Parameter constancy, mean square forecast errors, and measuring forecast performance: An exposition, extensions, and illustration

Co-Integration and Error Correction: Representation, Estimation, and Testing

1987 • 30,456 citations

A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity

1980 • 25,774 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Tests of Equality Between Sets of Coefficients in Two Linear Regressions

1960 • 6,273 citations

Techniques for Testing the Constancy of Regression Relationships Over Time

1975 • 4,552 citations

Empirical exchange rate models of the seventies

1983 • 4,141 citations

Efficient tests for normality, homoscedasticity and serial independence of regression residuals

1980 • 3,749 citations

TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. II

1951 • 3,595 citations

The Estimation of Economic Relationships using Instrumental Variables

1958 • 3,174 citations

Tests for Specification Errors in Classical Linear Least-Squares Regression Analysis

1969 • 3,017 citations

DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES

1986 • 2,603 citations

Distribution of Residual Autocorrelations in Autoregressive-Integrated Moving Average Time Series Models

1970 • 2,117 citations

Several Tests for Model Specification in the Presence of Alternative Hypotheses

1981 • 1,821 citations

Combining forecasts: A review and annotated bibliography

1990 • 1,537 citations

Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables

1978 • 1,361 citations

Exogeneity

1983 • 1,271 citations

Further Results on Tests of Separate Families of Hypotheses

1962 • 996 citations

Tests of Separate Families of Hypotheses

1961 • 844 citations

The Demand for Money Revisited

1973 • 742 citations

The Encompassing Principle and its Application to Testing Non-Nested Hypotheses

1986 • 619 citations

On the formulation of empirical models in dynamic econometrics

1982 • 617 citations

Econometric Evaluation of Linear Macro-Economic Models

1986 • 597 citations

The Econometric Analysis of Time Series.

1981 • 586 citations

Statistical Foundations of Econometric Modelling

1986 • 502 citations

TESTING FOR SERIAL CORRELATION IN LEAST SQUARES REGRESSION. I

1950 • 488 citations

On the General Problem of Model Selection

1974 • 458 citations

Tests of Equality Between Sets of Coefficients in Two Linear Regressions: An Expository Note

1970 • 390 citations

Statistical Foundations of Econometric Modelling.

1990 • 385 citations

Modeling the demand for narrow money in the United Kingdom and the United States

1991 • 381 citations

The Goodness of Fit of Regression Formulae, and the Distribution of Regression Coefficients

1922 • 299 citations

The demand for money

1990 • 291 citations

Econometric methodology: a personal perspective

2008 • 250 citations

THE ENCOMPASSING IMPLICATIONS OF FEEDBACK VERSUS FEEDFORWARD MECHANISMS IN ECONOMETRICS *

1988 • 224 citations

Forecasting in Business and Economics

1981 • 216 citations

Linear prediction and estimation methods for regression models with stationary stochastic coefficients

1980 • 204 citations

On the Rigour of Some Misspecification Tests for Modelling Dynamic Relationships

1986 • 199 citations

Recursive stability analysis of linear regression relationships

1982 • 128 citations

The Out-of-Sample Forecasting Performance of Exchange Rate Models when Coefficients are Allowed to Change

1987 • 121 citations

Forecast combination and encompassing: Reconciling two divergent literatures

1989 • 120 citations

Predictive Failure and Econometric Modelling in Macroeconomics: The Transactions Demand for Money

2000 • 114 citations

A quantitative reassessment of the purchasing power parity hypothesis: Evidence from Norway and the United Kingdom

1987 • 108 citations

The out-of-sample forecasting performance of exchange rate models when coefficients are allowed to change

1989 • 107 citations

Heteroscedasticity in Models with Lagged Dependent Variables

1983 • 97 citations

Random and changing coefficient models

1984 • 92 citations

Dummy variables and predictive tests for structural change

1980 • 85 citations

On the role of simulation in the statistical evaluation of econometric models

1989 • 70 citations

A Monte Carlo Study of the Effects of Structural Breaks on Tests for Unit Roots

1991 • 68 citations

Forecasting in business and economics

1990 • 55 citations

Some Approximations to the Distribution of Econometric Criteria which are Asymptotically Distributed as Chi-Squared

1980 • 52 citations

Evaluating the predictive accuracy of models

1986 • 47 citations

The role of prediction in evaluating econometric models

1986 • 47 citations

Comment

1983 • 37 citations

Conditional Econometric Modeling: An Application to New House Prices in the United Kingdom

1985 • 35 citations

PC-Give and David Hendry's Econometric Methodology

1991 • 33 citations

Comments on the evaluation of policy models

1992 • 32 citations

Forecast performance of exchange rate models revisited

1991 • 25 citations

When is the Chow Test UMP?

1978 • 21 citations

Forecast Encompassing and Model Evaluation

1991 • 19 citations

Should fixed coefficients be re‐estimated every period for extrapolation?

1989 • 17 citations

Econometric Modeling of Consumers' Expenditure in Venezuela

1988 • 14 citations

The rise and fall of sterling: testing alternative models of exchange rate determination

1985 • 8 citations

When Is the Chow Test UMP?

1978 • 8 citations

PC-give and David Hendry's econometric methodology

1991 • 7 citations