Jennifer L. Castle

Magdalen College, Oxford, OX1 4AU
E-mail: jennifer.castle@magd.ox.ac.uk
Tel: +44 (0)1865 276067

I am an Economics Fellow at Magdalen College, Oxford, and a member of the Institute for Economic Modelling, Oxford Martin School, University of Oxford. My research interests lie in the fields of model selection, forecasting, time-series econometrics and applied macro-economics.

In particular, my research focuses on econometric modelling and the use of general-to-specific methodology in modelling economic time series, modelling non-linear economic time series and macro-economic forecasting in theory and practice. Applications include inflation, unemployment and the output gap.

My Curriculum Vitae is available here.

Research
Publications
Castle, J.L., X. Qin and W.R. Reed (2011), ‘Using Model Selection Algorithms to Obtain Reliable Coefficient Estimates’, Journal of Economic Surveys, forthcoming.
Castle, J.L. and D.F. Hendry (2011), ‘On Not Evaluating Economic Models by Forecast Outcomes’, Istanbul University Journal of the School of Business Administration, 40(1), pp. 1-14.
Castle, J.L., J.A. Doornik and D.F. Hendry (2011), ‘Evaluating Automatic Model Selection’, Journal of Time Series Econometrics, 3(1), Article 8.
Castle, J.L. and D.F. Hendry (2011), ‘Automatic Selection for Non-linear Models’, in Wang, L., Garnier, H. and Jackman, T. (eds.), System Identification, Environmental Modelling and Control, Springer, forthcoming.
Castle, J.L., N.W.P. Fawcett and D.F. Hendry (2011), 'Forecasting Breaks and During Breaks', in Clements, M.P. and Hendry, D.F. (eds.), Oxford Handbook of Economic Forecasting, Oxford University Press, Chapter 11, pp. 315-354.
Castle, J.L., N.W.P. Fawcett and D.F. Hendry (2010), ‘Forecasting with Equilibrium-correction Models during Structural Breaks’, Journal of Econometrics, 158(1), pp. 25–36.
Castle, J.L. and D.F. Hendry (2010), ‘A Low-Dimension Portmanteau Test for Non-linearity’, Journal of Econometrics, 158(2), pp. 231-245.
Castle, J.L. and D.F. Hendry (2010), ‘Nowcasting from Disaggregates in the Face of Location Shifts’, Journal of Forecasting, 29, pp. 200-214.
Castle, J.L., N.W.P. Fawcett and D.F. Hendry (2009), ‘Nowcasting is not just Contemporaneous Forecasting’, National Institute Economic Review, 210(1), pp. 71-89.
Castle, J.L. and D.F. Hendry (2009), 'The Long-Run Determinants of UK Wages, 1860-2004', Journal of Macroeconomics, 31(1), pp. 5-28.
Castle, J.L. and D.F. Hendry (2008), 'Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation', in Rapach and Wohar (eds.), Forecasting in the Presence of Structural Breaks and Model Uncertainty, Frontiers of Economics and Globalization Series, Emerald, Chapter 2, pp. 41–92.
Castle, J.L. (2005), 'Evaluating PcGets and RETINA as Automatic Model Selection Algorithms', Oxford Bulletin of Economics and Statistics, 67, pp. 837-880.
Castle, J.L. and Ellis, C. (2002), 'Building a Real-time Database for GDP(E)', Bank of England Quarterly Bulletin, Spring, pp. 42-49.

Books
Edited Volume: The Methodology and Practice of Econometrics, 2009, with Neil Shephard, Oxford: Oxford University Press.
Econometric Model Selection: Nonlinear Techniques and Forecasting,, 2008, Saarbrücken: VDM Verlag. ISBN: 978-3-639-00458-8.

Working papers
'A Forecast-error Correction Mechanism', with David F. Hendry, Working paper, Economics Department, University of Oxford, 2011.
'A Tale of 3 Cities: Model Selection in Over-, Exact, and Underspecified Equations', with David F. Hendry, Working Paper No. 523, Economics Department, University of Oxford, 2011. (Forthcoming in Festschrift for Lord Desai).
'Model Selection in Equations with Many 'Small' Effects', with Jurgen A. Doornik and David F. Hendry, Working Paper No. 528, Economics Department, University of Oxford, 2011.
'Forecasting by Factors, by Variables, by Both, or Neither?' with Michael P. Clements and David F. Hendry, Working paper, Economics Department, University of Oxford, 2011.
'Testing the Invariance of Expectations Models of Inflation', with Jurgen A. Doornik, David F. Hendry and Ragnar Nymoen, Working paper No. 510, Economics Department, University of Oxford, 2010.
'Model Selection in Under-specified Equations Facing Breaks', with David F. Hendry, Working paper No. 509, Economics Department, University of Oxford, 2010.
'Model Selection when there are Multiple Breaks', with Jurgen A. Doornik and David F. Hendry, Working paper No. 472, Economics Department, University of Oxford, 2010.
'Checking the Robustness and Validity of Model Selection: An Application to UK Wages', Working paper, Economics Department, University of Oxford, 2008. [PDF]
'Measuring Excess Demand and its Impact on Inflation', Working paper, Economics Department, University of Oxford, 2005. [PDF]

Work in progress
‘The Roles of Measured Expectations in Models of Inflation’, (with David F. Hendry).
‘Testing for Non-linearity in Dynamic Regression Equations’, (with David F. Hendry).
Short articles
'Nowcasting holds Policy Promise', Oxford Analytica, 9/9/2010.
'Modelling a century and a half of UK macroeconomic data using general to specific methodology', Oxonomics, 2, 2007, pp. 21-26. [PDF]
'Automatic Econometric Model Selection using PcGets', Aenorm, 52, 2006, pp. 43-46. [PDF]
'Time Variation in Asset Return Correlations', Aenorm, 53, 2006, pp. 35-38. [PDF]
'Automatic Econometric Model Selection using PcGets', Medium Econometrische Toepassingen (MET), 14, 2006, pp. 16-19. [PDF]

Doctoral thesis
Empirical Modelling and Model Selection for Forecasting Inflation in a Non-stationary World. [PDF]
Supervisor: David F. Hendry (Examiners: Bent Nielsen and Hans-Martin Krolzig)
M.Phil thesis
Measuring Excess Demand and its Impact on Inflation. [PDF]
Supervisor: David F. Hendry