Books

Economic Forecasting, Princeton University Press (joint with Allan Timmermann), 2016. Princeton University Press Website

Edited Books

Handbook of Economic Forecasting, Vol 1, North-Holland (joint with C.W.J. Granger and A. Timmermann), 2006. Elsevier Website

Handbook of Economic Forecasting, Vols 2a,2b, North-Holland (joint with A. Timmermann), 2013. Elsevier Website

Journal Articles

Detecting p-Hacking, Econometrica, 90:2, 887-906. (with N. Kudrin and K. Weutrich) , 2022. published version , paper , R code for tests

Testing for a Trend with Persistent Errors, Journal of Econometrics,, 219, p314-328-110, 2020.

Forecast Combination when Outcomes are Difficult to Predict, Empirical Economics,, 53(1), pp7-20, 2017.

Forecasting in Economics and Finance Annual Review of Economics,, 8, p81-110. (with A. Timmermann), 2016.

Forecasting Conditional Probabilities of Binary Outcomes under Misspecification, Review of Economics and Statistics,, 98,4, p742-755. (with D. Ghanem and F. Krueger), 2016.

Complete Subset Regressions with Large-Dimensional Sets of Predictors, Journal of Economic Dynamics and Control,, 54, p86-110. (with A.Gargano and A. Timmermann), 2015.

Nearly Optimal Tests when a Nuisance Parameter is Present Under the Null Hypothesis, Econometrica, 83, p771-811. (with U. Mueller and M.W.Watson), 2015. (Matlab programs and weight matrices used to construct tests) Supplementary materials)

Pre and Post Break Parameter Inference, Journal of Econometrics, 180, 141-157 (joint with U. Mueller) 2014. (Programs to construct test postbreak))

Complete Subset RegressionsJournal of Econometrics, 177, 357-373 (joint with A. Gargano and A. Timmermann) 2013.

Predicting Binary Outcomes, Journal of Econometrics, 174, 15-26, (joint with Robert Lieli) 2013.

A control function approach for testing the usefulness of trending variables in forecast models and linear regression, Journal of Econometrics, 164, 79-91, 2011.

Testing the null of no cointegration when covariates are known to have a unit root, Econometric Theory, 25, 1829-1850. (joint with Elena Pesavento), 2009.

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.

Forecasting with Trending Data, Chapter 11 in Handbook of Economic Forecasting, Vol 1, (G. Elliott, C.W.J Granger and A. Timmerman eds.) North-Holland, 2006.

"Efficient Tests for General Persistent Time Variation in Regression Coefficients, Review of Economic Studies, 73, 907-940,(joint with U. Mueller), 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.

"Optimal Forecast Combination Under Regime Switching", International Economic Review, 46(4), 1081-1102. (with A. Timmermann), 2005.

"Optimal Forecast Combinations Under General Loss Functions and Forecast Error Distributions", Journal of Econometrics, 122, 47-79. (with A. Timmermann), 2004. (pdf of wp)

"Tests for Unit Roots and the Initial Condition", Econometrica, 71, 1269-86 (with U. Mueller), 2003. (pdf of  wp)

Testing for Unit Roots with Stationary Covariates, Journal of Econometrics, 115, 75-89. (with M.Jannson), 2003. (pdf of wp)

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 T. Ito) 1999. To be reprinted in New Developments in Exchange Rate Economics, L. Sarno and M.P. Taylor eds. Edward Elgar Publishing: UK.

Efficient Tests for a Unit Root When the Initial Observation is Drawn from its Unconditional Distribution,International Economic Review, 40, 767-783, 1999.

The Robustness of Cointegration Methods when Regressors Almost Have Unit Roots,Econometrica, 66, 149-58, 1998.

International Business Cycles and the Current Account (with A.Fatas) European Economic Review, 40, 361-87, 1996.

Efficient Tests for an Autoregressive Unit Root, Econometrica, 64, 813-836 (with J.H.Stock, T.J.Rothenberg), 1996. Reprinted in Recent Developments in Time Series, P.Newbold and S.J. Leybourne eds. Edward Elgar Publishing: UK.

Inference in Models with Nearly Nonstationary Regressors,(with C.L.Cavanagh and J.H.Stock), Econometric Theory, 11, 1131-47, 1995.

Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown. Econometric Theory, 10, 672-700 (with J.H.Stock), 1994.

The Transmission of Monetary Policy - The Relationship Between Overnight Cash Rates. Economic Record, 70 19-25 (with R.A. Bewley), 1994.

Some Evidence on Option Prices as Predictors of Volatility, Oxford Bulletin of Economics and Statistics, 54, 567-78, (with M. Edey), 1992.

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 and Comments

Nonparametric Econometrics, by A. Pagan and A. Ullah, Journal of Economic Literature, 38, 938-9,2000.

Time Series Analysis: Nonstationary and Noninvertible Distribution Theory, by K. Tanaka, Econometric Theory, 14, 511-516.

Comment on "Forecasting with a Real-Time Data Set for Macroeconomists" by Tom Stark and D. Croushore, (2002), Journal of Macroeconomics, 24, 533-539.

Evaluating Significance: Comments on "Size Matters" by D. McClosky, Journal of Socio-Economics, 33, 547-550, 2004. (with C.W.J. Granger).