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On winning forecasting competitions in economics
16 references·8 citing·33 second hop
On winning forecasting competitions in economics (1999)On winning forecasting competitions in ec…Predictive Failure and Econometric Modelling in Macroeconomics: The Transactions Demand for Money (2000)Predictive Failure and Econom…Forecasting economic processes (1998)Forecasting economic processesThe Implications for Econometric Modelling of Forecast Failure (1997)The Implications for Economet…On the constancy of time-series econometric equations (1996)On the constancy of time-seri…Intercept corrections and structural change (1996)Intercept corrections and str…Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data. (1996)Co-Integration, Error Correct…Forecasting in cointegrated systems (1995)Forecasting in cointegrated s…MODELLING LINEAR DYNAMIC ECONOMETRIC SYSTEMS (1994)MODELLING LINEAR DYNAMIC ECON…On the limitations of comparing mean square forecast errors (1993)On the limitations of compari…Recursive Estimation in Cointegrated VAR-Models (1992)Recursive Estimation in Coint…Modeling the demand for narrow money in the United Kingdom and the United States (1991)Modeling the demand for narro…Empirical analysis of macroeconomic time series (1991)Empirical analysis of macroec…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables (1978)Testing for Higher Order Seri…Returns, volatility and investor sentiment: Evidence from European stock markets (2016)Returns, volatility and inves…The ET Interview: Professor David F. Hendry (2004)The ET Interview: Professor D…Reformulating Empirical Macro-econometric Modelling (2001)Reformulating Empirical Macro…Testing Dynamic Specification in Small Simultaneous Systems: An Application to a Model of Building Society Behaviour in the United Kingdom (2000)Testing Dynamic Specification…On the Time‐Series Approach to Econometric Model Building (2000)On the Time‐Series Approach t…Modelling economies in transition: an introduction (2000)Modelling economies in transi…Liquidity and Inflation Effects on Consumers' Expenditure (2000)Liquidity and Inflation Effec…Econometric Modelling of the Aggregate Time‐Series Relationship Between Consumers' Expenditure and Income in the United Kingdom (2000)Econometric Modelling of the …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables (1970)Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables (1978)A Cross-Country Comparison of Okun's Coefficient (1997)GOLD AS AN INFLATION HEDGE? (2004)Strategic Leniency and Cartel Enforcement (2009)Econometric Modelling of the Aggregate Time-Series Relationship Between Consumers' Expenditure and Income in the United Kingdom (1978)Permanent and Temporary Components of Stock Prices (1988)The Continuing Puzzle of Short Horizon Exchange Rate Forecasting (2008)Averaging forecasts from VARs with uncertain instabilities (2009)Advances in Forecasting under Instability (2013)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Crude oil and stock markets: Stability, instability, and bubbles (2009)CO2 emissions, energy consumption, income and foreign trade: A South African perspective (2013)The environmental Kuznets curve, economic growth, renewable and non-renewable energy, and trade in Tunisia (2015)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)APPROXIMATIONS TO THE ASYMPTOTIC DISTRIBUTIONS OF COINTEGRATION TESTS (1998)Distributions of error correction tests for cointegration (2002)Forecasting economic and financial time-series with non-linear models (2004)Comparing forecast accuracy: A Monte Carlo investigation (2012)Forecasting economic time series using flexible versus fixed specification and linear versus nonlinear econometric models (1997)Macroeconomic variables and the Malaysian equity market (2003)Oil price shocks and agricultural commodity prices (2014)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Does financial development cause economic growth? Time-series evidence from 16 countries (1996)Taking Time Seriously (2008)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1996Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data.1,578 cited
  • 1978Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables786 cited
  • 1993On the limitations of comparing mean square forecast errors392 cited
  • 1991Modeling the demand for narrow money in the United Kingdom and the United States379 cited
  • 1995Forecasting in cointegrated systems279 cited
  • 1992Recursive Estimation in Cointegrated VAR-Models267 cited
  • 1996Intercept corrections and structural change206 cited
  • 1994MODELLING LINEAR DYNAMIC ECONOMETRIC SYSTEMS202 cited
  • 1991Empirical analysis of macroeconomic time series168 cited
  • 2000Predictive Failure and Econometric Modelling in Macroeconomics: The Transactions Demand for Money136 cited
  • 1997The Implications for Econometric Modelling of Forecast Failure110 cited
  • 1998

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Forecasting economic processes
102 cited
  • 1996On the constancy of time-series econometric equations55 cited
  • Cited by

    • 2016Returns, volatility and investor sentiment: Evidence from European stock markets52 cited
    • 2001Reformulating Empirical Macro-econometric Modelling27 cited
    • 2000Econometric Modelling of the Aggregate Time‐Series Relationship Between Consumers' Expenditure and Income in the United Kingdom26 cited
    • 2004The ET Interview: Professor David F. Hendry25 cited
    • 2000On the Time‐Series Approach to Econometric Model Building25 cited
    • 2000Modelling economies in transition: an introduction25 cited
    • 2000Testing Dynamic Specification in Small Simultaneous Systems: An Application to a Model of Building Society Behaviour in the United Kingdom19 cited
    • 2000Liquidity and Inflation Effects on Consumers' Expenditure14 cited