Working Papers

Our working papers are also available through RePEc..

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2021

• No 2021-006: "Jointly Modeling Male and Female Labor Participation and Unemployment" David H. Bernstein and Andrew B. Martinez
• No. 2021-005: "Measuring Uncertainty of A Combined Forecast and Some Tests for Forecaster Heterogeneity" Kajal Lahiri, Huaming Peng, and Xuguang Simon Sheng. This paper is Forthcoming in Advances in Econometrics special issue in honor of Hashem Pesaran.
• No. 2021-004: "Sentiment and Uncertainty about Regulation" Tara M. Sinclair and Zhoudan Xie
• Special Blog Post: "Does a wider distribution of forecasts predict negative GDP growth?" by our Spring 2021 Stekler Fellow, Tishya Kahar.  
• No. 2021-003: "The Forecasts of Individual FOMC Members: New Evidence after Ten Years" Jaime Marquez and S Yanki Kalfa
• No. 2021-002: "Unit Cost Expectations and Uncertainty: Firms' Perspectives on Inflation" Brent H. Meyer, Nicholas B. Parker, and Xuguang Simon Sheng.
• No. 2021-001: "Dynamic Econometrics in Action: A Biography of David F. Hendry" Neil R. Ericsson  Forthcoming as a chapter in The Palgrave Companion to Oxford Economics.

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2020

• No. 2020-009: "Smooth Robust Multi-Horizon Forecasts" Andrew B. Martinez, Jennifer L. Castle, and David F. Hendry.  Forthcoming in Advances in Econometrics special issue in honor of Hashem Pesaran.
• No. 2020-008: "Extracting Information from Different Expectations" Andrew B. Martinez
• No. 2020-007: "The FOMC's New Individual Economic Projections and Macroeconomic Theories" Natsuki Arai.
• No. 2020-006: "The Impact of the COVID-19 Pandemic on Business Expectations" Brent H. Meyer, Bryan Prescott, and Xuguang Simon Sheng. A revised version is now forthcoming in the International Journal of Forecasting.
• No. 2020-005: "Expectation Formation and the Persistence of Shocks"  Constantin Bürgi
• No. 2020-004: "Nowcasting Unemployment Insurance Claims in the Time of COVID-19" William D. Larson and Tara M. Sinclair. A revised version is now forthcoming in the International Journal of Forecasting.
• No. 2020-003: "Forecast Accuracy Matters for Hurricane Damages" Andrew B. Martinez
• No. 2020-002: " Consumer Inflation Expectations and Household Weights"  Constantin Bürgi
• No. 2020-001: "What Does Forecaster Disagreement Tell us about the State of the Economy?" Tara M. Sinclair and Constantin Bürgi - A revised version of this paper is forthcoming in Applied Economics Letters.

2019

• No. 2019-003: "Continuities and Discontinuities in Economic Forecasting" Tara M. Sinclair.
• No. 2019-002: " Sectoral Okun's Law and Cross-Country Cyclical Differences" Eiji Goto and Constantin Bürgi
• No. 2019-001: "Estimating monetary policy rules in small open economies" Michael S. Lee-Browne

2018

• No. 2018-007:  "Forecasting FOMC Forecasts" S. Yanki Kalfa and Jaime Marquez.A revised version is forthcoming in Econometrics. 
• No. 2018-006:  "Going with your Gut: The (In)accuracy of Forecast Revisions in a Football Score Prediction Game" Carl Singleton, J. James Reade, and Alasdair Brown
• No. 2018-005:  "A Textual Analysis of Bank of England Growth Forecasts" Jacob T. Jones, Tara M. Sinclair, and Herman O. Stekler New version, May 2019.  A revised version is forthcoming in the International Journal of Forecasting.  
  Cited in Reuters in: A few choice words could lead to better central bank forecasts
• No. 2018-004:  "Forecasting the 1937-1938 Recession: Quantifying Contemporary Newspaper Forecasts" Gabriel Mathy and Christian Roatta.  
• No. 2018-003:  "Identification of the Linear Factor Model" Benjamin Williams.  
• No. 2018-002:  "Identification of a Nonseparable Model under Endogeneity using Binary Proxies for Unobserved Heterogeneity" Benjamin Williams.  
• No. 2018-001:  "French Nowcasts of the US Economy during the Great Recession: A Textual Analysis" Emma Catalfamo.  

2017

• No. 2017-004: "Was the Deflation of the Depression Anticipated?  An Inference Using Real Time Data" Gabriel Mathy and Herman O. Stekler.  A revised version of this paper is forthcoming in the Journal of Economic Methodology.
• No. 2017-003: "What if you are not Bayesian? The consequences for decisions involving risk" Paul Goodwin, Dilek Önkal and Herman O. Stekler.
• No. 2017-002: "Theories, techniques and the formation of German business cycle forecasts: Evidence from a survey among professional forecasters," Jörg Döpke, Ulrich Fritsche, and Gabi Waldhof.
• No. 2017-001:  "How Biased Are U.S. Government Forecasts of the Federal Debt?", Neil R. Ericsson.  A revised version was published in the International Journal of Forecasting (April--June 2017) 33, 2, 543--559, 563--568. 

2016

• No. 2016-014:  "Nowcasting German Turning Points Using CUSUM Analysis", Kevin Kovacs, Bryan Boulier and Herman O. Stekler. 
• No. 2016-013:  "What Do We Lose When We Average Expectations?", Constantin Bürgi
• No. 2016-012:  "Economic Forecasting in Theory and Practice: An Interview with David F. Hendry", Neil R. Ericsson.  A revised version was published in the International Journal of Forecasting (April--June 2017) 33, 2, 523--542.
• No. 2016-011:  "Expectations and Forecasting during the Great Depression: Real-Time Evidence from the Business Press" Gabriel Mathy and Herman O. Stekler.   A revised version is forthcoming in the Journal of Macroeconomics.
• No. 2016-010:  "Missing the Mark: House Price Index Accuracy and Mortgage Credit Modeling" Alexander N. Bogin, William M. Doerner and William D. Larson
• No. 2016-009:  "Evaluating a Long-run Forecast: The World Bank Poverty Forecasts" Jin Ho Kim and Herman O. Stekler  A revised version is forthcoming in Economic Bulletin.
• No. 2016-008:  "Time-series measures of core inflation" Edward N. Gamber and Julie K. Smith 
• No. 2016-007:  "Do Fed Forecast Errors Matter?" Pao-Lin Tien, Tara M. Sinclair and Edward N. Gamber
• No. 2016-006:  "Predicting U.S. Business Cycle Turning Points Using Real-Time Diffusion Indexes Based on a Large Data Set" Herman O. Stekler and Yongchen Zhao.  Also see the Columbia Law School's Blue Sky Blog post about this article.
• No. 2016-005:  "Liquidity effects on consumers’ imports in Trinidad and Tobago" Michael Browne. A previous version won best PhD student paper and presentation at the 17th OxMetrics User Conference in Washington, DC, 2016.
• No. 2016-004:  "Evaluating a Leading Indicator: An Application: the Term Spread" Herman O. Stekler and Tianyu Ye
• No. 2016-003:  "Could the Start of the German Recession 2008-2009 have been Foreseen? Evidence from Real-Time Data" Ullrich Heilemann and Susanne Schnorr-Bäcker.  A revised version has been published in: Jahrbücher für Nationalökonomie und Statistik 237.1 (2017): 29-62.
• No. 2016-002: "Using Social Media to Identify Market Inefficiencies: Evidence from Twitter and Betfair", Alasdair Brown, Dooruj Rambaccussing, J. James Reade and Giambattista Rossi 
• No. 2016-001: "Forecasting the USD/CNY Exchange Rate under Different Policy Regimes", Yuxuan Huang. A previous version won an International Institute of Forecasters student forecasting award in 2015.

2015

• No. 2015-006: "A Nonparametric Approach to Identifying a Subset of Forecasters that Outperforms the Simple Average", Constantin Bürgi and Tara M. Sinclair.  A revised version of this paper is now forthcoming in the special issue of Empirical Economics in honor of Kajal Lahiri.  
• No. 2015-005: "Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms", Yongchen Zhao
• No. 2015-004: "Predicting Recessions With Boosted Regression Trees", Jörg Döpke, Ulrich Fritsche and Christian Pierdzioch
• No. 2015-003: "Eliciting GDP Forecasts from the FOMC’s Minutes Around the Financial Crisis", Neil R. Ericsson. A revised version was published in the International Journal of Forecasting (April--June 2016) 32, 2, 571--583. Fed IFDP Note "Predicting Fed Forecasts" provides a non-technical version.
• No. 2015-002: "Forecasting an Aggregate in the Presence of Structural Breaks in the Disaggregates", William Larson
• No. 2015-001: "Can a subset of forecasters beat the simple average in the SPF?", Constantin Bürgi

2014

• No. 2014-006: "Quasi Maximum-Likelihood Estimation of Dynamic Panel Data Models for Short Time Series", Robert F. Phillips
• (Updated: 2/11/2015) No. 2014-005: "Evaluating Qualitative Forecasts: The FOMC Minutes, 2006-2010", Herman O. Stekler and Hilary Symington.  A revised version is now forthcoming in the International Journal of Forecasting.  Cited in a Reuters article, "Overoptimistic Fed strains credibility on forecasts" and "A few choice words could lead to better central bank forecasts"
• No. 2014-004: "Evaluating Forecasts of a Vector of Variables: A German Forecasting Competition", Hans Christian Muller-Dröge, Tara M. Sinclair and Herman O. Stekler
  • Here is a link to the article in the German newspaper Handelsblatt which inspired this paper.
• No. 2014-003: "What Can We Learn From Revisions to the Greenbook Forecasts?", Jeff Messina, Tara M. Sinclair and Herman O. Stekler.  A revised version is now forthcoming in the Journal of Macroeconomics.
• No. 2014-002: "Comments on Dovern, Fritsche, Loungani and Tamirisa (forthcoming)", Olivier Coibion. A revised version is now published in the International Journal of Forecasting.
• No. 2014-001: "Information Rigidities: Comparing Average and Individual Forecasts for a Large International Panel", Jonas Dovern, Ulrich Fritsche, Prakash Loungani and Natalia Tamirisa. A revised version is now published in the International Journal of Forecasting.

2013

• No. 2013-006: "Benchmarking time series based forecasting models for electricity balancing market prices", Gro Klaeboe, Anders Lund Eriksrud and Stein-Erik Fleten
• No. 2013-005: "Using Forecasting to Detect Corruption in International Football," J. James Reade and Sachiko Akie
• No. 2013-004: "Truncated Product Methods for Panel Unit Root Tests," Xuguang Sheng and Jingyun Yang. Note: A revised version was published in the Oxford Bulletin of Economics and Statistics, Vol. 75, Issue 4, pp. 624-636, 2013.
• No. 2013-003: "Information Environment and The Cost of Capital," Orie Barron, Xuguang Sheng, and Maya Thevenot
• No. 2013-002: "Inflation Persistence: Revisited," Edward N. Gamber, Jeffrey P. Liebner, and Julie K. Smith
• No. 2013-001: "Does disagreement among oil price forecasters reflect future volatility? Evidence from the ECB Surveys," Tarek Atallah, Fred Joutz, and Axel Pierru

2012

• No. 2012-006: "Evaluating a Global Vector Autoregression for Forecasting," Neil R. Ericsson and Erica L. Reisman. Note: A revised version was published in International Advances in Economic Research, Vol. 18.2012, 3, p. 247-258
• No. 2012-005: "The Impact of the Real Exchange Rate on Non-Oil Exports. Is There an Asymmetric Adjustment Towards the Equilibrium?," Fakhri Hasanov
• No. 2012-004: "A New Approach for Evaluating Economic Forecasts," Tara M. Sinclair, H.O. Stekler, and Warren Carnow.  Note: A revised version was published in the Economics Bulletin, Vol. 32 No. 3 pp. 2332-2342 (2012).
• No. 2012-003: "Modelling and Forecasting Residential Electricity Consumption in the U.S. Mountain Region," Jason B. Jorgensen and Fred Joutz
• No. 2012-002: "Evaluating a Vector of the FED's Forecasts," Tara M. Sinclair, H.O. Stekler, and Warren Carnow.  Note: a revised version of the paper is forthcoming in the International Journal of Forecasting.
• No. 2012-001: "Forecasting Data Vintages," Tara M. Sinclair. Note: A revised version is forthcoming in a special issue on Flash Indicators of the International Journal of Forecasting.

2011

• No. 2011-006: "A New Look at China’s Output Fluctuations: Quarterly GDP Estimation with an Unobserved Components Approach," Yueqing Jia. Data Appendix
• No. 2011-005: "Economic Forecasting in the Great Recession," H.O. Stekler and Raj. M. Talwar.
• No. 2011-004: “The Forecasting Performance of Business Economists,” Kathryn Lundquist and H.O. Stekler.
• No. 2011-003: “Predicting the Outcomes of NCAA Basketball Championship Games,” H.O. Stekler and Andrew Klein. Note: A revised version of this paper was published in the Journal of Quantitative Analysis in Sports. Volume 8, Issue 1.
• No. 2011-002: “Comparing Government Forecasts of the United States‟ Gross Federal Debt,” Andrew B. Martinez.  This article was cited in an April 10, 2013, article about budget predictions in the National Journal.  A revised version of this paper is now forthcoming in the International Journal of Forecasting.
• Updated: 12/08/2011 No. 2011-001: “Examining the Quality of Early GDP Component Estimates” Tara M. Sinclair and H.O. Stekler. On August 17, 2011, Tara Sinclair was quoted in a New York Times article regarding research based on this paper.  Note: A revised version of this paper is forthcoming in the special issue on Flash Indicators of the International Journal of Forecasting

2010

• Updated: 2/18/2011 No. 2010-004: “Evaluating Alternative Methods of Forecasting House Prices – A Post-Crisis Reassessment”, William D. Larson.
• Updated: 3/8/11 No. 2010-003: “Forecasting the Intermittent Demand for Slow-Moving Items”, Ralph D. Snyder, J. Keith Ord, and Adrian Beaumont. Note: A revised version of this paper was published in International Journal of Forecasting, Elsevier, vol. 28(2), pages 485-496.
• No. 2010-002: “Perspectives on Evaluating Macroeconomic Forecasts” H.O. Stekler. This was the Sichel Lecture at Western Michigan University. Note: A revised version of this paper was published in Advances in Economic Forecasting, Upjohn Institute for Employment Research, pp. 105-148.
• Updated: 2/28/2012 No. 2010-001: “Has the Accuracy of German Macroeconomic Forecasts Improved?” Ullrich Heilemann and H.O. Stekler

2009

• No. 2009-004: “Transparency, Performance, and Agency Budgets: A Rational Expectations Modeling Approach” Rosen Valchev and Antony Davies
• No. 2009-003: “Evaluating National Football League Draft Choices: The Passing Game” Bryan L. Boulier, H.O. Stekler, Jason Coburn, and Timothy Rankins Note: A revised version of this paper was published in a special issue on Sports Economics of the International Journal of Forecasting vol 26, No.2 (2010).
• No. 2009-002: “Issues In Sports Forecasting” H. O. Stekler, David Sendor, And Richard Verlander Note: A revised version of this paper was published in a special issue on Sports Economics of the International Journal of Forecasting, Vol. 26, No. 2,  (2010).
• No. 2009-001: (New Version March 2010) “Can the Fed Predict the State of the Economy?” Tara M. Sinclair, Fred Joutz, and Herman O. Stekler. Note: A revised version of this paper is now published in Economics Letters, Vol. 108, No. 1, p. 28- 32, 2010. This paper was listed on SSRN's Top Ten download list for ERN: Forecasting & Simulation in the topics of employment, monetary, and prices.  This paper was included in an article in the New York Review of Books.

2008

• Updated: 9/01/2011 No. 2008-011: “A Likelihood Ratio of Stationarity Based on a Correlated Unobserved Components Model” James Morley, Irina Panovska, and Tara M. Sinclair.
• No. 2008-010: “Are 'unbiased' forecasts really unbiased? Another look at the Fed forecasts” Tara M. Sinclair, Fred Joutz, and Herman O. Stekler.
• No. 2008-009: “What Do We Know About G-7 Macro Forecasts?” Herman O. Stekler.
• No. 2008-008: “Exhaustive Regression: An Exploration of Regression-Based Data Mining Techniques Using Super Computation” Antony Davies.
• No. 2008-007: “Evaluating Census Forecasts” Herman O. Stekler.
• No. 2008-006: “Measuring Consensus in Binary Forecasts: NFL Game Predictions” ChiUng Song, Bryan L. Boulier, and Herman O. Stekler.  Note: a revised version of this paper is now published in the International Journal of Forecasting, vol. 25, no. 1, pp. 182-191, 2009
• No. 2008-005: “Evaluating Current Year Forecasts Made During the Year: A Japanese Example” H.O. Stekler and Kazuta Sakamoto.
• No. 2008-004: “Monitoring Processes with Changing Variances” J. Keith Ord. Note: a revised version of this paper is now published in the International Journal of Forecasting, vol. 25, no. 3, pp. 518-525, 2009.
• No. 2008-003: “Exponential Smoothing and Non-Negative Data” Muhammad Akram, Rob J Hyndman, and J. Keith Ord. Note: A revised version of this paper is now published in the Australian & New Zealand Journal of Statistics, Vol. 51, Issue 4, pp. 415–432, 2009.
• Updated: 3/8/11 No. 2008-002: “Jointly Evaluating the Federal Reserve’s Forecasts of GDP Growth and Inflation” Tara M. Sinclair, Edward N. Gamber, H.O. Stekler and Elizabeth Reid. Note: a revised version of this paper is now published in the International Journal of Forecasting, Vol. 28.2012, 2, p. 309-314.
• Updated: 3/20/2009 No. 2008-001: “Forecast Errors Before and After the Great Moderation” Edward N. Gamber, Julie K. Smith, and Matthew Weiss.  Note: A revised version of this paper is now published in the Journal of Economics and Business,  vol. 63, no. 4, pp. 278-289, 2011.

2007

• Updated: 8/6/2008 No. 2007-002: “Are the Fed’s Inflation Forecasts Still Superior to the Private Sector’s?” Edward N. Gamber and Julie K. Smith. Note: A revised version of this paper is now published in the Journal of Macroeconomics, vol. 31, no. 2, pp. 240-251, 2009.
• No. 2007-001: “Sports Forecasting” Herman O. Stekler.

2006

• No. 2006-002 updated 11/14/06: “Directional Forecasts of GDP and Inflation: A Joint Evaluation With an Application to Federal Reserve Predictions” Tara M. Sinclair, H.O. Stekler, and Lindsay Kitzinger. Note: A revised version of this paper is now published in Applied Economics. They have also posted a video abstract of the paper.
• No. 2006-001: “An Evaluation of the Forecasts of the Federal Reserve: A Pooled Approach” Michael P. Clements, Fred Joutz, and Herman O. Stekler. Note: A revised version of this paper is now published in the Journal of Applied Econometrics 22(1), 121-136.