PUBLICATIONS
Books
Edited
Handbook of Economic Forecasting, Vol 1, North-Holland (joint with C.W.J. Granger and A. Timmermann), 2006.
Journal
Articles and Book Chapters
“Economic
Forecasting”, Journal of Economic Literature, 46, 3-56.
(joint with A.
Timmermann), 2008.
“Biases
in
Macroeconomic Forecasts: Irrationality or Asymmetric Loss?”, Journal of the
European Economic Association, 6(1), 122-157. (joint with
I. Komunjer and A.
Timmermann), 2008.
“Confidence
Sets
for the Date of a Single Break in Linear Time Series
Regressions”, Journal
of Econometrics, 141, 1196-1218. (joint with U. Mueller),
2007.
"Efficient
Tests for General Persistent Time Variation
in Regression Coefficients”, Review of Economic Studies,
73, 907-940, (joint
with U. Mueller), 2006.
“Forecasting with
Trending Data”, in Handbook of Economic
Forecasting, Volume 1 (Elliott, Granger and Timmermann eds), 2006.
“Minimizing
the Impact of the Initial Condition on Testing for Unit
Roots”, Journal of
Econometrics, 135, 285-310 (joint with U. Mueller), 2006
“Higher Power
Tests for Bilateral Failures of
PPP After Bretton Woods,” Journal of Money, Credit
and Banking, 38, 6,
1405-1430 (joint with E. Pesavento), 2006.
"Estimating
Loss Function Parameters", Review of Economic Studies,
72,
1107-1125, (with I.Komunjer and A.Timmermann), 2005.
“Optimal
Power for
Testing Potential Cointegrating Vectors with Known Parameters for
Nonstationarity”, Journal of Business and Economics
Statistics, 23,
34-48. (with E. Pesavento, M. Jansson). 2005. Download working paper
version PDF
"Optimal Forecast Combinations Under General Loss Functions and Forecast Error Distributions", Journal of Econometrics, 122,47-79. (with A. Timmermann), 2004. (PDF of WP)
“Evaluating Significance: Comments on ‘Size Matters’ by D. McClosky”, Journal of Socio-Economics, 33, 547-550, 2004.(with C.W.J. Granger).
"Tests for Unit Roots and the Initial Condition", Econometrica, 71, 1269-86 (with U. Mueller), 2003. (PDF of WP)
“Comment
on ‘Forecasting with a Real-Time
Data Set for Macroeconomists’ by Tom Stark and D.
Croushore”, (2002), Journal of
Macroeconomics, 24, 533-539.
“Confidence
Intervals for Autoregressive
Coefficients Near One”, Journal of Econometrics,
103, pp155-81 (with
J.Stock), 2001. (PDF of
WP)
"Estimating
Restricted Cointegrating
Vectors", Journal of Business and Economic Statistics",
18,
91-99, 2000. (PDF of
WP)
"Heterogenous
Expectations and Tests of
Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market",
Journal of Monetary Economics, 43, 435-56. (with Takatoshi
Ito) 1999. Download NBER working paper
version (PDF).
"Efficient Tests
for a Unit Root When
the Initial Observation is Drawn from its Unconditional Distribution",
International
Economic Review,
v40, pp767-783, 1999.
"The Robustness of
Cointegration Methods
when Regressors Almost Have Unit Roots",Econometrica,
66, pp149-58,
1998.
"International
Business Cycles and the
Current Account" (with A.Fatas) European Economic Review,
40,
pp361-87, 1996.
"Inference in
Models with Nearly
Nonstationary Regressors",(with C.L.Cavanagh and J.H.Stock), Econometric
Theory, v11, pp1131-47, 1995.
"Efficient Tests
for an Autoregressive
Unit Root", Econometrica, 64, pp813-836 (With
J.H.Stock,
T.J.Rothenberg), 1996.
"Inference in Time
Series Regression
When the Order of Integration of a Regressor is Unknown" Econometric
Theory, v10, pp 672-700, 1994. (with J.H.Stock).
"The Transmission
of Monetary Policy -
The Relationship Between Overnight Cash Rates" Economic Record,
v70, pp 19-25, 1994. (with R.A. Bewley).
"Some Evidence on
Option Prices as
Predictors of Volatility", Oxford Bulletin of Economics and
Statistics,
54, pp567-78, 1992. (with Malcolm Edey)
"The Role and
Performance of Financial
Futures and Options Markets in Australia", Ch6 in Developments
in
Australian Monetary Economics, C.Kearney and R.MacDonald eds.
Longman
Cheshire: Melbourne, 1991. (with M.Edey).
"Accounting for
Non-Stationarity in
Demand Systems", Ch4 pp58-73 in Contributions to Consumer
Demand and
Econometrics, R.A.Bewley and T.V.Hoa eds, McMillan: London,
1992. (with
R.A.Bewley).
Book
Reviews
"Nonparametric
Econometrics", by A. Pagan and A. Ullah, Journal of Economic
Literature,
38, 938-9.
"Time Series
Analysis: Nonstationary and
Noninvertible Distribution Theory", by K. Tanaka, Econometric
Theory,
14, 511-516.