To forecast an aggregate, we propose adding disaggregate variables, instead of combining forecasts of those disaggregates or forecasting by a univariate aggregate model. New analytical results show the effects of changing coefficients, misspecification, estimation uncertainty, and mismeasurement...

David Hendry has made major contributions to many areas of economic forecasting. He has developed a taxonomy of forecast errors and a theory of unpredictability that have yielded valuable insights into the nature of forecasting. He has also provided new perspectives on many existing forecast...

A financial stress index for the United States is introduced—one used by the staff of the Federal Reserve Board during the financial crisis of 2008–2009—and its׳ interaction with real activity, inflation and monetary policy is investigated using a Markov-switching VAR model, estimated...

We introduce quasi-likelihood ratio tests for one sided multivariate hypotheses to evaluate the null that a parsimonious model performs equally well as a small number of models which nest the benchmark. The limiting distributions of the test statistics are non-standard. For critical values we...

The literature on systems cointegration tests is reviewed and the various sets of assumptions for the asymptotic validity of the tests are compared within a general unifying framework. The comparison includes likelihood ratio tests, Lagrange multiplier and Wald type tests, lag augmentation...