Working Papers

Our working papers are also available through RePEc."

2020

• No. 2020-003: "Forecast Accuracy Matters for Hurricane Damages" by 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
• 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.