David F. Hendry : Citation Profile

Are you David F. Hendry?

Rimini Centre for Economic Analysis (RCEA) (2% share)
Oxford University (98% share)

49

H index

129

i10 index

9775

Citations

RESEARCH PRODUCTION:

170

Articles

141

Papers

8

Books

18

Chapters

EDITOR:

4

Books edited

1

Series edited

RESEARCH ACTIVITY:

   58 years (1966 - 2024). See details.
   Cites by year: 168
   Journals where David F. Hendry has often published
   Relations with other researchers
   Recent citing documents: 275.    Total self citations: 150 (1.51 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phe33
   Updated: 2024-12-03    RAS profile: 2024-06-07    
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Relations with other researchers

Works with:

Castle, Jennifer (24)

Doornik, Jurgen (13)

Martinez, Andrew (7)

Sermpinis, Georgios (2)

Paccagnini, Alessia (2)

Shang, Han Lin (2)

Fiszeder, Piotr (2)

Thomakos, Dimitrios (2)

Franses, Philip Hans (2)

Guidolin, Massimo (2)

Clements, Michael (2)

Rubaszek, Michał (2)

Li, Feng (2)

Grossi, Luigi (2)

Reade, J (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with David F. Hendry.

Is cited by:

Ericsson, Neil (430)

Marcellino, Massimiliano (161)

Qin, Duo (112)

Clements, Michael (89)

muellbauer, john (83)

Nymoen, Ragnar (79)

Pesaran, Mohammad (72)

Mizon, Grayham (71)

Johansen, Soren (69)

Kapetanios, George (65)

Aron, Janine (64)

Cites to:

Castle, Jennifer (209)

Doornik, Jurgen (150)

Johansen, Soren (143)

Clements, Michael (117)

Mizon, Grayham (109)

Santos, Carlos (109)

Ericsson, Neil (86)

Engle, Robert (69)

Krolzig, Hans-Martin (65)

Phillips, Peter (57)

Reichlin, Lucrezia (48)

Main data

Where David F. Hendry has published?

Journals with more than one article published# docs
Journal of Econometrics21
Oxford Bulletin of Economics and Statistics17
International Journal of Forecasting13
Economic Journal10
Scottish Journal of Political Economy7
Journal of Applied Econometrics5
Econometrics Journal5
Oxford Review of Economic Policy4
Journal of Economic Surveys4
National Institute Economic Review4
Econometrics4
The Review of Economic Studies4
Econometric Theory4
National Institute Economic Review3
Journal of Business & Economic Statistics3
Econometrica3
International Economic Review3
Economica3
European Economic Review3
Empirical Economics3
Journal of Time Series Econometrics2
Econometric Reviews2
Scandinavian Journal of Economics2
Capitalism and Society2
Computational Statistics2
The Economic Record2
The Energy Journal2
Oxford Economic Papers2

Working Papers Series with more than one paper published# docs
Economics Series Working Papers / University of Oxford, Department of Economics58
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)11
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University4
Economic Research Papers / University of Warwick - Department of Economics3
The Warwick Economics Research Paper Series (TWERPS) / University of Warwick, Department of Economics3
Working Paper Series / European Central Bank3
Economics Working Papers / European University Institute3
Discussion Papers / University of Copenhagen. Department of Economics3
Working Papers / The George Washington University, Department of Economics, H. O. Stekler Research Program on Forecasting2
Working Paper series / Rimini Centre for Economic Analysis2
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

Recent works citing David F. Hendry (2024 and 2023)

YearTitle of citing document
2023Long Monthly European Temperature Series and the North Atlantic Oscillation. (2023). Teräsvirta, Timo ; Tersvirta, Timo ; Silvennoinen, Annastiina ; Kang, Jian ; He, Changli. In: Economics Working Papers. RePEc:aah:aarhec:2023-03.

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2023Time-Varying Parameters as Ridge Regressions. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2009.00401.

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2023Encompassing Tests for Nonparametric Regressions. (2022). Lapenta, Elia ; Lavergne, Pascal. In: Papers. RePEc:arx:papers:2203.06685.

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2023Predicting Performances of Mutual Funds using Deep Learning and Ensemble Techniques. (2022). Tran, Hien ; Nguyen, Huy ; Pham, Nga ; Dao, Binh ; Chu, Nghia. In: Papers. RePEc:arx:papers:2209.09649.

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2023Structural Break Detection in Quantile Predictive Regression Models with Persistent Covariates. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2302.05193.

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2023Hierarchical forecasting for aggregated curves with an application to day-ahead electricity price auctions. (2023). Ziel, Florian ; Ghelasi, Paul. In: Papers. RePEc:arx:papers:2305.16255.

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2024What Does it Take to Control Global Temperatures? A toolbox for estimating the impact of economic policies on climate. (2023). Kurita, Takamitsu ; Chevillon, Guillaume. In: Papers. RePEc:arx:papers:2307.05818.

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2023Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418.

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2023Forecasting inflation using disaggregates and machine learning. (2023). Medeiros, Marcelo C ; Boaretto, Gilberto. In: Papers. RePEc:arx:papers:2308.11173.

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2023Learning Probability Distributions of Day-Ahead Electricity Prices. (2023). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2310.02867.

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2023Incentives for Private Industrial Investment in historical perspective: the case of industrial promotion and investment promotion in Uruguay (1974-2010). (2023). Vallarino, Diego. In: Papers. RePEc:arx:papers:2310.07738.

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2023Forecasting skill of a crowd-prediction platform: A comparison of exchange rate forecasts. (2023). Lehmann, Niklas Valentin. In: Papers. RePEc:arx:papers:2312.09081.

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2024Non-stationary Financial Risk Factors and Macroeconomic Vulnerability for the UK. (2024). Szendrei, Tibor ; Varga, Katalin. In: Papers. RePEc:arx:papers:2404.01451.

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2024Judgment in macroeconomic output growth predictions: Efficiency, accuracy and persistence. (2024). Pedersen, Michael. In: Papers. RePEc:arx:papers:2404.04105.

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2023.

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2023The 2021–22 Surge in Inflation. (2023). Uzeda, Luis ; MacGee, James (Jim) ; Kryvtsov, Oleksiy. In: Discussion Papers. RePEc:bca:bocadp:23-3.

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2024Nowcasting Italian GDP growth: a Factor MIDAS approach. (2024). Silvestrini, Andrea ; Prifti, Orest ; Ceci, Donato. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1446_24.

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2023Out‐of‐sample stock return predictability in emerging markets. (2018). Bahrami, Afsaneh ; Uylangco, Katherine ; Shamsuddin, Abul. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:3:p:727-750.

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2024The nexus between national and regional reporting of economic news: Evidence from the United Kingdom and Scotland. (2024). Kwiatkowski, Andrzej ; Rambaccussing, Dooruj. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:76:y:2024:i:2:p:371-393.

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2023The Financialization of Coffee, Cocoa and Cotton Value Chains: The Role of Physical Actors. (2023). Gunter, Ulrich ; Troster, Bernhard. In: Development and Change. RePEc:bla:devchg:v:54:y:2023:i:6:p:1550-1574.

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2024Do markets Trump politics? Fossil and renewable market reactions to major political events. (2024). Sterner, Thomas ; Mukanjari, Samson. In: Economic Inquiry. RePEc:bla:ecinqu:v:62:y:2024:i:2:p:805-836.

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2023Heterogeneous predictive association of CO2 with global warming. (2023). Ramos, Andrey ; Gonzalo, Jesus ; Dolado, Juan J ; Chen, Liang. In: Economica. RePEc:bla:econom:v:90:y:2023:i:360:p:1397-1421.

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2024Good risk measures, bad statistical assumptions, ugly risk forecasts. (2024). Poudyal, Niraj ; Michaelides, Michael. In: The Financial Review. RePEc:bla:finrev:v:59:y:2024:i:2:p:519-543.

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2023What do indebted employees do? Financialisation and the decline of industrial action. (2023). Gouzoulis, Giorgos. In: Industrial Relations Journal. RePEc:bla:indrel:v:54:y:2023:i:1:p:71-94.

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2023Introducing dominant‐currency pricing in the ECBs global macroeconomic model. (2020). Meuchelböck, Saskia ; Georgiadis, Georgios ; Mosle, Saskia. In: International Finance. RePEc:bla:intfin:v:23:y:2020:i:2:p:234-256.

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2023Productivity in Indonesian agriculture: Impacts of domestic and international research. (2023). Warr, Peter. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:74:y:2023:i:3:p:835-856.

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2023Recent developments of the autoregressive distributed lag modelling framework. (2023). Cho, Jin Seo ; Shin, Yongcheol ; Greenwoodnimmo, Matthew. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:1:p:7-32.

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2023.

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2023Information Recovery in Complex Economic Systems. (2023). Judge, George. In: Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series. RePEc:cdl:agrebk:qt4jj70102.

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2023Disentangling Demand and Supply Inflation Shocks from Chilean Electronic Payment Data. (2023). Hernandez-Roman, L G ; Eterovic, Nicolas ; Carlomagno, Guillermo. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:986.

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2023Heterogeneous Predictive Association of CO2 with Global Warming. (2023). Ramos, Andrey David ; Muoz, Jesus Gonzalo ; Dolado, Juan Jose ; Chen, Liang. In: UC3M Working papers. Economics. RePEc:cte:werepe:36451.

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2023The pass through of monetary policy to euro area bank interest rates. (2023). Michail, Nektarios ; Louka, Kyriaki G. In: Working Papers. RePEc:cyb:wpaper:2023-2.

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2023Estimation of confidence intervals for decompositions and other complex demographic estimators. (2023). Hendi, Arun. In: Demographic Research. RePEc:dem:demres:v:49:y:2023:i:5.

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2024ECB macroeconometric models for forecasting and policy analysis. (2024). Priftis, Romanos ; Banbura, Marta ; Kase, Hanno ; Fagan, Gabriel ; Rigato, Rodolfo Dinis ; Bokan, Nikola ; Zimic, Sreko ; Babura, Marta ; Warne, Anders ; Angelini, Elena ; Santoro, Sergio ; Von-Pine, Eliott ; Paredes, Joan ; Paries, Matthieu Darracq ; Invernizzi, Marco ; Muller, Georg ; Ciccarelli, Matteo ; Giammaria, Alessandro ; Montes-Galdon, Carlos ; Cocchi, Sara ; Lalik, Magdalena ; Brunotte, Stella ; Kornprobst, Antoine ; Koutsoulis, Iason ; Gumiel, Jose Emilio. In: Occasional Paper Series. RePEc:ecb:ecbops:2024344.

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Advancements in stress-testing methodologies for financial stability applications. (2024). Shaw, Frances ; Poblacion, Francisco Javier ; Metzler, Julian ; le Grand, Catherine ; Chalf, Yasmine ; Konietschke, Paul ; Trachana, Zoe ; Figueres, Juan Manuel ; Ortl, Aljosa ; Durrani, Agha ; Georgescu, Oana-Maria ; Grassi, Alberto ; Franch, Fabio ; Giglio, Carla ; Sydow, Matthias ; Marques, Aurea Ponte ; Gross, Johannes ; Budnik, Katarzyna. In: Occasional Paper Series. RePEc:ecb:ecbops:2024348.

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2023A deep dive into the capital channel of risk sharing in the euro area. (2023). Born, Alexandra ; Fuentes, Natalia Martin ; Lambert, Claudia ; Kastelein, Wieger ; Bremus, Franziska. In: Working Paper Series. RePEc:ecb:ecbwps:20232864.

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2024Nowcasting consumer price inflation using high-frequency scanner data: evidence from Germany. (2024). Menz, Jan-Oliver ; Wieland, Elisabeth ; Schnorrenberger, Richard ; Carstensen, Kai ; Beck, Gunter W. In: Working Paper Series. RePEc:ecb:ecbwps:20242930.

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2023Relative Impact of the U.S. Energy Market Sentiments on Stocks and ESG Index Returns: Evidence from GCC Countries. (2023). Mohnot, Rajesh ; Verma, Rahul. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-02-32.

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2023Do Clean Energy and Financial Innovation Induce SME Performance? Clarifying the Nexus between Financial Innovation, Technological Innovation, Clean Energy, Environmental Degradation, and SMEs Performa. (2023). Kler, Rajnish ; Qamruzzaman, MD. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-03-36.

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2023Heat load forecasting using adaptive spatial hierarchies. (2023). Madsen, Henrik ; Moller, Jan Kloppenborg ; Sorensen, Mikkel Lindstrom ; Bergsteinsson, Hjorleifur G. In: Applied Energy. RePEc:eee:appene:v:350:y:2023:i:c:s0306261923010401.

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2023Residential energy consumption forecasting using deep learning models. (2023). Dias, Bruno H ; Silva, Walquiria N ; Villela, Saulo Moraes ; Vitor, Paulo. In: Applied Energy. RePEc:eee:appene:v:350:y:2023:i:c:s0306261923010693.

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2023Quantum monte carlo for economics: Stress testing and macroeconomic deep learning. (2023). Bromley, Thomas R ; Guala, Diego ; Priazhkina, Sofia ; Skavysh, Vladimir. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923000866.

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2024The simple macroeconometrics of the quantity theory and the welfare cost of inflation. (2024). Stewart, Kenneth G. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:162:y:2024:i:c:s0165188924000344.

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2023Political budget cycles in military expenditures: A meta-analysis. (2023). Klomp, Jeroen. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:1083-1102.

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2023The stability of UK households Divisia money balances. (2023). Barlow, David. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:77:y:2023:i:c:p:451-459.

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2023Do more stringent policies reduce daily COVID-19 case counts? Evidence from Canadian provinces. (2023). Lam, Jean-Paul ; Agarwal, Rishav Raj ; Zhang, Qihuang ; Baker, John David ; Sen, Anindya. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:225-242.

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2023Asymmetries in multi-target monetary policy rule and the role of uncertainty: Evidence from China. (2023). Tian, Hao ; Zuo, Yulan ; Long, Shaobo. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:80:y:2023:i:c:p:278-296.

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2023How many fundamentals should we include in the behavioral equilibrium exchange rate model?. (2023). Rubaszek, Michał ; Ca, Michele. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s026499932200308x.

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2023Transition risk of a petroleum currency. (2023). Hammersland, Roger ; Benedictow, Andreas. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323003085.

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2024A micro-macro approach for the evaluation of fiscal policies: The case of the Italian tax-benefit reform. (2024). Suta, Cornelia-Madalina ; Longo, Enrico ; Figari, Francesco ; Alexandri, Eva. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000452.

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2023The British Stock Market, currencies, brexit, and media sentiments: A big data analysis. (2023). Das, Pranab ; Mukherjee, Debashis ; Marjit, Sugata ; Basak, Gopal K ; Yang, Lei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001966.

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2024Improving volatility forecasts: Evidence from range-based models. (2024). Fiszeder, Piotr ; Fadziski, Marcin ; Molnar, Peter. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001420.

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2023Quantity or quality: Environmental legislation and corporate green innovations. (2023). Zou, Xinyu ; Zhang, Zhan ; Liu, Wei ; Huang, Xiaoqi. In: Ecological Economics. RePEc:eee:ecolec:v:204:y:2023:i:pb:s0921800922003457.

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2023Penalized time-varying model averaging. (2023). Hong, Yongmiao ; Zhang, Xinyu ; Wang, Shouyang ; Sun, Yuying. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1355-1377.

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2023We modeled long memory with just one lag!. (2023). Chevillon, Guillaume ; Bauwens, Luc ; Laurent, Sebastien. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:1:s0304407623001616.

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2023Comparing forecasting performance in cross-sections. (2023). Zhu, Yinchu ; Timmermann, Allan ; Qu, Ritong. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002256.

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2024Modelling cycles in climate series: The fractional sinusoidal waveform process. (2024). Proietti, Tommaso ; Maddanu, Federico. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407622000987.

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2024Sieve bootstrap inference for linear time-varying coefficient models. (2024). Lin, Yicong ; Friedrich, Marina. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407622001701.

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2024Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change. (2024). Pretis, Felix ; Jiao, Xiyu ; Schwarz, Moritz. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:1:s0304407623002634.

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2023Seasonality in High Frequency Time Series. (2023). Proietti, Tommaso ; Pedregal, Diego J. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:62-82.

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2023Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29.

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2024A new macro-financial condition index for the euro area. (2024). MORANA, CLAUDIO. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:64-87.

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2023An independent European macroeconomics? A history of European macroeconomics through the lens of the European Economic Review. (2023). Goutsmedt, Aurélien ; Truc, Alexandre. In: European Economic Review. RePEc:eee:eecrev:v:158:y:2023:i:c:s0014292123001873.

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2023Capacity planning for effective cohorting of hemodialysis patients during the coronavirus pandemic: A case study. (2023). Tuglular, Serhan ; Gunes, Evrim D ; Balcik, Burcu ; Kurbanzade, Ali Kaan ; Ozmemis, Cagri. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:1:p:276-291.

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2023Loss function-based change point detection in risk measures. (2023). Wang, Shixuan ; Lazar, Emese ; Xue, Xiaohan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:415-431.

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2024On the update frequency of univariate forecasting models. (2024). Petropoulos, Fotios ; Spiliotis, Evangelos. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:111-121.

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2024Combining probabilistic forecasts of intermittent demand. (2024). Petropoulos, Fotios ; Kang, Yanfei ; Wang, Shengjie. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:3:p:1038-1048.

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2023The COVID-19 pandemic and financial markets in Central Europe: Macroeconomic measures and international policy spillovers. (2023). Stawasz-Grabowska, Ewa ; Janus, Jakub ; Grabowski, Wojciech. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s156601412200108x.

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2023Turkey: From a thriving economic past towards a rugged future? - An empirical analysis on the Turkish financial markets. (2023). Kiohos, Apostolos ; Nikas, Christos ; Stoupos, Nikolaos. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122001091.

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2023Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321.

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2023Score-driven threshold ice-age models: Benchmark models for long-run climate forecasts. (2023). Escribano, Alvaro ; Blazsek, Szabolcs. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988323000208.

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2023Modelling Australian electricity prices using indicator saturation. (2023). Apergis, Nicholas ; Wang, Shixuan ; Reade, James ; Pan, Wei-Fong. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001147.

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2023Distributional neural networks for electricity price forecasting. (2023). Weron, Rafał ; Ziel, Florian ; Narajewski, Micha ; Marcjasz, Grzegorz. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003419.

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2023Social and environmental events disrupt the relation between motor gasoline prices and market fundamentals. (2023). Schroer, Colter ; Kaufmann, Robert K. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004127.

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2023Energy price volatility affects decisions to purchase energy using capital: Motor vehicles. (2023). Kaufmann, Robert K. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004139.

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2023Long monthly European temperature series and the North Atlantic Oscillation. (2023). Teräsvirta, Timo ; Silvennoinen, Annastiina ; He, Changli ; Terasvirta, Timo ; Kang, Jian. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323005017.

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More than 100 citations found, this list is not complete...

David F. Hendry is editor of

Journal
Oxford Bulletin of Economics and Statistics

David F. Hendry has edited the books:

YearTitleTypeCited

Works by David F. Hendry:

YearTitleTypeCited
2007Selecting a Regression Saturated by Indicators In: CREATES Research Papers.
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2007Selecting a Regression Saturated by Indicators.(2007) In: Discussion Papers.
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This paper has nother version. Agregated cites: 2		paper
2011The Properties of Model Selection when Retaining Theory Variables In: CREATES Research Papers.
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2011The Properties of Model Selection when Retaining Theory Variables.(2011) In: Discussion Papers.
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This paper has nother version. Agregated cites: 2		paper
2002Forecast Failure, Expectations Formation and the Lucas Critique In: Annals of Economics and Statistics.
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2000Forecast Failure, Expectations Formation, and the Lucas Critique.(2000) In: Economics Papers.
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This paper has nother version. Agregated cites: 9		paper
1991An Econometric Analysis of U.K. Money Demand in Monetary Trends in the United States and the United Kingdom by Milton Friedman and Anna Schwartz. In: American Economic Review.
[Full Text][Citation analysis]		article139
1989An econometric analysis of UK money demand in MONETARY TRENDS IN THE UNITED STATES AND THE UNITED KINGDOM by Milton Friedman and Anna J. Schwartz.(1989) In: International Finance Discussion Papers.
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2000Explaining Cointegration Analysis: Part 1 In: The Energy Journal.
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1985Conditional econometric modelling : an application to new house prices in the United Kingdom In: International Finance Discussion Papers.
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1989Encompassing and rational expectations: how sequential corroboration can imply refutation In: International Finance Discussion Papers.
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1999Encompassing and rational expectations: How sequential corroboration can imply refutation.(1999) In: Empirical Economics.
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1993Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom In: International Finance Discussion Papers.
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2015Detecting Location Shifts during Model Selection by Step-Indicator Saturation In: Econometrics.
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2006Saturation in Autoregressive Models In: Notas Económicas.
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2010Testing the Invariance of Expectations Models of Inflation.(2010) In: Economics Series Working Papers.
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1971Maximum Likelihood Estimation of Systems of Simultaneous Regression Equations with Errors Generated by a Vector Autoregressive Process. In: International Economic Review.
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1974Maximum Likelihood Estimation of Systems of Simultaneous Regression Equations with Errors Generated by a Vector Autoregressive Process: A Correction. In: International Economic Review.
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1976Estimating Systems of Dynamic Reduced Form Equations with Vector Autoregressive Errors. In: International Economic Review.
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2001Forecasting Non-Stationary Economic Time Series In: MIT Press Books.
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2001Computationally-intensive Econometrics using a Distributed Matrix-programming Language In: Economics Papers.
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2001Model Identification and Non-unique Structure In: Economics Papers.
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2001Forecasting in the Presence of Structural Breaks and Policy Regime Shifts In: Economics Papers.
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2003Sub-sample Model Selection Procedures in Gets Modelling In: Economics Papers.
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2004Regression Models with Data-based Indicator Variables In: Economics Papers.
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2004Regression Models with Data-based Indicator Variables.(2004) In: Economics Papers.
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2004Robustifying Forecasts from Equilibrium-Correction Models In: Economics Papers.
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2004Parallel Computation in Econometrics: A Simplified Approach In: Economics Papers.
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2019Some forecasting principles from the M4 competition In: Economics Papers.
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2020A Short History of Macro-econometric Modelling In: Economics Papers.
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2020First in, First out: Econometric Modelling of UK Annual CO_2 Emissions, 1860–2017 In: Economics Papers.
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2020Short-term forecasting of the Coronavirus Pandemic - 2020-04-27 In: Economics Papers.
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1972Maximum Likelihood Estimation of Difference Equations with Moving Average Errors: A Simulation Study In: The Review of Economic Studies.
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1980An Empirical Application and Monte Carlo Analysis of Tests of Dynamic Specification In: The Review of Economic Studies.
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1986Econometric Evaluation of Linear Macro-Economic Models In: The Review of Economic Studies.
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1992The Demand for M1 in the U.S.A., 1960–1988 In: The Review of Economic Studies.
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2000Modelling UK Inflation over the Long Run In: Economics Series Working Papers.
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2007Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation In: Economics Series Working Papers.
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2007A Low-Dimension Collinearity-Robust Test for Non-linearity In: Economics Series Working Papers.
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2000Constructing Historical Euro-Zone Data In: Economics Series Working Papers.
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2010Automatic Selection for Non-linear Models In: Economics Series Working Papers.
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2010Econometric Modelling of Changing Time Series In: Economics Series Working Papers.
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2010An Automatic Test of Super Exogeneity In: Economics Series Working Papers.
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2010Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts In: Economics Series Working Papers.
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2010Climate Change: Lessons for our Future from the Distant Past In: Economics Series Working Papers.
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2011A Tale of 3 Cities: Model Selection in Over-, Exact, and Under-specified Equations In: Economics Series Working Papers.
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2011Empirical Economic Model Discovery and Theory Evaluation In: Economics Series Working Papers.
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2011Empirical Economic Model Discovery and Theory Evaluation.(2011) In: Rationality, Markets and Morals.
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2011Mathematical Models and Economic Forecasting: Some Uses and Mis-Uses of Mathematics in Economics In: Economics Series Working Papers.
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2011Forecasting breaks and forecasting during breaks In: Economics Series Working Papers.
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2011On Not Evaluating Economic Models by Forecast Outcomes In: Economics Series Working Papers.
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2011An Open-model Forecast-error Taxonomy In: Economics Series Working Papers.
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2012Forecasting from Structural Econometric Models In: Economics Series Working Papers.
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2012Forecasting by factors, by variables, or both? In: Economics Series Working Papers.
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2013Some Fallacies in Econometric Modelling of Climate Change In: Economics Series Working Papers.
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2013Semi-automatic Non-linear Model selection In: Economics Series Working Papers.
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2013Step-indicator Saturation In: Economics Series Working Papers.
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2013Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview In: Economics Series Working Papers.
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2014Statistical Model Selection with Big Data In: Economics Series Working Papers.
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2016An Overview of Forecasting Facing Breaks In: Economics Series Working Papers.
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2016An Overview of Forecasting Facing Breaks.(2016) In: Journal of Business Cycle Research.
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2016Improving the Teaching of Econometrics In: Economics Series Working Papers.
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2016Policy Analysis, Forediction, and Forecast Failure In: Economics Series Working Papers.
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2017The Impact of Integrated Measurement Errors on Modelling Long-run Macroeconomic Time Series In: Economics Series Working Papers.
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2017The impact of integrated measurement errors on modeling long-run macroeconomic time series.(2017) In: Econometric Reviews.
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1989Testing the Lucas Critique: A Review.(1989) In: Working Papers.
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1990Testing the Lucas Critique: A Review.(1990) In: Working Papers.
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1990EVALUATING DYNAMIC ECONOMETRIC MODELS BY ENCOMPASSING THE VAR. In: Economics Series Working Papers.
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1992On the Limitations of Comparing Mean Square Forecast Errors. In: Economics Series Working Papers.
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1992Forecasting in Cointegrated Systems. In: Economics Series Working Papers.
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2000Econometrics: Alchemy or Science?: Essays in Econometric Methodology In: OUP Catalogue.
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2009The Methodology of Empirical Econometric Modeling: Applied Econometrics Through the Looking-Glass In: Palgrave Macmillan Books.
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2019John Denis Sargan (1924–1996) In: Palgrave Macmillan Books.
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2007The Bernoulli model, from Econometric Modeling: A Likelihood Approach In: Introductory Chapters.
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2007Preface to Econometric Modeling: A Likelihood Approach In: Introductory Chapters.
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2012Mis-specification Testing: Non-Invariance of Expectations Models of Inflation In: Working Paper series.
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2014Misspecification Testing: Non-Invariance of Expectations Models of Inflation.(2014) In: Econometric Reviews.
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2005Forecasting Aggregates by Disaggregates In: Computing in Economics and Finance 2005.
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1994Can Econometrics Improve Economic Forecasting? In: Swiss Journal of Economics and Statistics (SJES).
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2008Automatic selection of indicators in a fully saturated regression.(2008) In: Computational Statistics.
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1998Exogeneity, causality, and co-breaking in economic policy analysis of a small econometric model of money in the UK In: Empirical Economics.
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1998Friedman and Schwartz (1982) revisited: Assessing annual and phase-average models of money demand in the United Kingdom In: Empirical Economics.
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1999On winning forecasting competitions in economics In: Spanish Economic Review.
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2021Oxford’s Contributions to Econometrics In: Springer Books.
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2005Bridging the Gap: Linking Economics and Econometrics In: Springer Books.
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2011Revisiting UK consumers expenditure: cointegration, breaks and robust forecasts In: Applied Financial Economics.
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2010RESEARCH AND THE ACADEMIC: A TALE OF TWO CULTURES In: Economics Discussion / Working Papers.
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