Forecasting by factors, by variables, or both?
Author(s):
Jennifer L. Castle, David F. Hendry
Michael P. Clements
Date: April 2012
Keywords: Model selection, Factor models, Forecasting, Impulse-indicator saturation, Autometrics
Working Papers | David F Hendry
Email address: maureen.baker@nuffield.ox.ac.uk | Web Page
Forecasting from Structural Econometric Models
Author(s):
David F. Hendry
Grayham E. Mizon
Date: March 2012
Keywords: Structural models, Location shifts, Economic forecasting, Autometrics
Model Discovery and Trygve Haavelmo's Legacy
Author(s):
David F. Hendry
Soren Johansen
Date: March 2012
Keywords: Trygve Haavelmo, Model discovery, Theory retention, Impulse-indicator saturation, Autometrics
Anthropogenic Influences on Atmospheric CO2
Author(s):
David F. Hendry
Felix Pretis
Date: December 2011
Keywords: Climate change, CO2 emissions, Impulse-indicator saturation, (Autometrics).
Forecasting breaks and forecasting during breaks
Author(s): Jennifer L. Castle, Nicholas W.P. Fawcett, David F. Hendry
Date: February 2011
Keywords: Economic forecasting, Structural breaks, Information sets, Non-linearity
On Not Evaluating Economic Models by Forecast Outcomes
Author(s): Jennifer L. Castle, David F. Hendry
Date: February 2011
Keywords: Model evaluation, Forecast failure, Model selection
Unpredictability in Economic Analyis, Econometric Modelling and Forecasting
Author(s): David F. Hendry
Date: May 2011
Keywords: Unpredictability, 'Black Swans', Distributional shifts, forecasting, Model selection
An Open-model Forecast-error Taxonomy
Author(s):
David F. Hendry
Grayham E. Mizon
Date: June 2011
Keywords: Forecasting, Forecast-error taxonomies, Location shifts, Open models
A Tale of 3 Cities: Model Selection in Over-, Exact, and Under-specified Equations
Author(s): Jennifer L. Castle, David F. Hendry
Date: January 2011
Keywords: Model selection, congruence, mis-specification, impulse-indicator saturation, Autometrics
Mathematical Models and Economic Forecasting: Some Uses and Mis-Uses of Mathematics in Economics
Author(s): David F. Hendry
Date: February 2011
Keywords: Economic forecasting, structural breaks, model selection, expectations, impulse-indicator saturation, mathematical analyses
Empirical Economic Model Discovery and Theory Evaluation
Author(s): David F. Hendry
Date: February 2011
Keywords: Empirical discovery, theory evaluation, model selection, Autometrics
Model Selection in Equations with Many 'Small' Effects
Author(s): Jennifer L. Castle, Jurgen A. Doornik, David F. Hendry
Date: February 2011
Keywords: Model selection, high dimensionality, principal components, non-linearity, Monte Carlo
Testing the Invariance of Expectations Models of Inflation
Author(s):
Jennifer L. Castle, Jurgen A. Doornik, David F. Hendry
Ragnar Nymoen
Date: November 2010
Keywords: New-Keynesian Phillips curve, inflation expectations, structural breaks, impulse-indicator saturation
Model Selection in Under-specified Equations Facing Breaks
Author(s): Jennifer L. Castle, David F. Hendry
Date: October 2010
Keywords: Model selection, mis-specification, location shifts, impulse-indicator saturation, costs of search, costs of inferencee, Autometrics
On the Mathematical Basis of Inter-temporal Optimization
Author(s):
David F. Hendry
Grayham E. Mizon
Date: August 2010
Keywords: Inter-temporal optimization, Conditional expectations, Law of iterated expectations, Unanticipated breaks
Climate Change: Lessons for our Future from the Distant Past
Author(s): David F. Hendry
Date: May 2010
Keywords: Climate change, Mass extinctions, Greenhouse gases, Location shifts
Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts
Author(s):
David F. Hendry
Michael P. Clements
Date: May 2010
Keywords: Economic forecasting, Location shifts, Mis-specified models, Robust forecasts
An Automatic Test of Super Exogeneity
Author(s):
David F. Hendry
Carlos Santos
Date: January 2010
Keywords: Super exogeneity, General-to-specific, Impulse saturation, Test power, Co-breaking, UK M1
Evaluating Automatic Model Selection
Author(s): Jennifer L. Castle, Jurgen A. Doornik, David F. Hendry
Date: January 2010
Keywords: Model selection, Autometrics, Post-selection bias correction, Costs of search, Costs of inference
Automatic Selection for Non-linear Models
Author(s): Jennifer L. Castle, David F. Hendry
Date: January 2010
Keywords: Econometric methodology, Model selection, Autometrics, Non-linearity, Outlier, Returns to education
Model Selection when there are Multiple Breaks
Author(s): Jennifer L. Castle, Jurgen A. Doornik, David F. Hendry
Date: January 2010
Keywords: Impulse-indicator saturation, Location shifts, Model selection, Autometrics
A Low-Dimension Portmanteau Test for Non-linearity
Author(s): Jennifer L. Castle, David F. Hendry
Date: January 2010
Keywords: Functional form, Portmanteau test, Non-linearity, Principal components, Collinearity
Forecasting with Equilibrium-correction Models during Structural Breaks
Author(s): Jennifer L. Castle, Nicholas W.P. Fawcett, David F. Hendry
Date: January 2010
Keywords: Cointegration, Equilibrium-correction, Forecasting, Location shifts, Collinearity, M1
Econometric Modelling of Changing Time Series
Author(s):
David F. Hendry
Grayham E. Mizon
Date: January 2010
Keywords: Econometric modelling, Food expenditure, Structural breaks, Impulse-indicator saturation, Autometrics
The Long-Run Determinants of UK Wages, 1860-2004
Author(s): Jennifer L. Castle, David F. Hendry
Date: October 2008
Forecasting with Equilibrium-correction Models during Structural Breaks
Author(s): Jennifer L. Castle, Nicholas W.P. Fawcett, David F. Hendry
Date: October 2008
Keywords: Forecasting, Location Shifts, Equilibrium-Correction Models
Model Selection when there are Multiple Breaks
Author(s): Jennifer L. Castle, Jurgen A. Doornik, David F. Hendry
Date: October 2008
Keywords: Model Selection, General-to-Specific, Structural Breaks
Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation
Author(s): Jennifer L. Castle, David Hendry
Date: February 2007
Keywords: Inflation Forecasting, Structural Breaks, Robust Forecasts, Time-disaggregation, Foreign-error Taxonomies
Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes
Author(s): Guillaume Chevillon, David Hendry
Date: July 2004
Keywords: Adaptive Estimation, Multi-Step Estimation, Dynamic Forecasts, Model Mis-Specification
Sub-Sample Model Selection Procedures in Gets Modelling
Author(s): David Hendry, Hans-Martin Krolzig
Date: April 2003
The Properties of Automatic Gets Modelling
Author(s): David Hendry, Hans-Martin Krolzig
Date: March 2003
Regression Models with Data-based Indicator Variables
Author(s): David Hendry, Carlos Santos
Date: November 2003
Parallel Computation In Econometrics: A Simplified Approach
Author(s): Jurgen Doornik, Neil Shephard, David Hendry
Date: January 2003
Keywords: Code optimization, Econometrics, High-performance computing, Matrix-programming language, Monte Carlo, MPI, Ox, Parallel computing, Random number generation
Model Identification and Non-unique Structure
Author(s):
David Hendry
Maozu Lu, Grayham Mizon
Date: May 2001
Forecasting in the Presence of Structural Breaks and Policy Regime Shifts
Author(s):
David Hendry
Grayham Mizon
Date: September 2001
Economic Forecasting: Some Lessons from Recent Research
Author(s):
David Hendry
Michael P. Clements, Department of Economics, University of Warwick
Date: October 2001
Keywords: forecasting, non-stationarity, structural breaks, co-breaking, pooling, model selection
Computationally-intensive Econometrics using a Distributed Matrix-programming Language
Author(s): Jurgen Doornik, David Hendry, Neil Shephard
Date: 2001
Keywords: Distributed computing, Econometrics, High-performance computing, Matrix-programming language
Modelling UK Inflation over the Long Run
Author(s): David Hendry
Date: May 2000
Keywords: inflation, dynamic modelling, cointegration, structural breaks
Forecasting with Difference-Stationary and Trend-Stationary Models
Author(s):
David Hendry
Michael P. Clements
Date: March 2000
Keywords: difference stationary, trend stationary, forecastability
Forecast Failure, Expectations Formation, and the Lucas Critique
Author(s): David Hendry
Date: March 2000
Constructing Historical Euro-Zone Data
Author(s):
Jurgen Doornik, David Hendry
Andreas Beyer
Date: April 2000
Keywords: European Monetary Union, data aggregation, Divisia approach
Computer Automation of General-to-Specific Model Selection Procedures
Author(s): Hans-Martin Krolzig, David Hendry
Date: March 2000
Keywords: econometric methodology, model selection, encompassing, data mining, Monte Carlo experiments, money demand, consumption function