECASTING
    Economic Research Papers, University of Warwick - Department of Economics View citations (83)
    Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1996) View citations (84)
    See also Journal Article Multi-step Estimation for Forecasting, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1996) View citations (82) (1996)
90. The Econometric Analysis of Economic Policy
    Economics Working Papers, European University Institute View citations (24)
    See also Journal Article The Econometric Analysis of Economic Policy, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (1996) View citations (32) (1996)
91. The Influence of A. W. H. Phillips on Econometrics
    Economics Working Papers, European University Institute

1995

92. On the interactions of unit roots and exogeneity
    Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (21)

1994

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

1993

94. An Econometric Analysis of Money Demand in Italy
    Working Papers, Banca Italia - Servizio di Studi View citations (8)
95. 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)
96. Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom
    International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) View citations (9)

1992

97. Forecasting in Cointegrated Systems
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (27)
98. On the Limitations of Comparing Mean Square Forecast Errors
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (51)

1991

99. Log Income vs. Linear Income: An Application of the Encompassing Principle
    Working Papers, University of Hawaii at Manoa, Department of Economics View citations (1)
    See also Journal Article Log Income vs. Linear Income: An Application of the Encompassing Principle*, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2008) View citations (10) (2008)

1990

100. EVALUATING DYNAMIC ECONOMETRIC MODELS BY ENCOMPASSING THE VAR
     Economics Series Working Papers, University of Oxford, Department of Economics View citations (56)
101. 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)
102. 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 Testing superexogeneity and invariance in regression models, Journal of Econometrics, Elsevier (1993) View citations (151) (1993)
103. TESTING THE LUCAS CRITIQUE: A REVIEW
     Economics Series Working Papers, University of Oxford, Department of Economics View citations (51)
     Also in Working Papers, Queen Mary University of London, School of Economics and Finance (1989) View citations (2)
     Working Papers, Queen Mary University of London, School of Economics and Finance (1990) View citations (4)

1989

104. 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)
105. 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)

1987

106. 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)
107. Recent developments in the theory of encompassing
     LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (15)

1985

108. 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)
109. 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)
110. Procrustean Econometrics: Stretching and Squeezing Data
     CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)

1983

111. Exogeneity
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
     Also in The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1979)
     Economic Research Papers, University of Warwick - Department of Economics (1979)
     See also Journal Article Exogeneity, Econometrica, Econometric Society (1983) View citations (49) (1983)
112. The econometric analysis of economic time series
     LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (78)

1975

113. 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
114. Testing Dynamic Specification in Small Simultaneous Systems: An Application to a Model of Building Society Behavior in the United Kingdom
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (5)
115. The Limiting Distribution of Inconsistent Instrumental Variables Estimators in a Class of Stationary Stochastic Systems
     Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University

Undated

116. Beyer-Doornik-Hendry
     Instructional Stata datasets for econometrics, Boston College Department of Economics
117. Computationally-intensive Econometrics using a Distributed Matrix-programming Language
     Economics Papers, Economics Group, Nuffield College, University of Oxford View citations (4)
118. Log income versus linear income: an application of the encompassing principl
     Economics Papers, Economics Group, Nuffield College, University of Oxford
119. The UK Demand for Broad Money over the Long run
     Economics Papers, Economics Group, Nuffield College, University of Oxford

Journal Articles

2024

1. A Brief History of General‐to‐specific Modelling
   Oxford Bulletin of Economics and Statistics, 2024, 86, (1), 1-20
2. Common volatility shocks driven by the global carbon transition
   Journal of Econometrics, 2024, 239, (1)
3. Five sensitive intervention points to achieve climate neutrality by 2050, illustrated by the UK
   Renewable Energy, 2024, 226, (C) View citations (1)
4. Forecasting the UK top 1% income share in a shifting world
   Economica, 2024, 91, (363), 1047-1074 View citations (1)
5. Improving models and forecasts after equilibrium-mean shifts
   International Journal of Forecasting, 2024, 40, (3), 1085-1100
6. What a Puzzle! Unravelling Why UK Phillips Curves were Unstable
   Oxford Bulletin of Economics and Statistics, 2024, 86, (4), 743-760

2023

7. Analysing differences between scenarios
   International Journal of Forecasting, 2023, 39, (2), 754-771
   See also Working Paper Analyzing Differences between Scenarios, Economics Papers (2020) (2020)
8. CAN THE UK ACHIEVE NET ZERO GREENHOUSE GAS EMISSIONS BY 2050?
   National Institute Economic Review, 2023, 266, 11-21
   See also Working Paper Can the UK achieve net-zero greenhouse gas emissions by 2050?, Economics Series Working Papers (2021) View citations (1) (2021)
9. Robust Discovery of Regression Models
   Econometrics and Statistics, 2023, 26, (C), 31-51 View citations (3)
   See also Working Paper Robust Discovery of Regression Models, Economics Papers (2020) View citations (3) (2020)
10. The historical role of energy in UK inflation and productivity with implications for price inflation
    Energy Economics, 2023, 126, (C) View citations (2)

2022

11. Forecasting: theory and practice
    International Journal of Forecasting, 2022, 38, (3), 705-871 View citations (30)
    See also Working Paper Forecasting: theory and practice, Papers (2022) View citations (70) (2022)
12. Short-term forecasting of the coronavirus pandemic
    International Journal of Forecasting, 2022, 38, (2), 453-466 View citations (8)

2021

13. Forecasting Facing Economic Shifts, Climate Change and Evolving Pandemics
    Econometrics, 2021, 10, (1), 1-21
14. Forecasting Principles from Experience with Forecasting Competitions
    Forecasting, 2021, 3, (1), 1-28 View citations (9)
15. Modeling and forecasting the COVID‐19 pandemic time‐series data
    Social Science Quarterly, 2021, 102, (5), 2070-2087 View citations (1)
16. Modelling non-stationary ‘Big Data’
    International Journal of Forecasting, 2021, 37, (4), 1556-1575 View citations (2)
    See also Working Paper Modelling Non-stationary 'Big Data', Economics Series Working Papers (2020) (2020)
17. Selecting a Model for Forecasting
    Econometrics, 2021, 9, (3), 1-35 View citations (1)
    See also Working Paper Selecting a Model for Forecasting, Economics Series Working Papers (2018) View citations (2) (2018)
18. THE VALUE OF ROBUST STATISTICAL FORECASTS IN THE COVID-19 PANDEMIC
    National Institute Economic Review, 2021, 256, 19-43 View citations (6)

2020

19. Card forecasts for M4
    International Journal of Forecasting, 2020, 36, (1), 129-134 View citations (17)
20. Climate Econometrics: An Overview
    Foundations and Trends(R) in Econometrics, 2020, 10, (3-4), 145-322 View citations (18)

2018

21. Deciding between alternative approaches in macroeconomics
    International Journal of Forecasting, 2018, 34, (1), 119-135 View citations (20)
    See also Working Paper Deciding Between Alternative Approaches In Macroeconomics, Economics Series Working Papers (2016) View citations (3) (2016)
22. The future of macroeconomics: macro theory and models at the Bank of England
    Oxford Review of Economic Policy, 2018, 34, (1-2), 287-328 View citations (45)
    See also Working Paper The future of macroeconomics: Macro theory and models at the Bank of England, Economics Series Working Papers (2017) View citations (9) (2017)

2017

23. Evaluating Forecasts, Narratives and Policy Using a Test of Invariance
    Econometrics, 2017, 5, (3), 1-27 View citations (15)
24. Evaluating multi-step system forecasts with relatively few forecast-error observations
    International Journal of Forecasting, 2017, 33, (2), 359-372 View citations (15)
    See also Working Paper Evaluating Multi-Step System Forecasts with Relatively Few Forecast-Error Observations, Economics Series Working Papers (2016) View citations (5) (2016)
25. The impact of integrated measurement errors on modeling long-run macroeconomic time series
    Econometric Reviews, 2017, 36, (6-9), 568-587 View citations (3)
    See also Working Paper The Impact of Integrated Measurement Errors on Modelling Long-run Macroeconomic Time Series, Economics Series Working Papers (2017) View citations (10) (2017)

2016

26. An Overview of Forecasting Facing Breaks
    Journal of Business Cycle Research, 2016, 12, (1), 3-23 View citations (22)
    See also Working Paper An Overview of Forecasting Facing Breaks, Economics Series Working Papers (2016) View citations (22) (2016)
27. DETECTING VOLCANIC ERUPTIONS IN TEMPERATURE RECONSTRUCTIONS BY DESIGNED BREAK-INDICATOR SATURATION
    Journal of Economic Surveys, 2016, 30, (3), 403-429 View citations (29)
    See also Working Paper Detecting Volcanic Eruptions in Temperature Reconstructions by Designed Break-Indicator Saturation, Economics Series Working Papers (2016) View citations (31) (2016)
28. Outliers and Model Selection: Discussion of the Paper by Søren Johansen and Bent Nielsen
    Scandinavian Journal of Statistics, 2016, 43, (2), 360-365 View citations (3)

2015

29. Detecting Location Shifts during Model Selection by Step-Indicator Saturation
    Econometrics, 2015, 3, (2), 1-25 View citations (96)
30. MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
    Econometric Theory, 2015, 31, (1), 93-114 View citations (44)
    See also Working Paper Model Discovery and Trygve Haavelmo's Legacy, Economics Series Working Papers (2012) View citations (1) (2012)
31. Robust approaches to forecasting
    International Journal of Forecasting, 2015, 31, (1), 99-112 View citations (37)
    See also Working Paper Robust Approaches to Forecasting, Economics Series Working Papers (2014) View citations (1) (2014)

2014

32. Misspecification Testing: Non-Invariance of Expectations Models of Inflation
    Econometric Reviews, 2014, 33, (5-6), 553-574 View citations (12)
    See also Working Paper Mis-specification Testing: Non-Invariance of Expectations Models of Inflation, Working Paper series (2012) View citations (1) (2012)
33. Model selection in under-specified equations facing breaks
    Journal of Econometrics, 2014, 178, (P2), 286-293 View citations (15)
    See also Working Paper Model Selection in Under-specified Equations Facing Breaks, Economics Series Working Papers (2010) View citations (2) (2010)
34. Unpredictability in economic analysis, econometric modeling and forecasting
    Journal of Econometrics, 2014, 182, (1), 186-195 View citations (37)
    See also Working Paper Unpredictability in Economic Analysis, Econometric Modeling and Forecasting, Economics Papers (2013) View citations (2) (2013)

2013

35. Econometric Modelling: The ‘Consumption Function’ In Retrospect
    Scottish Journal of Political Economy, 2013, 60, (5), 495-522
    Also in Scottish Journal of Political Economy, 1983, 30, (3), 193-220 (1983) View citations (39)
36. Forecasting by factors, by variables, by both or neither?
    Journal of Econometrics, 2013, 177, (2), 305-319 View citations (38)
37. Model Selection in Equations with Many ‘Small’ Effects
    Oxford Bulletin of Economics and Statistics, 2013, 75, (1), 6-22 View citations (4)
    See also Working Paper Model Selection in Equations with Many 'Small' Effects, Working Paper series (2012) View citations (2) (2012)
38. 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

2012

39. Model selection when there are multiple breaks
    Journal of Econometrics, 2012, 169, (2), 239-246 View citations (76)
    See also Working Paper Model Selection when there are Multiple Breaks, Economics Series Working Papers (2008) View citations (20) (2008)

2011

40. Combining Disaggregate Forecasts or Combining Disaggregate Information to Forecast an Aggregate
    Journal of Business & Economic Statistics, 2011, 29, (2), 216-227 View citations (111)
    Also in Journal of Business & Economic Statistics, 2011, 29, (2), 216-227 (2011) View citations (114)
    See also Working Paper Combining disaggregate forecasts or combining disaggregate information to forecast an aggregate, Working Paper Series (2010) View citations (27) (2010)
41. Econometric Modelling of Time Series with Outlying Observations
    Journal of Time Series Econometrics, 2011, 3, (1), 26 View citations (37)
42. Empirical Economic Model Discovery and Theory Evaluation
    Rationality, Markets and Morals, 2011, 2, (46) View citations (6)
    See also Working Paper Empirical Economic Model Discovery and Theory Evaluation, Economics Series Working Papers (2011) View citations (6) (2011)
43. Evaluating Automatic Model Selection
    Journal of Time Series Econometrics, 2011, 3, (1), 33 View citations (79)
    See also Working Paper Evaluating Automatic Model Selection, Economics Series Working Papers (2010) View citations (5) (2010)
44. On adding over-identifying instrumental variables to simultaneous equations
    Economics Letters, 2011, 111, (1), 68-70 View citations (6)
45. Revisiting UK consumers' expenditure: cointegration, breaks and robust forecasts
    Applied Financial Economics, 2011, 21, (1-2), 19-32 View citations (1)

2010

46. A low-dimension portmanteau test for non-linearity
    Journal of Econometrics, 2010, 158, (2), 231-245 View citations (39)
    See also Working Paper A Low-Dimension Portmanteau Test for Non-linearity, Economics Series Working Papers (2010) View citations (37) (2010)
47. Forecasting with equilibrium-correction models during structural breaks
    Journal of Econometrics, 2010, 158, (1), 25-36 View citations (38)
    See also Working Paper Forecasting with Equilibrium-correction Models during Structural Breaks, Economics Series Working Papers (2008) View citations (5) (2008)
48. Nowcasting from disaggregates in the face of location shifts
    Journal of Forecasting, 2010, 29, (1-2), 200-214 View citations (25)
49. Professor Sir Clive W.J. Granger and Cointegration
    Journal of Financial Econometrics, 2010, 8, (2), 162-168

2009

50. Comment on "Excessive Ambitions" (by Jon Elster)
    Capitalism and Society, 2009, 4, (2), 21 View citations (1)
51. In memory of Clive Granger: an advisory board member of the journal
    Journal of Applied Econometrics, 2009, 24, (6), 871-873
52. NOWCASTING IS NOT JUST CONTEMPORANEOUS FORECASTING
    National Institute Economic Review, 2009, 210, (1), 71-89 View citations (37)
    Also in National Institute Economic Review, 2009, 210, 71-89 (2009) View citations (34)
53. The long-run determinants of UK wages, 1860-2004
    Journal of Macroeconomics, 2009, 31, (1), 5-28 View citations (25)
    See also Working Paper The Long-Run Determinants of UK Wages, 1860-2004, Economics Series Working Papers (2008) View citations (1) (2008)

2008

54. Automatic selection of indicators in a fully saturated regression
    Computational Statistics, 2008, 23, (2), 317-335 View citations (207)
    Also in Computational Statistics, 2008, 23, (2), 337-339 (2008) View citations (200)
55. Economic Forecasting in a Changing World
    Capitalism and Society, 2008, 3, (2), 20 View citations (24)
56. Elusive return predictability: Discussion
    International Journal of Forecasting, 2008, 24, (1), 22-28
57. Foreword
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 711-714
58. Guest Editors’ Introduction to Special Issue on Encompassing
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 715-719 View citations (3)
59. Linear vs. Log‐linear Unit‐Root Specification: An Application of Mis‐specification Encompassing*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 829-847 View citations (5)
60. Log Income vs. Linear Income: An Application of the Encompassing Principle*
    Oxford Bulletin of Economics and Statistics, 2008, 70, (s1), 807-827 View citations (10)
    See also Working Paper Log Income vs. Linear Income: An Application of the Encompassing Principle, Working Papers (1991) View citations (1) (1991)

2007

61. Co-Breaking: Recent Advances and a Synopsis of the Literature
    Journal of Business & Economic Statistics, 2007, 25, 33-51 View citations (63)

2006

62. A comment on "Specification searches in spatial econometrics: The relevance of Hendry's methodology"
    Regional Science and Urban Economics, 2006, 36, (2), 309-312 View citations (20)
63. Robustifying forecasts from equilibrium-correction systems
    Journal of Econometrics, 2006, 135, (1-2), 399-426 View citations (85)
64. Saturation in Autoregressive Models
    Notas Económicas, 2006, (24), 8-19 View citations (5)

2005

65. A DIALOGUE CONCERNING A NEW INSTRUMENT FOR ECONOMETRIC MODELING
    Econometric Theory, 2005, 21, (1), 278-297 View citations (12)
66. Evaluating a Model by Forecast Performance*
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 931-956 View citations (13)
67. Guest Editors’ Introduction: Information in Economic Forecasting
    Oxford Bulletin of Economics and Statistics, 2005, 67, (s1), 713-753 View citations (19)
68. Non-parametric direct multi-step estimation for forecasting economic processes
    International Journal of Forecasting, 2005, 21, (2), 201-218 View citations (69)
    See also Working Paper Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes, Economics Series Working Papers (2004) View citations (14) (2004)
69. Regression Models with Data‐based Indicator Variables
    Oxford Bulletin of Economics and Statistics, 2005, 67, (5), 571-595 View citations (20)
    See also Working Paper Regression Models with Data-based Indicator Variables, Economics Papers (2004) View citations (18) (2004)
70. The Properties of Automatic "GETS" Modelling
    Economic Journal, 2005, 115, (502), C32-C61 View citations (183)
    See also Working Paper The Properties of Automatic Gets Modelling, Royal Economic Society Annual Conference 2003 (2003) View citations (25) (2003)

2004

71. Pooling of forecasts
    Econometrics Journal, 2004, 7, (1), 1-31 View citations (227)
    See also Working Paper Pooling of Forecasts, Economics Papers (2001) View citations (12) (2001)
72. The Nobel Memorial Prize for Clive W. J. Granger
    Scandinavian Journal of Economics, 2004, 106, (2), 187-213 View citations (13)
73. We Ran One Regression
    Oxford Bulletin of Economics and Statistics, 2004, 66, (5), 799-810 View citations (124)
    See also Working Paper We Ran One Regression, Economics Papers (2004) View citations (122) (2004)

2003

74. Consistent Model Selection by an Automatic Gets Approach*
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 803-819 View citations (49)
75. Economic forecasting: some lessons from recent research
    Economic Modelling, 2003, 20, (2), 301-329 View citations (65)
    See also Working Paper Economic Forecasting: Some Lessons from Recent Research, Royal Economic Society Annual Conference 2002 (2002) View citations (10) (2002)
76. Guest Editors’ Introduction: Model Selection and Evaluation in Econometrics
    Oxford Bulletin of Economics and Statistics, 2003, 65, (s1), 681-688
77. J. DENIS SARGAN AND THE ORIGINS OF LSE ECONOMETRIC METHODOLOGY
    Econometric Theory, 2003, 19, (3), 457-480 View citations (23)

2002

78. Applied Econometrics without Sinning
    Journal of Economic Surveys, 2002, 16, (4), 591-604 View citations (7)
79. Forecast Failure, Expectations Formation and the Lucas Critique
    Annals of Economics and Statistics, 2002, (67-68), 21-40 View citations (5)
    See also Working Paper Forecast Failure, Expectations Formation, and the Lucas Critique, Economics Papers (2000) View citations (4) (2000)
80. Modelling methodology and forecast failure
    Econometrics Journal, 2002, 5, (2), 319-344 View citations (37)

2001

81. A special issue in memory of John Denis Sargan: studies in empirical macroeconometrics
    Journal of Applied Econometrics, 2001, 16, (3), 197-202 View citations (8)
82. Achievements and challenges in econometric methodology
    Journal of Econometrics, 2001, 100, (1), 7-10 View citations (22)
83. An Historical Perspective on Forecast Errors
    National Institute Economic Review, 2001, 177, (1), 100-112 View citations (6)
    Also in National Institute Economic Review, 2001, 177, 100-112 (2001) View citations (1)
84. Computer automation of general-to-specific model selection procedures
    Journal of Economic Dynamics and Control, 2001, 25, (6-7), 831-866 View citations (168)
    See also Working Paper Computer Automation of General-to-Specific Model Selection Procedures, Economics Series Working Papers (2000) View citations (12) (2000)
85. Constructing Historical Euro-Zone Data
    Economic Journal, 2001, 111, (469), F102-21 View citations (107)
    See also Working Paper Constructing Historical Euro-Zone Data, Economics Working Papers (2000) View citations (17) (2000)
86. Explaining Cointegration Analysis: Part II
    The Energy Journal, 2001, 22, (1), 75-120 View citations (7)
    Also in The Energy Journal, 2001, Volume22, (Number 1), 75-120 (2001) View citations (152)
    The Energy Journal, 2000, Volume21, (Number 1), 1-42 (2000) View citations (179)
    The Energy Journal, 2000, 21, (1), 1-42 (2000) View citations (6)
    See also Working Paper Explaining Cointegration Analysis: Part II, Discussion Papers (2000) View citations (157) (2000)
87. Forecasting with difference-stationary and trend-stationary models
    Econometrics Journal, 2001, 4, (1), S1-S19 View citations (41)
    See also Working Paper Forecasting with Difference-Stationary and Trend-Stationary Models, Economics Series Working Papers (2000) View citations (4) (2000)
88. Modelling UK inflation, 1875-1991
    Journal of Applied Econometrics, 2001, 16, (3), 255-275 View citations (56)

2000

89. Distinguished Fellow of the Economic Society of Australia, 1999: Adrian R. Pagan
    The Economic Record, 2000, 76, (233), 113-115
90. On detectable and non-detectable structural change
    Structural Change and Economic Dynamics, 2000, 11, (1-2), 45-65 View citations (64)
91. Reconstructing Aggregate Euro‐zone Data
    Journal of Common Market Studies, 2000, 38, (4), 613-624 View citations (25)
92. Reformulating Empirical Macroeconomic Modelling
    Oxford Review of Economic Policy, 2000, 16, (4), 138-59 View citations (15)

1999

93. 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)
94. Improving on 'Data mining reconsidered' by K.D. Hoover and S.J. Perez
    Econometrics Journal, 1999, 2, (2), 202-219 View citations (60)
95. On winning forecasting competitions in economics
    Spanish Economic Review, 1999, 1, (2), 123-160 View citations (26)

1998

96. 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)
97. Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK
    Empirical Economics, 1998, 23, (3), 267-294 View citations (100)
98. Forecasting economic processes
    International Journal of Forecasting, 1998, 14, (1), 111-131 View citations (54)
99. Foreword by the Editors
    Econometrics Journal, 1998, 1, (RegularPapers), i-ii
100. 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)
101. Inference in Cointegrating Models: UK M1 Revisited
     Journal of Economic Surveys, 1998, 12, (5), 533-572 View citations (96)
102. 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)

1997

103. An empirical study of seasonal unit roots in forecasting
     International Journal of Forecasting, 1997, 13, (3), 341-355 View citations (47)
104. John Denis Sargan
     Economic Journal, 1997, 107, (443), 1121-25 View citations (2)
105. On congruent econometric relations: A comment
     Carnegie-Rochester Conference Series on Public Policy, 1997, 47, (1), 163-190 View citations (12)
106. The Econometrics of Macroeconomic Forecasting
     Economic Journal, 1997, 107, (444), 1330-57 View citations (35)
107. The Implications for Econometric Modelling of Forecast Failure
     Scottish Journal of Political Economy, 1997, 44, (4), 437-461 View citations (47)

1996

108. 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)
109. Encompassing and Specificity
     Econometric Theory, 1996, 12, (4), 620-656 View citations (7)
110. Intercept Corrections and Structural Change
     Journal of Applied Econometrics, 1996, 11, (5), 475-94 View citations (115)
111. Multi-step Estimation for Forecasting
     Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 657-84 View citations (82)
     See also Working Paper MULTI-STEP ESTIMATION FOR FORECASTING, Economic Research Papers (1996) View citations (83) (1996)
112. Obituary: Jan Tinbergen, 1903–94
     Journal of the Royal Statistical Society Series A, 1996, 159, (3), 614-616
113. The Econometric Analysis of Economic Policy
     Oxford Bulletin of Economics and Statistics, 1996, 58, (4), 573-600 View citations (32)
     See also Working Paper The Econometric Analysis of Economic Policy, Economics Working Papers (1996) View citations (24) (1996)

1995

114. Econometrics and Business Cycle Empirics
     Economic Journal, 1995, 105, (433), 1622-36 View citations (22)
115. Forecasting in Cointegration Systems
     Journal of Applied Econometrics, 1995, 10, (2), 127-46 View citations (66)
116. Macro-economic Forecasting and Modelling
     Economic Journal, 1995, 105, (431), 1001-13 View citations (27)

1994

117. Can Econometrics Improve Economic Forecasting?
     Swiss Journal of Economics and Statistics (SJES), 1994, 130, (III), 267-298 View citations (9)
118. Encompassing in stationary linear dynamic models
     Journal of Econometrics, 1994, 63, (1), 245-270 View citations (10)
119. HUS Revisited
     Oxford Review of Economic Policy, 1994, 10, (2), 86-106 View citations (33)
120. Modelling Linear Dynamic Econometric Systems
     Scottish Journal of Political Economy, 1994, 41, (1), 1-33 View citations (75)

1993

121. Testing superexogeneity and invariance in regression models
     Journal of Econometrics, 1993, 56, (1-2), 119-139 View citations (151)
     See also Working Paper TESTING SUPER EXOGENEITY AND INVARIANCE IN REGRESSION MODELS, Economics Series Working Papers (1990) View citations (21) (1990)
122. The Demand for M1 in the USA: A Reply
     Economic Journal, 1993, 103, (420), 1158-69 View citations (3)

1992

123. An econometric analysis of TV advertising expenditure in the United Kingdom
     Journal of Policy Modeling, 1992, 14, (3), 281-311 View citations (17)
124. Testing Integration and Cointegration: An Overview
     Oxford Bulletin of Economics and Statistics, 1992, 54, (3), 225-55 View citations (27)
125. The Demand for M1 in the U.S.A., 1960–1988
     The Review of Economic Studies, 1992, 59, (1), 25-61 View citations (88)

1991

126. 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)
127. 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)
128. The response of consumption to income: A cross-country investigation: by John Y. Campbell and N. Gregory Mankiw
     European Economic Review, 1991, 35, (4), 764-767 View citations (3)
129. Using PC-NAIVE in Teaching Econometrics
     Oxford Bulletin of Economics and Statistics, 1991, 53, (2), 199-223 View citations (2)

1990

130. 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)

1989

131. A Re-analysis of Confluence Analysis
     Oxford Economic Papers, 1989, 41, (1), 35-52 View citations (8)

1988

132. Econometric analysis of small linear systems using PC-FIML
     Journal of Econometrics, 1988, 38, (1-2), 203-226 View citations (15)
133. Encompassing
     National Institute Economic Review, 1988, 125, (1), 88-103 View citations (3)
     Also in National Institute Economic Review, 1988, 125, 88-103 (1988) View citations (1)
134. Interpreting Long-run Equilibrium Solutions in Conventional Macro Models: A Comment
     Economic Journal, 1988, 98, (392), 808-17 View citations (9)
135. The Encompassing Implications of Feedback versus Feedforward Mechanisms in Econometrics
     Oxford Economic Papers, 1988, 40, (1), 132-49 View citations (71)

1986

136. Econometric Evaluation of Linear Macro-Economic Models
     The Review of Economic Studies, 1986, 53, (4), 671-690 View citations (302)
137. Econometric Modelling with Cointegrated Variables: An Overview
     Oxford Bulletin of Economics and Statistics, 1986, 48, (3), 201-12 View citations (153)
138. Using PC-GIVE in Econometrics Teaching
     Oxford Bulletin of Economics and Statistics, 1986, 48, (1), 87-98 View citations (7)

1985

139. Monetary Economic Myth and Econometric Reality
     Oxford Review of Economic Policy, 1985, 1, (1), 72-84 View citations (33)
140. Small-Sample Properties of ARCH Estimators and Tests
     Canadian Journal of Economics, 1985, 18, (1), 66-93 View citations (40)

1984

141. An Econometric Model of United Kingdom Building Societies
     Oxford Bulletin of Economics and Statistics, 1984, 46, (3), 185-210 View citations (9)

1983

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

1982

145. A reply to Professors Maasoumi and Phillips
     Journal of Econometrics, 1982, 19, (2-3), 203-213 View citations (6)
146. On the formulation of empirical models in dynamic econometrics
     Journal of Econometrics, 1982, 20, (1), 3-33 View citations (162)

1981

147. Interpreting econometric evidence: The behaviour of consumers' expenditure in the UK
     European Economic Review, 1981, 16, (1), 177-192 View citations (41)
148. Model formulation to simplify selection when specification is uncertain
     Journal of Econometrics, 1981, 16, (1), 159-159

1980

149. An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification
     The Review of Economic Studies, 1980, 47, (1), 21-45 View citations (31)
150. Autoreg: a computer program library for dynamic econometric models with autoregressive errors
     Journal of Econometrics, 1980, 12, (1), 85-102 View citations (10)

1979

151. The behaviour of inconsistent instrumental variables estimators in dynamic systems with autocorrelated errors
     Journal of Econometrics, 1979, 9, (3), 295-314 View citations (21)

1978

152. Econometric Modelling of the Aggregate Time-Series Relationship between Consumers' Expenditure and Income in the United Kingdom
     Economic Journal, 1978, 88, (352), 661-92 View citations (527)
153. Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England
     Economic Journal, 1978, 88, (351), 549-63 View citations (160)

1977

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

1976

155. Estimating Systems of Dynamic Reduced Form Equations with Vector Autoregressive Errors
     International Economic Review, 1976, 17, (2), 463-71 View citations (1)
156. The structure of simultaneous equations estimators
     Journal of Econometrics, 1976, 4, (1), 51-88 View citations (38)

1974

157. 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 View citations (1)
158. Monte Carlo methodology and the small sample behaviour of ordinary and two-stage least squares
     Journal of Econometrics, 1974, 2, (2), 151-174 View citations (11)
159. Stochastic Specification in an Aggregate Demand Model of the United Kingdom
     Econometrica, 1974, 42, (3), 559-78 View citations (17)

1972

160. Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study
     The Review of Economic Studies, 1972, 39, (2), 117-145 View citations (13)

1971

161. Maximum Likelihood Estimation of Systems of Simultaneous Regression Equations with Errors Generated by a Vector Autoregressive Process
     International Economic Review, 1971, 12, (2), 257-72 View citations (27)

1966

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

Books

2001

1. Forecasting Non-Stationary Economic Time Series, vol 1
   MIT Press Books, The MIT Press View citations (157)

2000

2. Econometrics: Alchemy or Science?: Essays in Econometric Methodology
   OUP Catalogue, Oxford University Press View citations (54)

1998

3. Forecasting Economic Time Series
   Cambridge Books, Cambridge University Press View citations (571)
   Also in Cambridge Books, Cambridge University Press (1998) View citations (563)

1997

4. The Foundations of Econometric Analysis
   Cambridge Books, Cambridge University Press View citations (4)
   Also in Cambridge Books, Cambridge University Press (1995) View citations (107)

1995

5. Dynamic Econometrics
   OUP Catalogue, Oxford University Press View citations (656)

1993

6. Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
   OUP Catalogue, Oxford University Press View citations (696)

Edited books

2011

1. The Oxford Handbook of Economic Forecasting
   OUP Catalogue, Oxford University Press View citations (154)

2006

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

2003

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

2000

4. Nonlinear Econometric Modeling in Time Series
   Cambridge Books, Cambridge University Press View citations (7)

Chapters

2024

1. Econometric forecasting of climate change
   Chapter 14 in Handbook of Research Methods and Applications in Macroeconomic Forecasting, 2024, pp 361-395

2022

2. Smooth Robust Multi-Horizon Forecasts
   A chapter in Essays in Honor of M. Hashem Pesaran: Prediction and Macro Modeling, 2022, vol. 43A, pp 143-165 View citations (1)
   See also Working Paper Smooth Robust Multi-Horizon Forecasts, Economics Group, Nuffield College, University of Oxford (2021) View citations (2) (2021)

2021

3. Oxford’s Contributions to Econometrics
   Springer

2019

4. John Denis Sargan (1924–1996)
   Palgrave Macmillan

2013

5. Anthropogenic influences on atmospheric CO2
   Chapter 12 in Handbook on Energy and Climate Change, 2013, pp 287-326 View citations (9)
   See also Working Paper Anthropogenic Influences on Atmospheric CO2, University of Oxford, Department of Economics (2011) View citations (11) (2011)

2009

6. The Methodology of Empirical Econometric Modeling: Applied Econometrics Through the Looking-Glass
   Palgrave Macmillan View citations (40)

2008

7. Chapter 1 Forecasting Annual UK Inflation Using an Econometric Model over 1875–1991
   A chapter in Forecasting in the Presence of Structural Breaks and Model Uncertainty, 2008, pp 3-39
8. Chapter 2 Forecasting UK Inflation: The Roles of Structural Breaks and Time Disaggregation
   A chapter in Forecasting in the Presence of Structural Breaks and Model Uncertainty, 2008, pp 41-92

2007

9. Preface to Econometric Modeling: A Likelihood Approach
   A chapter in Econometric Modeling: A Likelihood Approach, 2007 View citations (50)
10. The Bernoulli model, from Econometric Modeling: A Likelihood Approach
    A chapter in Econometric Modeling: A Likelihood Approach, 2007 View citations (38)

2006

11. Forecasting with Breaks
    Elsevier View citations (107)

2005

12. Bridging the Gap: Linking Economics and Econometrics
    Springer View citations (12)

2004

13. Causality and Exogeneity in Non-stationary Economic Time Series
    A chapter in New Directions in Macromodelling, 2004, pp 21-48

1984

14. Dynamic specification
    Chapter 18 in Handbook of Econometrics, 1984, vol. 2, pp 1023-1100 View citations (152)
15. Monte carlo experimentation in econometrics
    Chapter 16 in Handbook of Econometrics, 1984, vol. 2, pp 937-976 View citations (87)

Editor

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