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 subsequent 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)
- 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.
Also in Time Series, Vol.I (A.C. Harvey, ed.), pp.289-302. International Library of Critical Writings in Econometrics 5. Aldershot: Edward Elgar, 1994.
- 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. George Allen and Unwin, 1981.
Also in Time Series, Vol.II (A.C. Harvey, ed.), pp.105-129. International Library of Critical Writings in Econometrics 5. Aldershot: Edward Elgar, 1994.
And in The Legacy of Robert Lucas, Jr., Vol.II (K.D. Hoover, ed.). Aldershot: Edward Elgar, 1999.
- 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.
- Use of the Durbin-Watson statistic in inappropriate situations. Econometrica, 34 (1966), 235-238 (with M. Nerlove).
- A simple explanation of the forecast combination puzzle. Oxford Bulletin of Economics and Statistics, 71 (2009), 331-355 (with Jeremy Smith).
- Testing for fourth order autocorrelation in quarterly regression equations. Econometrica, 40 (1972), 617-636.