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Citations of
Kenneth Frank Wallis

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

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Working papers

  1. James Mitchell & Wallis, K.F., 2008. "Evaluating Density Forecasts: Forecast Combinations, Model Mixtures, Calibration and Sharpness," NIESR Discussion Papers 320, National Institute of Economic and Social Research. [Downloadable!]

    Cited by:

    1. John Galbraith & Simon van Norden, 2009. "Calibration and Resolution Diagnostics for Bank of England Density Forecasts," CIRANO Working Papers 2009s-36, CIRANO. [Downloadable!]

  2. Jan P.A.M. Jacobs & Kenneth F. Wallis, 2007. "Cointegration, Long-Run Structural Modelling And Weak Exogeneity: Two Models Of The Uk Economy," CAMA Working Papers 2007-12, Australian National University, Centre for Applied Macroeconomic Analysis. [Downloadable!]

    Cited by:

    1. Adam Elbourne & Henk Kranendonk & Rob Luginbuhl & Bert Smid & Martin Vromans, 2008. "Evaluating CPB’s published GDP growth forecasts," CPB Documents 172, CPB Netherlands Bureau for Economic Policy Analysis. [Downloadable!]
    2. Mardi Dungey & Denise R Osborn, 2009. "Modelling International Linkages for Large Open Economies: US and Euro Area," Centre for Growth and Business Cycle Research Discussion Paper Series 121, Economics, The Univeristy of Manchester. [Downloadable!]
      Other versions:

  3. Boero,Gianna & Smith,Jeremy & Wallis,Kenneth F, 2006. "Uncertainty and disagreement in economic prediction : the Bank of England Survey of External Forecasters," The Warwick Economics Research Paper Series (TWERPS) 811, University of Warwick, Department of Economics. [Downloadable!]
    Published as:

    Cited by:

    1. Meredith J. Beechey, 2008. "Lowering the anchor: how the Bank of England's inflation-targeting policies have shaped inflation expectations and perceptions of inflation risk," Finance and Economics Discussion Series 2008-44, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    2. Joseph E. Gagnon, 2008. "Inflation regimes and inflation expectations," Review, Federal Reserve Bank of St. Louis, issue May, pages 229-243. [Downloadable!]
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    3. Juan Angel García & Andrés Manzanares, 2007. "Reporting biases and survey results - evidence from European professional forecasters," Working Paper Series 836, European Central Bank. [Downloadable!]
    4. Wilbert van der Klaauw & Wändi Bruine de Bruin & Giorgio Topa & Simon Potter & Michael Bryan, 2008. "Rethinking the measurement of household inflation expectations: preliminary findings," Staff Reports 359, Federal Reserve Bank of New York. [Downloadable!]
    5. Pfajfar, D. & Zakelj, B., 2009. "Experimental Evidence on Inflation Expectation Formation," Discussion Paper 2009-07, Tilburg University, Center for Economic Research. [Downloadable!]

  4. Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F, 2004. "Sensitivity of the Chi-Squared Goodness-of-Fit Test to the Partitioning of Data," The Warwick Economics Research Paper Series (TWERPS) 694, University of Warwick, Department of Economics. [Downloadable!]

    Cited by:

    1. Gordon Anderson, 2008. "The empirical assessment of multidimensional welfare, inequality and poverty: Sample weighted multivariate generalizations of the Kolmogorov–Smirnov two sample tests for stochastic dominance," Journal of Economic Inequality, Springer, vol. 6(1), pages 73-87, March. [Downloadable!] (restricted)

  5. Kenneth F. Wallis, 2004. "Comparing Empirical Models of the Euro Economy," Econometric Society 2004 Australasian Meetings 14, Econometric Society.
    Published as:

    Cited by:

    1. jerome henry & sandro momigliano & pablo hernandez de cos, 2005. "The short-term impact of government budgets on prices Evidence from macroeconometric models," Macroeconomics 0501020, EconWPA. [Downloadable!]
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    2. Rosaria Rita Canale & Pasquale Foresti & Ugo Marani & Oreste Napolitano, 2007. "On Keynesian effects of (apparent) non-Keynesian fiscal policies," Discussion Papers 8_2007, D.E.S. (Department of Economic Studies), University of Naples "Parthenope", Italy. [Downloadable!]
      Other versions:

  6. Wallis, Kenneth F., 2002. "Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts," Royal Economic Society Annual Conference 2002 181, Royal Economic Society. [Downloadable!]
    Other versions:
    Published as:

    Cited by:

    1. Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F, 2004. "Sensitivity of the Chi-Squared Goodness-of-Fit Test to the Partitioning of Data," The Warwick Economics Research Paper Series (TWERPS) 694, University of Warwick, Department of Economics. [Downloadable!]
    2. Christopher Spencer, 2006. "The Dissent Voting Behaviour of Bank of England MPC Members," Department of Economics Discussion Papers 0306, Department of Economics, University of Surrey. [Downloadable!]
    3. B. Siliverstovs & D.J. Van Dijk, 2003. "Forecasting industrial production with linear, nonlinear and structural change models," Econometric Institute Report 321, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
      Other versions:
    4. Gianna Boero & Emanuela Marrocu, 2002. "The performance of Setar Models: a regime conditional evaluation of point, interval and density forecasts," Working Paper CRENoS 200208, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
      Other versions:
    5. Knüppel, Malte & Schultefrankenfeld, Guido, 2008. "How informative are macroeconomic risk forecasts? An examination of the Bank of England's inflation forecasts," Discussion Paper Series 1: Economic Studies 2008,14, Deutsche Bundesbank, Research Centre. [Downloadable!]
    6. Marco Vega, 2004. "Policy Makers Priors and Inflation Density Forecasts," Econometrics 0403005, EconWPA. [Downloadable!]
    7. Gianna Boero & Emanuela Marrocu, 2001. "Evaluating non-linear models on point and interval forecasts: an application with exchange rate returns," Working Paper CRENoS 200110, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
    8. Harris, Mark & Spencer, Christopher, 2008. "Decade of dissent: explaining the dissent voting behavior of Bank of England MPC members," MPRA Paper 9100, University Library of Munich, Germany. [Downloadable!]

  7. Gianna Boero & J. Smith & KF. Wallis, 2002. "The properties of some goodness-of-fit tests," Working Paper CRENoS 200209, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
    Other versions:

    Cited by:

    1. Gianna Boero & Emanuela Marrocu, 2002. "The performance of Setar Models: a regime conditional evaluation of point, interval and density forecasts," Working Paper CRENoS 200208, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
      Other versions:
    2. Gerardo Marletto, 2006. "La politica dei trasporti come politica per l’innovazione: spunti da un approccio evolutivo," Working Paper CRENoS 200605, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
    3. OA. Carboni & G. Medda, 2007. "Government Size and the Composition of Public Spending in a Neoclassical Growth Model," Working Paper CRENoS 200701, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]

  8. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society. [Downloadable!]

    Cited by:

    1. Dick van Dijk & Timo Teräsvirta & Philip Hans Franses, 2002. "Smooth Transition Autoregressive Models - A Survey Of Recent Developments," Econometric Reviews, Taylor and Francis Journals, vol. 21(1), pages 1-47. [Downloadable!] (restricted)
      Other versions:
    2. Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi, 2007. "Practical Volatility Modeling for Financial Market Risk Management," MPRA Paper 9790, University Library of Munich, Germany, revised 15 May 2008. [Downloadable!]
    3. G. Ascari & Emanuela Marrocu, 2003. "Forecasting inflation: a comparison of linear Phillips curve models and nonlinear time serie models," Working Paper CRENoS 200307, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
    4. Keen Meng Choy & Kenneth Leong & Anthony S. Tay, 2003. "Non-Fundamental Expectations and Economic Fluctuations: Evidence from Professional Forecasts," Departmental Working Papers wp0306, National University of Singapore, Department of Economics. [Downloadable!]
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    5. David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Papers 2002-W11, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:
    6. Lucio Sarno, 2003. "Nonlinear Exchange Rate Models: A Selective Overview," IMF Working Papers 03/111, International Monetary Fund. [Downloadable!]
    7. Gianna Boero & Emanuela Marrocu, 2002. "The performance of Setar Models: a regime conditional evaluation of point, interval and density forecasts," Working Paper CRENoS 200208, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
      Other versions:
    8. Teräsvirta, Timo, 2005. "Forecasting economic variables with nonlinear models," Working Paper Series in Economics and Finance 598, Stockholm School of Economics, revised 29 Dec 2005. [Downloadable!]
      Other versions:
    9. Gabriela De Raaij & Burkhard Raunig, 2005. "Evaluating density forecasts from models of stock market returns," European Journal of Finance, Taylor and Francis Journals, vol. 11(2), pages 151-166, April. [Downloadable!] (restricted)
    10. Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi, 2008. "Comparing the accuracy of density forecasts from competing GARCH models," MPRA Paper 13662, University Library of Munich, Germany. [Downloadable!]
    11. Clarida, Richard & Sarno, Lucio & Taylor, Mark P & Valente, Giorgio, 2005. "The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates," CEPR Discussion Papers 4835, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    12. Izquierdo, Segismundo S. & Hernández, Cesáreo & del Hoyo, Juan, 2006. "Forecasting VARMA processes using VAR models and subspace-based state space models," MPRA Paper 4235, University Library of Munich, Germany. [Downloadable!]
    13. David Reifschneider & Peter Tulip, 2007. "Gauging the uncertainty of the economic outlook from historical forecasting errors," Finance and Economics Discussion Series 2007-60, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    14. Selim Elekdag & Prakash Kannan, 2009. "Incorporating Market Information into the Construction of the Fan Chart," IMF Working Papers 09/178, International Monetary Fund. [Downloadable!]
    15. Gabriel Perez-Quiros & Allan G. Timmermann, 2001. "Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities," Working Paper Series 058, European Central Bank. [Downloadable!]
      Other versions:
    16. Kenneth F. Wallis, 2001. "Chi-squared tests of interval and density forecasts and the Bank of England's fan charts," Working Paper Series 083, European Central Bank. [Downloadable!]
      Other versions:
    17. Andrew J. Patton, 2006. "Estimation of multivariate models for time series of possibly different lengths," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 147-173. [Downloadable!]
    18. Marco Vega, 2004. "Policy Makers Priors and Inflation Density Forecasts," Econometrics 0403005, EconWPA. [Downloadable!]
    19. Gianni Amisano & Raffaella Giacomini, 2005. "Comparing Density Forecsts via Weighted Likelihood Ratio Tests," Working Papers ubs0504, University of Brescia, Department of Economics. [Downloadable!]
      Other versions:
    20. Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    21. Burkhard Raunig, 2003. "Testing for Longer Horizon Predictability of Return Volatility with an Application to the German DAX," Working Papers 86, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
    22. Raffaella Giacomini & Christian Haefke & Halbert White & Andreas Gottschling, 2002. "Hypernormal Densities," University of California at San Diego, Economics Working Paper Series 2002-14, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    23. George Athanasopoulos & Rob J Hyndman & Haiyan Song & Doris C Wu, 2008. "The tourism forecasting competition," Monash Econometrics and Business Statistics Working Papers 10/08, Monash University, Department of Econometrics and Business Statistics, revised Oct 2009. [Downloadable!]

  9. Francis X. Diebold & Anthony S. Tay & Kenneth F. Wallis, 1997. "Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters," NBER Working Papers 6228, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:

    Cited by:

    1. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers 2008-10, School of Economics, The University of New South Wales. [Downloadable!]
      Other versions:
    2. Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi, 2007. "Practical Volatility Modeling for Financial Market Risk Management," MPRA Paper 9790, University Library of Munich, Germany, revised 15 May 2008. [Downloadable!]
    3. Clements, Michael P., 2008. "Explanations of the inconsistencies in survey respondents'forecasts," The Warwick Economics Research Paper Series (TWERPS) 870, University of Warwick, Department of Economics. [Downloadable!]
    4. Ricardo Mestre, 2007. "Are survey-based inflation expectations in the euro area informative," Working Paper Series 721, European Central Bank. [Downloadable!]
    5. Robert Rich & Joseph Tracy, 2003. "Modeling uncertainty: predictive accuracy as a proxy for predictive confidence," Staff Reports 161, Federal Reserve Bank of New York. [Downloadable!]
    6. G. Ascari & Emanuela Marrocu, 2003. "Forecasting inflation: a comparison of linear Phillips curve models and nonlinear time serie models," Working Paper CRENoS 200307, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]
    7. Refet S. Gürkaynak & Justin Wolfers, 2005. "Macroeconomic Derivatives: An Initial Analysis of Market-Based Macro Forecasts, Uncertainty and Risk," IZA Discussion Papers 1899, Institute for the Study of Labor (IZA). [Downloadable!]
      Other versions:
    8. Gabriela de Raaij & Burkhard Raunig, 2002. "Evaluating Density Forecasts with an Application to Stock Market Returns," Working Papers 59, Oesterreichische Nationalbank (Austrian Central Bank). [Downloadable!]
    9. Sean D. Campbell & Francis X. Diebold, 2003. "Weather Forecasting for Weather Derivatives," NBER Working Papers 10141, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    10. Bharat Barot, 2005. "How Accurate Are The Swedish Forecasters On Gdp-Growth,Cpi- Inflation And Unemployment? (1993-2001)," Macroeconomics 0510017, EconWPA. [Downloadable!]
      Other versions:
    11. Francis X. Diebold & Jinyong Hahn & Anthony S. Tay, 1998. "Real-Time Multivariate Density Forecast Evaluation and Calibration: Monitoring the Risk of High-Frequency Returns on Foreign Exchange," NBER Working Papers 6845, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    12. Giordani, Paolo & Soderlind, Paul, 2000. "Inflation Forecast Uncertainty," Working Paper Series in Economics and Finance 384, Stockholm School of Economics, revised 09 Oct 2000. [Downloadable!]
      Other versions:
    13. Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi, 2008. "Comparing the accuracy of density forecasts from competing GARCH models," MPRA Paper 13662, University Library of Munich, Germany. [Downloadable!]
    14. Robert R. Bliss & Nikolaos Panigirtzoglou, 2001. "Recovering risk aversion from options," Working Paper Series WP-01-15, Federal Reserve Bank of Chicago. [Downloadable!]
    15. Barot, Bharat, 2007. "Empirical Studies in Consumption, House Prices and the Accuracy of European Growth and Inflation Forecasts," Working Paper 98, National Institute of Economic Research. [Downloadable!]
    16. Kenneth F. Wallis, 2001. "Chi-squared tests of interval and density forecasts and the Bank of England's fan charts," Working Paper Series 083, European Central Bank. [Downloadable!]
      Other versions:
    17. Öller, Lars-Erik & Barot, Bharat, 2000. "The Accuracy of European Growth and Inflation Forecasts," Working Paper 72, National Institute of Economic Research. [Downloadable!]
      Other versions:
    18. Xiaohong Chen & Yanqin Fan, 2002. "Evaluating Density Forecasts via the Copula Approach," Working Papers 0225, Department of Economics, Vanderbilt University, revised Sep 2003. [Downloadable!]
    19. Gianni Amisano & Raffaella Giacomini, 2005. "Comparing Density Forecsts via Weighted Likelihood Ratio Tests," Working Papers ubs0504, University of Brescia, Department of Economics. [Downloadable!]
      Other versions:
    20. Valentina Corradi & Norman R. Swanson, 2003. "A Test for Comparing Multiple Misspecified Conditional Distributions," Departmental Working Papers 200314, Rutgers University, Department of Economics. [Downloadable!]
    21. Clements, Michael P, 2006. "Internal consistency of survey respondents.forecasts : Evidence based on the Survey of Professional Forecasters," The Warwick Economics Research Paper Series (TWERPS) 772, University of Warwick, Department of Economics. [Downloadable!]
    22. Raffaella Giacomini & Christian Haefke & Halbert White & Andreas Gottschling, 2002. "Hypernormal Densities," University of California at San Diego, Economics Working Paper Series 2002-14, Department of Economics, UC San Diego. [Downloadable!]
      Other versions:
    23. Silvia Sgherri & Tamim Bayoumi, 2004. "Deconstructing the Art of Central Banking," IMF Working Papers 04/195, International Monetary Fund. [Downloadable!]
      Other versions:
    24. Clements, Michael P., 2008. "Rounding of probability forecasts : The SPF forecast probabilities of negative output growth," The Warwick Economics Research Paper Series (TWERPS) 869, University of Warwick, Department of Economics. [Downloadable!]
    25. Bontemps, Christian & Meddahi, Nour, 2007. "Testing Distributional Assumptions: A GMM Approach," IDEI Working Papers 486, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
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    26. Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F, 2002. "The Properties Of Some Goodness-Of-Fit Tests," The Warwick Economics Research Paper Series (TWERPS) 653, University of Warwick, Department of Economics. [Downloadable!]
      Other versions:

  10. Wallis, K.F., 1992. "On Macroeconomic Policy and Macroeconometric Models," CEPR Discussion Papers 264, Centre for Economic Policy Research, Research School of Social Sciences, Australian National University.
    Published as:

    Cited by:

    1. Alan A. Powell, 1998. "When Modellers Behave Like Lawyers: Have we Lost The Plot?," Centre of Policy Studies/IMPACT Centre Working Papers g-125, Monash University, Centre of Policy Studies/IMPACT Centre. [Downloadable!]
    2. Abbas Valadkhani, 2003. "History Of Macroeconometric Modelling: Lessons From Past Experience," School of Economics and Finance Discussion Papers and Working Papers Series 131, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
    3. Albert van der Horst & Jan Jacobs & Lambert Schoonbeek,, 1996. "Is there a NAIRU for the Netherlands?," Working Papers 28, Centre for Economic Research, University of Groningen and University of Twente. [Downloadable!]
    4. de Kam, C. A. & de Haan, J. & Giles, C. & Manresa, A. & Berenguer, E. & Calonge, S., 1996. "Who pays the taxes?," MPRA Paper 7146, University Library of Munich, Germany. [Downloadable!]
    5. Henk Don, . "How econometric models help policy makers; Theory and practice," CPB Discussion Papers 27, CPB Netherlands Bureau for Economic Policy Analysis. [Downloadable!]
    6. S. Sgherri, 2000. "When is labour market flexibility welcome? More on asymmetric policy impacts in Europe," WO Research Memoranda (discontinued) 619, Netherlands Central Bank, Research Department. [Downloadable!]

  11. Burridge, Peter & Wallis, Kenneth F, 1984. "Calculating the Variance of Seasonally Adjusted Series," The Warwick Economics Research Paper Series (TWERPS) 251, University of Warwick, Department of Economics.

    Cited by:

    1. William P. Cleveland, 2002. "Estimated variance of seasonally adjusted series," Finance and Economics Discussion Series 2002-15, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    2. S.J. Koopman & P.H.B.F. Franses, 2001. "Constructing seasonally adjusted data with time-varying confidence intervals," Econometric Institute Report 210, Erasmus University Rotterdam, Econometric Institute. [Downloadable!]
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    3. Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006. "Time Series Analysis," PIER Working Paper Archive 06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
      Other versions:
      • Diebold, F.X. & Kilian, L. & Nerlove, M., 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]
    4. Christophe Planas & Alessandro Rossi, 2004. "Can inflation data improve the real-time reliability of output gap estimates?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(1), pages 121-133. [Downloadable!]

  12. Burridge, Peter & Wallis, Kenneth F, 1983. "Unobserved-Components Models for Seasonal Adjustment Filters," The Warwick Economics Research Paper Series (TWERPS) 244, University of Warwick, Department of Economics.
    Published as:

    Cited by:

    1. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?," CIRANO Working Papers 95s-19, CIRANO. [Downloadable!]
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    2. Regina Kaiser & Agustín Maravall, 2000. "Notes on Time Series Analysis, ARIMA Models and Signal Extraction," Banco de España Working Papers 0012, Banco de España. [Downloadable!]
    3. Antonio Matas-Mir & Denise R. Osborn & Marco J. Lombardi, 2008. "The effect of seasonal adjustment on the properties of business cycle regimes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(2), pages 257-278. [Downloadable!]
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    4. Neil R. Ericsson & David F. Hendry & Hong-Anh Tran, 1993. "Cointegration, seasonality, encompassing, and the demand for money in the United Kingdom," International Finance Discussion Papers 457, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    5. Paulo M. M. Rodrigues, Denise R. Osborn, 1999. "Performance of seasonal unit root tests for monthly data," Journal of Applied Statistics, Taylor and Francis Journals, vol. 26(8), pages 985-1004, December. [Downloadable!] (restricted)
    6. Antonio Matas Mir & Denise R Osborn, 2004. "Seasonal adjustment and the detection of business cycle phases," Working Paper Series 357, European Central Bank. [Downloadable!]
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    7. Tomas del Barrio Castro & Denise R. Osborn, 2006. "A Random Walk through Seasonal Adjustment: Noninvertible Moving Averages and Unit Root Tests," The School of Economics Discussion Paper Series 0612, Economics, The University of Manchester. [Downloadable!]

  13. Wallis, Kenneth F, 1981. "Models for X-11 and 'X-11-Forecast' Procedures for Preliminary and Revised Seasonal Adjustments," The Warwick Economics Research Paper Series (TWERPS) 198, University of Warwick, Department of Economics.

    Cited by:

    1. Luati, Alessandra & Proietti, Tommaso, 2008. "On the Equivalence of the Weighted Least Squares and the Generalised Least Squares Estimators, with Applications to Kernel Smoothing," MPRA Paper 8910, University Library of Munich, Germany. [Downloadable!]

  14. Salmon, Mark & Wallis, Kenneth F, 1980. "Model Validation and Forecast Comparisons : Theoretical and Practical Considerations," The Warwick Economics Research Paper Series (TWERPS) 184, University of Warwick, Department of Economics.

    Cited by:

    1. Gajda, Jan B. & Markowski, Aleksander, 1998. "Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS," Working Paper 61, National Institute of Economic Research. [Downloadable!]
    2. Jeffrey A. Frankel & Richard Meese, 1987. "Are Exchange Rates Excessively Variable?," NBER Chapters, in: NBER Macroeconomics Annual 1987, Volume 2, pages 117-162 National Bureau of Economic Research, Inc. [Downloadable!]
      Other versions:

Articles

  1. Jeremy Smith & Kenneth F. Wallis, 2009. "A Simple Explanation of the Forecast Combination Puzzle," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(3), pages 331-355, 06. [Downloadable!] (restricted)

    Cited by:

    1. Huiyu Huang & Tae-Hwy Lee, 2006. "To Combine Forecasts or to Combine Information?," Working Papers 200806, University of California at Riverside, Department of Economics, revised Feb 2009. [Downloadable!]
    2. Todd E. Clark & Michael W. McCracken, 2008. "Combining forecasts from nested models," Working Papers 2008-037, Federal Reserve Bank of St. Louis. [Downloadable!]
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  2. Gianna Boero & Jeremy Smith & KennethF. Wallis, 2008. "Uncertainty and Disagreement in Economic Prediction: The Bank of England Survey of External Forecasters," Economic Journal, Royal Economic Society, vol. 118(530), pages 1107-1127, 07. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  3. Kenneth F. Wallis, 2005. "Combining Density and Interval Forecasts: A Modest Proposal," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 983-994, December. [Downloadable!] (restricted)

    Cited by:

    1. Österholm, Pär, 2006. "Incorporating Judgement in Fan Charts," Working Paper Series 2006:30, Uppsala University, Department of Economics. [Downloadable!]
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    2. John Geweke & Gianni Amisano, 2009. "Optimal Prediction Pools," Working Paper Series 1017, European Central Bank. [Downloadable!]
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    3. Anthony Garratt & James Mitchell & Shaun P. Vahey & Elizabeth C. Wakerly, 2009. "Real-time Inflation Forecast Densities from Ensemble Phillips Curves," Birkbeck Working Papers in Economics and Finance 0910, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
    4. Robert Rich & Joseph Tracy, 2006. "The relationship between expected inflation, disagreement, and uncertainty: evidence from matched point and density forecasts," Staff Reports 253, Federal Reserve Bank of New York. [Downloadable!]
    5. Boero,Gianna & Smith,Jeremy & Wallis,Kenneth F, 2006. "Uncertainty and disagreement in economic prediction : the Bank of England Survey of External Forecasters," The Warwick Economics Research Paper Series (TWERPS) 811, University of Warwick, Department of Economics. [Downloadable!]
      Other versions:

  4. Kenneth F. Wallis & Jan P. A. M. Jacobs, 2005. "Comparing SVARs and SEMs: two models of the UK economy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 209-228. [Downloadable!]

    Cited by:

    1. Marcus Keogh-Brown & Simon Wren-Lewis & W. John Edmunds & Philippe Beutels & Richard D. Smith, 2009. "The possible macroeconomic impact on the UK of an influenza pandemic," Economics Series Working Papers 431, University of Oxford, Department of Economics. [Downloadable!]

  5. Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F., 2004. "Decompositions of Pearson's chi-squared test," Journal of Econometrics, Elsevier, vol. 123(1), pages 189-193, November. [Downloadable!] (restricted)

    Cited by:

    1. Boero, Gianna & Smith, Jeremy & Wallis, Kenneth F, 2004. "Sensitivity of the Chi-Squared Goodness-of-Fit Test to the Partitioning of Data," The Warwick Economics Research Paper Series (TWERPS) 694, University of Warwick, Department of Economics. [Downloadable!]

  6. Wallis, Kenneth F., 2004. "Comparing empirical models of the euro economy," Economic Modelling, Elsevier, vol. 21(5), pages 735-758, September. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  7. Wallis, Kenneth F., 2003. "Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts," International Journal of Forecasting, Elsevier, vol. 19(2), pages 165-175. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  8. Mitchell, Peter R. & Sault, Joanne E. & Wallis, Kenneth F., 2000. "Fiscal policy rules in macroeconomic models: principles and practice," Economic Modelling, Elsevier, vol. 17(2), pages 171-193, April. [Downloadable!] (restricted)

    Cited by:

    1. Kinnunen, Helvi, 2008. "Government funds and demographic transition – alleviating ageing costs in a small open economy," Research Discussion Papers 21/2008, Bank of Finland. [Downloadable!]
    2. Javier J. Pérez & Paul Hiebert, 2002. "Identifying endogenous fiscal policy rules for macroeconomic models," Economic Working Papers at Centro de Estudios Andaluces E2002/06, Centro de Estudios Andaluces. [Downloadable!]
      Other versions:
    3. Margarida Duarte & Alexander Wolman, 2002. "Regional inflation in a currency union: fiscal policy vs. fundamentals," Working Paper Series 180, European Central Bank. [Downloadable!]
      Other versions:
    4. Philippe Michel & Leopold von Thadden & Jean-Piere Vidal, 2005. "Debt stabilizing fiscal rules," Computing in Economics and Finance 2005 349, Society for Computational Economics. [Downloadable!]
      Other versions:
    5. Silvia Sgherri, 2002. "The fiscal dimension of a common monetary policy: results with a non-Ricardian global model," European Journal of Finance, Taylor and Francis Journals, vol. 8(4), pages 449-479, December. [Downloadable!] (restricted)
      Other versions:
    6. Giovanni Ganelli, 2002. "Fiscal Policy Rules in an Overlapping Generations Model with Endogenous Labour Supply," Trinity Economics Papers 200215, Trinity College Dublin, Department of Economics. [Downloadable!]
      Other versions:
    7. Richard Johnson, 2001. "Fiscal reaction rules in numerical macro models," Research Working Paper RWP 01-01, Federal Reserve Bank of Kansas City. [Downloadable!]
    8. Alpo Willman & Angel Estrada, 2002. "The spanish block of the ESCB-multi-country model," Working Paper Series 149, European Central Bank. [Downloadable!]
    9. Evi Pappa, 2005. "The Unbearable Tightness of Being in a Monetary Union: Fiscal Restrictions and Regional Stability"," Working Papers 294, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
      Other versions:
    10. Javier Andrés & Rafael Doménech, 2006. "Fiscal Rules and Macroeconomic Stability," Hacienda Pública Española, IEF, vol. 176(1), pages 9-41, April. [Downloadable!]
      Other versions:
    11. A J Hughes Hallett & Peter McAdam, 2001. "Fiscal Consolidation and the Probability Distribution of Deficits: A Stochastic Analysis of the Stability Pact," Studies in Economics 0101, Department of Economics, University of Kent. [Downloadable!]
    12. Margarida Duarte & Alexander L. Wolman, 2003. "Fiscal policy and regional inflation in a currency union," Working Paper 03-11, Federal Reserve Bank of Richmond. [Downloadable!]
      Other versions:

  9. Mitchell, Peter R. & Sault, Joanne E. & Smith, Peter N. & Wallis, Kenneth F., 1998. "Comparing global economic models," Economic Modelling, Elsevier, vol. 15(1), pages 1-48, January. [Downloadable!] (restricted)

    Cited by:

    1. Peter van Els & Alberto Locarno & Julian Morgan & Jean-Pierre Villetelle, 2001. "Monetary policy transmission in the euro area: what do aggregate and national structural models tell us?," Temi di discussione (Economic working papers) 433, Bank of Italy, Economic Research Department. [Downloadable!]
      Other versions:
    2. Julian Benedict Morgan & Peter McAdam, 2001. "The monetary transmission mechanism in the Euro area level: issues and results using structural macroeconomic models (MTN conference paper)," Working Paper Series 093, European Central Bank. [Downloadable!]
    3. Agnes Benassy-Quere & Benoit Mojon & Armand-Denis Schor, 1998. "The International Role of the Euro," Working Papers 1998-03, CEPII research center. [Downloadable!]
    4. Peter McAdam, 1998. "A Pedagogical Note on the Long Run of Macro Economic Models," Studies in Economics 9807, Department of Economics, University of Kent. [Downloadable!]
    5. Kenneth F. Wallis & Jan P. A. M. Jacobs, 2005. "Comparing SVARs and SEMs: two models of the UK economy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 209-228. [Downloadable!]
    6. A J Hughes Hallett & Peter McAdam, 2001. "Fiscal Consolidation and the Probability Distribution of Deficits: A Stochastic Analysis of the Stability Pact," Studies in Economics 0101, Department of Economics, University of Kent. [Downloadable!]
    7. Agnes Benassy-Quere & Benoit Mojon & Jean Pisani-Ferry, 1997. "The Euro and Exchange Rate Stability," Working Papers 1997-12, CEPII research center. [Downloadable!]
    8. F. Bohn, 2003. "Monetary Union and the Interest-Exchange Rate Trade-off," Economics Discussion Papers 554, University of Essex, Department of Economics. [Downloadable!]
      Other versions:
    9. Hughes Hallett, Andrew & Piscitelli, Laura, 1999. "EMU in Reality: The Effect of a Common Monetary Policy on Economies with Different Transmission Mechanisms," CEPR Discussion Papers 2068, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    10. S. Sgherri, 2000. "The fiscal dimension of a common monetary policy: results with a non-Ricardian global model," WO Research Memoranda (discontinued) 615, Netherlands Central Bank, Research Department. [Downloadable!]
      Other versions:

  10. Church, Keith B. & Mitchell, Peter R. & Smith, Peter N. & Wallis, Kenneth F., 1996. "Targeting inflation: Comparative control exercises on models of the UK economy," Economic Modelling, Elsevier, vol. 13(2), pages 169-184, April. [Downloadable!] (restricted)

    Cited by:

    1. Sushanta K. Mallick, 2006. "Policy instruments to avoid output collapse: an optimal control model for India," Applied Financial Economics, Taylor and Francis Journals, vol. 16(10), pages 761-776, June. [Downloadable!] (restricted)

  11. Church, Keith B & Smith, Peter N & Wallis, Kenneth F, 1994. "Econometric Evaluation of Consumers' Expenditure Equations," Oxford Review of Economic Policy, Oxford University Press, vol. 10(2), pages 71-85, Summer.

    Cited by:

    1. Byung Yeon Kim, 1997. "Soviet Household Saving Function," Economic Change and Restructuring, Springer, vol. 30(2), pages 181-203, May. [Downloadable!] (restricted)
      Other versions:
    2. Maclennan, Duncan & Muellbauer, John & Stephens, Mark, 1999. "Asymmetries in Housing and Financial Market Institutions and EMU," CEPR Discussion Papers 2062, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    3. S. Sgherri, 1999. "Monetary transmission channels, monetary regimes and consumption behaviour," WO Research Memoranda (discontinued) 602, Netherlands Central Bank, Research Department. [Downloadable!]
      Other versions:
    4. David Begg & Stephany Griffith-Jones, 1998. "Swinging since the 60's: Fluctuations in UK Saving and Lessons for Latin America," RES Working Papers 3032, Inter-American Development Bank, Research Department. [Downloadable!]
    5. K Alec Chrystal & Paul Mizen, . "Consumption, money and lending: a joint model for the UK household sector," Bank of England working papers 134, Bank of England. [Downloadable!]
    6. Khoon Lek Goh & Richard Downing, 2002. "Modelling New Zealand Consumption Expenditure over the 1990s," Treasury Working Paper Series 02/19, New Zealand Treasury. [Downloadable!]
    7. Gabriel Fagan & Jérôme Henry & Ricardo Mestre, 2001. "An area-wide model (AWM) for the euro area," Working Paper Series 42, European Central Bank. [Downloadable!]
    8. Emilio Fernandez-Corugedo & Simon Price & Andrew Blake, . "The dynamics of consumers' expenditure: the UK consumption ECM redux," Bank of England working papers 204, Bank of England. [Downloadable!]

  12. Wallis, Kenneth F, 1993. "On Macroeconomic Policy and Macroeconometric Models," The Economic Record, The Economic Society of Australia, vol. 69(205), pages 113-30, June.
    Other versions:

    See citations under working paper version above.

  13. Wallis, Kenneth F, 1993. "Comparing Macroeconometric Models: A Review Article," Economica, London School of Economics and Political Science, vol. 60(238), pages 225-37, May. [Downloadable!] (restricted)

    Cited by:

    1. Alan A. Powell, 1998. "When Modellers Behave Like Lawyers: Have we Lost The Plot?," Centre of Policy Studies/IMPACT Centre Working Papers g-125, Monash University, Centre of Policy Studies/IMPACT Centre. [Downloadable!]
    2. David Hendry, 2000. "A General Forecast-error Taxonomy," Econometric Society World Congress 2000 Contributed Papers 0608, Econometric Society. [Downloadable!]
    3. David Hendry, 2000. "Forecast Failure, Expectations Formation, and the Lucas Critique," Economics Papers 2002-W8, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:
    4. Scott Moss & Bruce Edmonds & Steve Wallis, 1997. "Validation and Verification of Computational Models with Multiple Cognitive Agents," Discussion Papers 97-25, Manchester Metropolitan University, Centre for Policy Modelling. [Downloadable!]

  14. Wallis, Kenneth F & Whitley, John D, 1991. " Large-Scale Econometric Models of National Economies," Scandinavian Journal of Economics, Blackwell Publishing, vol. 93(2), pages 283-314.

    Cited by:

    1. Jan Jacobs & Albert van der Horst,, 1996. "VAR-ing the economy of the Netherlands," Working Papers 24, Centre for Economic Research, University of Groningen and University of Twente. [Downloadable!]
    2. Thomas M Fullerton Jr & Eiichi Araki, 2004. "New Directions in Latin American Macroeconometrics," Development and Comp Systems 0408002, EconWPA. [Downloadable!]

  15. Fisher, Paul G. & Wallis, Kenneth F., 1990. "The historical tracking performance of UK macroeconometric models 1978-1985," Economic Modelling, Elsevier, vol. 7(2), pages 179-197, April. [Downloadable!] (restricted)

    Cited by:

    1. Matthews, Kent & Minford, Patrick & Naraidoo, Ruthira, 2008. "Vicious and Virtuous Circles - The Political Economy of Unemployment in Interwar UK and USA," CEPR Discussion Papers 6839, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    2. Hukkinen, Juhana & Viren, Matti, 1996. "Assessing the Forecasting Performance of a Macroeconomic Model," Research Discussion Papers 23/1996, Bank of Finland. [Downloadable!]

  16. Wallis, Kenneth F, 1989. "Macroeconomic Forecasting: A Survey," Economic Journal, Royal Economic Society, vol. 99(394), pages 28-61, March. [Downloadable!] (restricted)

    Cited by:

    1. Sharon Kozicki & P.A. Tinsley, 2006. "Survey-Based Estimates of the Term Structure of Expected U.S. Inflation," Working Papers 06-46, Bank of Canada. [Downloadable!]
    2. Massimiliano Marcellino, . "Further Results on MSFE Encompassing," Working Papers 143, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
    3. David Hendry & Michael P. Clements, 2001. "Economic Forecasting: Some Lessons from Recent Research," Economics Papers 2002-W11, Economics Group, Nuffield College, University of Oxford. [Downloadable!]
      Other versions:
    4. Giampiero Gallo, 1991. "Forecast Error Decomposition in a Nonlinear Model with Provisional Data," Annales d'Economie et de Statistique, ADRES, issue 22, pages 05, Avril-Jui. [Downloadable!]
    5. Verbeek, Jos, 1999. "The World Bank's Unified Survey projections : how accurate are they? an ex-post evaluation of US91-US97," Policy Research Working Paper Series 2071, The World Bank. [Downloadable!]
    6. Duarte, A. & Venetis, I. & Payá, I., 2004. "Curva de rendimientos y crecimiento de la producción real en la UEM: eficiencia y estabilidad predictiva./Yield Curve and Real Output Growth in the EMU: Efficiency and Predictive Stability," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 22, pages 21, Abril. [Downloadable!] (restricted)
    7. Enrico Tanuwidjaja & Choy Keen Meng, 2005. "Central Bank Credibility and Monetary Policy: Evidence from Small Scale Macroeconomic Model of Indonesia," SCAPE Policy Research Working Paper Series 0514, National University of Singapore, Department of Economics, SCAPE. [Downloadable!]
    8. Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society. [Downloadable!]
    9. Emmanuelle Clement & Jean-Marc Germain, 1993. "VAR et prévisions conjoncturelles," Annales d'Economie et de Statistique, ADRES, issue 32, pages 06, Octobre-D. [Downloadable!]
    10. Knüppel, Malte & Schultefrankenfeld, Guido, 2008. "How informative are macroeconomic risk forecasts? An examination of the Bank of England's inflation forecasts," Discussion Paper Series 1: Economic Studies 2008,14, Deutsche Bundesbank, Research Centre. [Downloadable!]
    11. Barot, Bharat, 2007. "Empirical Studies in Consumption, House Prices and the Accuracy of European Growth and Inflation Forecasts," Working Paper 98, National Institute of Economic Research. [Downloadable!]
    12. Öller, Lars-Erik & Barot, Bharat, 2000. "The Accuracy of European Growth and Inflation Forecasts," Working Paper 72, National Institute of Economic Research. [Downloadable!]
      Other versions:
    13. Michael Groemling, 2005. "Konjunkturprognosen – Verfahren, Erfolgskontrolle und Prognosefehler," Departmental Discussion Papers 123, University of Goettingen, Department of Economics. [Downloadable!]
    14. John C. Robertson & Ellis W. Tallman, 1999. "Improving forecasts of the federal funds rate in a policy model," Working Paper 99-3, Federal Reserve Bank of Atlanta. [Downloadable!]
    15. Victor Zarnowitz, 1991. "Has Macro-Forecasting Failed?," NBER Working Papers 3867, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  17. Turner, David S & Wallis, Kenneth F & Whitley, John D, 1989. "Differences in the Properties of Large-Scale Macroeconometric Models: The Role of Labour Market Specifications," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(4), pages 317-44, Oct.-Dec.. [Downloadable!] (restricted)

    Cited by:

    1. Ingvild Svendsen, 1999. "Female labour participation rates in Norway - trends and cycles," Discussion Papers 253, Research Department of Statistics Norway. [Downloadable!]

  18. Peter Burridge & Kenneth Wallis, 1988. "Prediction theory for autoregressivemoving average processes," Econometric Reviews, Taylor and Francis Journals, vol. 7(1), pages 65-95. [Downloadable!] (restricted)

    Cited by:

    1. Tommaso Proietti, 2004. "On the Model-Based Interpretation of Filters and the Reliability of Trend-Cycle Estimates," Econometrics 0403007, EconWPA. [Downloadable!]
      Other versions:
    2. Tommaso Proietti, 2002. "Some Reflections on Trend-Cycle Decompositions with Correlated Components," Econometrics 0209002, EconWPA. [Downloadable!]
      Other versions:
    3. Eric Ghysels & Clive W.J. Granger & Pierre L. Siklos, 1995. "Is Seasonal Adjustment a Linear or Nonlinear Data Filtering Process?," CIRANO Working Papers 95s-19, CIRANO. [Downloadable!]
      Other versions:
    4. A. C. Harvey & Siem Jan Koopman, 2000. "Computing Observation Weights for Signal Extraction and Filtering," Econometric Society World Congress 2000 Contributed Papers 0888, Econometric Society. [Downloadable!]
      Other versions:
    5. J Keith Ord & Ralph D Snyder & Anne B Koehler & Rob J Hyndman & Mark Leeds, 2005. "Time Series Forecasting: The Case for the Single Source of Error State Space," Monash Econometrics and Business Statistics Working Papers 7/05, Monash University, Department of Econometrics and Business Statistics. [Downloadable!]
    6. Harvey, A. & Koopman, S.J., 1999. "Signal extraction and the formulation of unobserved components models," Discussion Paper 44, Tilburg University, Center for Economic Research. [Downloadable!]
      Other versions:
    7. Tommaso Proietti, 2006. "Measuring Core Inflation by Multivariate Structural Time Series Models," CEIS Research Paper 83, Tor Vergata University, CEIS. [Downloadable!]

  19. Kenneth F. Wallis & John D. Whitley, 1987. "Long-Run Properties of Large-Scale Macroeconometric Models," Annales d'Economie et de Statistique, ADRES, issue 6-7, pages 09, Avril-Sep. [Downloadable!]

    Cited by:

    1. Peter McAdam, 1998. "A Pedagogical Note on the Long Run of Macro Economic Models," Studies in Economics 9807, Department of Economics, University of Kent. [Downloadable!]

  20. Burridge, Peter & Wallis, Kenneth F, 1984. "Unobserved-Components Models for Seasonal Adjustment Filters," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(4), pages 350-59, October.
    Other versions:

    See citations under working paper version above.

  21. Wallis, Kenneth F., 1982. "'Time-series' versus 'econometric' forecasts : A non-linear regression counterexample," Economics Letters, Elsevier, vol. 10(3-4), pages 309-315. [Downloadable!] (restricted)

    Cited by:

    1. Gajda, Jan B. & Markowski, Aleksander, 1998. "Model Evaluation Using Stochastic Simulations: The Case of the Econometric Model KOSMOS," Working Paper 61, National Institute of Economic Research. [Downloadable!]

  22. Wallis, Kenneth F, 1980. "Econometric Implications of the Rational Expectations Hypothesis," Econometrica, Econometric Society, vol. 48(1), pages 49-73, January. [Downloadable!] (restricted)

    Cited by:

    1. Willett, Lois Schertz, 1991. "An Application Of The Rational Expectations Hypothesis In The U.S. Beekeeping Industry," Northeastern Journal of Agricultural and Resource Economics, Northeastern Agricultural and Resource Economics Association, vol. 20(2), October. [Downloadable!]
    2. Matthew T. Holt & Stanley R. Johnson, 1988. "Bounded Price Variation, Rational Expectations, and Endogenous Switching in the U.S. Corn Market," Center for Agricultural and Rural Development (CARD) Publications 88-wp28, Center for Agricultural and Rural Development (CARD) at Iowa State University. [Downloadable!]
    3. Marco Antonio Bonomo & Ricardo D. Brito, 2001. "Regras Monetárias e Dinâmica Macroeconômica no Brasil: Uma Abordagem de Expectativas Racionais," Working Papers Series 28, Central Bank of Brazil, Research Department. [Downloadable!]
      Other versions:
    4. Pettersson-Lidbom, Per & Dahlberg, Matz, 2003. "An Empirical Approach for Evaluating Soft Budget Constraints," Working Paper Series 2003:28, Uppsala University, Department of Economics. [Downloadable!]
    5. Hui-Kuan Tseng, 1998. "EXCHANGE RATE VARIABILITY AND EXCHANGE MARKET INTERVENTION: SPOT vs. FORWARD," International Economic Journal, Korean International Economic Association, vol. 12(2), pages 1-16, June. [Downloadable!] (restricted)
    6. Peter M. Garber & Robert G. King, 1983. "Deep Structral Excavation? A Critique of Euler Equation Methods," NBER Technical Working Papers 0031, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    7. von Witzke, Harald & Hausner, Ulrich, 1993. "A Public Choice Analysis Of U.S. Producer Price Support In Wheat And Corn: Implications For Agricultural Trade And Policy," Staff Papers 13475, University of Minnesota, Department of Applied Economics. [Downloadable!]
    8. M. Suresh Babu, 2002. "Economic reforms and entry barriers in Indian manufacturing," Centre for Development Studies, Trivendrum Working Papers 331, Centre for Development Studies, Trivendrum, India. [Downloadable!]
    9. Riccardo Fiorentini, 1991. "Ex ante purchasing power parity: An empirical note," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 127(2), pages 343-355, June. [Downloadable!] (restricted)
    10. Burton, Diana M. & Love, H. Alan, 1996. "A Review Of Alternative Expectations Regimes In Commodity Markets: Specification, Estimation, And Hypothesis Testing Using Structural Models," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 25(2), October. [Downloadable!]
    11. Ray C. Fair & John B. Taylor, 1980. "Solution and Maximum Likelihood Estimation of Dynamic Nonlinear RationalExpectations Models," NBER Technical Working Papers 0005, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
      Other versions:
    12. Hans M. Amman & David A. Kendrick, 1997. "Teaching Macroeconomics with Gams," Economics, University of Texas at Austin 9702, Center for Applied Research in Economics. [Downloadable!]
      Other versions:
    13. Palm, F.C. & Nijman, Th., 1984. "Consistent estimation using proxy-variables in models with unobserved variables," Serie Research Memoranda 0012, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    14. Willem H. Buiter, 1981. "Macroeconometric Modelling for Policy Evaluation and Design," NBER Technical Working Papers 0013, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    15. Fisher, Brian S., 1983. "Rational Expectations In The Australian Wool Industry," Australian Journal of Agricultural Economics, Australian Agricultural and Resource Economics Society, vol. 27(03), December. [Downloadable!]
    16. Ananda Jayawickrama & Tilak Abeysinghe, 2006. "Sustainability Of Fiscal Deficits: The U.S. Experience 1929-2004," SCAPE Policy Research Working Paper Series 05xx, National University of Singapore, Department of Economics, SCAPE. [Downloadable!]
    17. Palm, F.C., 1981. "Structural econometric modelling and time series analysis towards an integrated approach," Serie Research Memoranda 0004, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    18. Gilbert, Christopher L., 1990. "The rational expectations hypothesis in models of primary commodity prices," Policy Research Working Paper Series 384, The World Bank. [Downloadable!]
    19. Seale, James L., Jr. & Shonkwiler, J.S., 1987. "Rationality, Price Risk, And Response," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 19(01), July. [Downloadable!]
    20. M Suresh Babu, 2007. "Economic Reforms And Entry Barriers In Indian Manufacturing," Working Papers id:978, esocialsciences.com. [Downloadable!]
    21. Eliasson, Gunnar, 2004. "Ignorant Actors in the Resource Rich World of the Knowledge Based Economy - On Rational Management in an Experimentally Organized Economy (EOE)," Ratio Working Papers 47, The Ratio Institute. [Downloadable!]
    22. Orley Ashenfelter & David Card, 1982. "Time Series Representation of Economic Variables and Alternative Models of the Labor Market," Working Papers 528, Princeton University, Department of Economics, Industrial Relations Section.. [Downloadable!]
      Other versions:
    23. Lopez, Rigoberto A. & Munoz, Arnold O., 1987. "Supply Response In The Northeastern Fresh Tomato Market," Northeastern Journal of Agricultural and Resource Economics, Northeastern Agricultural and Resource Economics Association, vol. 16(1), April. [Downloadable!]
    24. Campos, M. Isabel & Herrera, Julio & Jimenez-Ridruejo, Zenon, 1999. "Censured Exchange Rates in a Discrete Time Target Zones Model: The Spanish Peseta/Deutsche Mark Case," ERSA conference papers ersa99pa183, European Regional Science Association. [Downloadable!]
    25. Della Corte, Pasquale & Sarno, Lucio & Thornton, Daniel L, 2007. "The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value," CEPR Discussion Papers 6445, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
      Other versions:
    26. Lucio Sarno & Daniel L. Thornton, 2003. "The efficient market hypothesis and identification in structural VARs," Working Papers 2003-032, Federal Reserve Bank of St. Louis. [Downloadable!]
      Other versions:

  23. Wallis, Kenneth F, 1977. "Multiple Time Series Analysis and the Final Form of Econometric Models," Econometrica, Econometric Society, vol. 45(6), pages 1481-97, September. [Downloadable!] (restricted)

    Cited by:

    1. Helmut Luetkepohl, 2004. "Forecasting with VARMA Models," Economics Working Papers ECO2004/25, European University Institute. [Downloadable!]
      Other versions:
    2. Weaver, R.D. & Stefanou, S.E., 1984. "Toward A Behavioral Approach To Modelling Dynamic Production Choice Structures," Northeastern Journal of Agricultural and Resource Economics, Northeastern Agricultural and Resource Economics Association, vol. 13(2), October. [Downloadable!]
    3. Federico Ravenna, 2006. "Vector autoregressions and reduced form representations of DSGE models," Banco de España Working Papers 0619, Banco de España. [Downloadable!]
      Other versions:
    4. H. Lütkepohl, . "Forecasting Cointegrated VARMA Processes," Sonderforschungsbereich 373 1999-68, Humboldt Universitaet Berlin.
    5. Marc Nerlove, 1979. "The Dynamics of Supply: Retrospect and Prospect," Discussion Papers 394, Northwestern University, Center for Mathematical Studies in Economics and Management Science. [Downloadable!]
    6. Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006. "Time Series Analysis," PIER Working Paper Archive 06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania. [Downloadable!]
      Other versions:
      • Diebold, F.X. & Kilian, L. & Nerlove, M., 2006. "Time Series Analysis," Working Papers 28556, University of Maryland, Department of Agricultural and Resource Economics. [Downloadable!]
    7. Gianluca Cubadda & Alain Hecq & Franz C. Palm, 2008. "Studying Co-Movements in Large Multivariate Data Prior to Multivariate Modelling," CEIS Research Paper 125, Tor Vergata University, CEIS, revised 14 Jul 2008. [Downloadable!]
      Other versions:
    8. D.S. Poskitt, . "Specification of echelon form VARMA models," Statistic und Oekonometrie 9305, Humboldt Universitaet Berlin. [Downloadable!]
    9. Palm, F.C., 1981. "Structural econometric modelling and time series analysis towards an integrated approach," Serie Research Memoranda 0004, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics. [Downloadable!]
    10. Özer Karagedikli & Rishab Sethi & Christie Smith & Aaron Drew, 2008. "Changes in the transmission mechanism of monetary policy in New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2008/03, Reserve Bank of New Zealand. [Downloadable!]

  24. Wallis, Kenneth F, 1972. "Testing for Fourth Order Autocorrelation in Qtrly Regression Equations," Econometrica, Econometric Society, vol. 40(4), pages 617-36, July. [Downloadable!] (restricted)

    Cited by:

    1. Chris M. Alaouze & John S. Marsden & John Zeitsch, 1977. "Estimates of the Elasticity of Substitution Between Imported and Domestically Produced Commodities at the Four Digit ASIC Level," Centre of Policy Studies/IMPACT Centre Working Papers o-11, Monash University, Centre of Policy Studies/IMPACT Centre. [Downloadable!]
    2. David F. Hendry & Gordon J. Anderson, 1975. "Testing Dynamic Specification in Small Simultaneous Systems: An Application to a Model of Building Society Behavior in the United Kingdom," Cowles Foundation Discussion Papers 398, Cowles Foundation, Yale University. [Downloadable!]
    3. Banerjee, A.N. & Magnus, J.R., 1996. "Testing the sensitivity of ols when the variance matrix is (partially) unknown," Discussion Paper 54, Tilburg University, Center for Economic Research. [Downloadable!]
    4. Roberts, Roland K., 1985. "Transportation Costs In Econometric Models Of State Agricultural Sectors: The Case Of Beef In Hawaii," Western Journal of Agricultural Economics, Western Agricultural Economics Association, vol. 10(01), July. [Downloadable!]

  25. Wallis, Kenneth F, 1972. "The Efficiency of the Two-Step Estimator," Econometrica, Econometric Society, vol. 40(4), pages 769-70, July. [Downloadable!] (restricted)

    Cited by:

    1. David Mandy & Carlos Martins-Filho, 2001. "Optimal Iv Estimation Of Systems With Stochastic Regressors And Var Disturbances With Applications To Dynamic Systems," Econometric Reviews, Taylor and Francis Journals, vol. 20(4), pages 485-505. [Downloadable!] (restricted)
      Other versions:

  26. Wallis, Kenneth F, 1969. "Some Recent Developments in Applied Econometrics: Dynamic Models and Simultaneous Equation Systems," Journal of Economic Literature, American Economic Association, vol. 7(3), pages 771-96, September. [Downloadable!] (restricted)

    Cited by:

    1. Arthur Goldberger, 1971. "Econometrics and psychometrics: A survey of communalities," Psychometrika, Springer, vol. 36(2), pages 83-107, June. [Downloadable!] (restricted)
    2. James Chan-Lee, 1980. "A review of recent work in the area of inflationary expectations," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 116(1), pages 45-86, March. [Downloadable!] (restricted)

Chapters

  1. Kenneth F. Wallis, 1979. "Seasonal Adjustment and Multiple Time Series Analysis," NBER Chapters, in: Seasonal Analysis of Economic Time Series, pages 347-364 National Bureau of Economic Research, Inc. [Downloadable!]
    Published as:

    Cited by:

    1. Eric Ghysels, 1992. "Christmas, Spring and the Dawning of Economic Recovery," Cowles Foundation Discussion Papers 1027, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    2. Richard M. Todd, 1989. "Periodic linear-quadratic methods for modeling seasonality," Staff Report 127, Federal Reserve Bank of Minneapolis. [Downloadable!]

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