We recommend a major shift in the Econometrics curriculum for both graduate and undergraduate teaching. It is essential to include a range of topics that are still rarely addressed in such teaching, but are now vital for understanding and conducting empirical macroeconomic research. We focus on...

We recommend a major shift in the Econometrics curriculum for both graduate and undergraduate teaching. It is essential to include a range of topics that are still rarely addressed in such teaching, but are now vital for understanding and conducting empirical macroeconomic research. We focus on...

Understanding the workings of whole economies is essential for sound policy advice - but not necessarily for accurate forecasts.  Structural models play a major role at most central banks and many other governmental agencies, yet almost none forecast the financial crisis and ensuing...

We model expenditure on food in the USA, using an extended time series.  Even when a theory is essentially 'correct', it can manifest serious mis-specification if just fitted to data, ignoring its observed characteristics and major external events such as wars, recessions and policy changes. ...

To capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a...

Big Data offer potential benefits for statistical modelling, but confront problems including an excess of false positives, mistaking correlations for causes, ignoring sampling biases and selecting by inappropriate methods. We consider the many important requirements when searching for a...