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Kenneth F. Wallis, FBA

Selected Journal Articles

Three final articles 2014-15

The two-piece normal, binormal, or double Gaussian distribution: its origin and rediscoveries. Statistical Science, 29 (2014), 106-112. Article (PDF)
A more recent rediscovery of the distribution is acknowledged as such by its authors: de Roon, F. and Karehnke, P., Addendum: A simple skewed distribution with asset pricing applications, Review of Finance, 21 (2017), 2401.

Revisiting Francis Galton's forecasting competition. Statistical Science, 29 (2014), 420-424. Article (PDF)
Data: the 787 estimates of the dressed weight of the ox collected by Galton are out of copyright, and the author's transcription is available here as an Excel spreadsheet. Users of these data are kindly requested to inform the author of any further analyses of interest.
A recent reference to the result that the mean forecast equalled the outcome is here (from The Times, 7 November 2016).

The measurement and characteristics of professional forecasters' uncertainty (with Gianna Boero and Jeremy Smith). Journal of Applied Econometrics, 30 (2015), 1029-1046. Article (PDF)

Six most-cited articles (via Web of Science)

  1. Seasonal adjustment and relations between variables. Journal of the American Statistical Association, 69 (1974), 18-31.
    Reprinted in Modelling Seasonality (S. Hylleberg, ed.), pp.27-59. Oxford University Press, 1992.
    Reprinted in Time Series, Vol.I (A.C. Harvey, ed.), pp.289-302. International Library of Critical Writings in Econometrics 5. Aldershot: Edward Elgar, 1994.
  2. Econometric implications of the rational expectations hypothesis. Econometrica, 48 (1980), 49-73.
    Reprinted in Rational Expectations and Econometric Practice (R.E. Lucas and T.J. Sargent, eds), pp.329-354. University of Minnesota Press and George Allen and Unwin, 1981.
    Reprinted in Time Series, Vol.II (A.C. Harvey, ed.), pp.105-129. International Library of Critical Writings in Econometrics 5. Aldershot: Edward Elgar, 1994.
    Reprinted in The Legacy of Robert Lucas, Jr., Vol.II (K.D. Hoover, ed.). Aldershot: Edward Elgar, 1999.
  3. Density forecasting: a survey. Journal of Forecasting, 19 (2000), 235-254 (with A.S. Tay).
    Reprinted with minor changes in A Companion to Economic Forecasting (M.P. Clements and D.F. Hendry, eds), pp.45-68. Oxford: Blackwell, 2002.
  4. Use of the Durbin-Watson statistic in inappropriate situations. Econometrica, 34 (1966), 235-238 (with M. Nerlove).
  5. Testing for fourth order autocorrelation in quarterly regression equations. Econometrica, 40 (1972), 617-636.
  6. Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts. International Journal of Forecasting, 19 (2003), 165-175.