Published Papers

“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.  To be 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).

Book Editing

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