Neil R Ericsson
Biographic Data
| ID | 5735622 |
|---|---|
| NAME | Neil R Ericsson |
| GIVEN NAMES | Neil R |
| FAMILY NAME | Ericsson |
| SIGNATURE | ERICSSON N R |
| AFFILIATIONS | Federal Reserve |
| VERIFIED | No |
| TOTAL WORKS | 10 |
| TOTAL CITATIONS | 2 |
| WORKS AS AUTHOR | 10 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1992 |
| LATEST PUBLICATION YEAR | 2026 |
| H-INDEX | 1 |
Insights From Cointegration
This paper formalizes how to test important economic and statistical hypotheses for the labor market in a cointegrated framework. That formalization offers substantive gains in understanding the labor market because that market can involve multiple cointegrating relationships. Those relationships include trend‐stationary gaps in labor force participation rates and in unemployment rates, added‐worker and discouraged‐worker effects in relationships…
Unit Roots and Cointegration
In April 2025, the Department of Economics at the University of Oxford hosted the ‘Workshop to Celebrate Forty Years of Unit Roots and Cointegration’, which commemorated the 40th anniversary of the Oxford Bulletin of Economics and Statistics ' 1986 special issue ‘Economic Modelling With Cointegrated Variables’. The current article summarizes that workshop's panel discussion with major contributors to the literature on cointegration—David Hendry, …
Comment on "Economic Forecasting in a Changing World" (by Michael Clements and David Hendry)
Michael Clements and David Hendry make realistic assumptions about the nature of the economy and the models used to forecast it. Under those assumptions, Clements and Hendry clarify why forecasting models work when they do, and why they don't work when they don't. Their research also suggests how to improve the forecasting abilities of existing models.A taxonomy of the sources of forecast error underpins Clements and Hendry's analysis. In my comm…
Modeling Inflation in Australia
Modeling Inflation in Australia
This article develops an empirically constant, data-coherent, error-correction model for inflation in Australia. The level of consumer prices is a markup over domestic and import costs, with adjustments for dynamics and relative aggregate demand. We address issues of cointegration, general to specific modeling, dynamic specification, model evaluation and testing, parameter constancy, forecasting, and exogeneity. We also test this model against ex…
Special Section on Exogeneity, Cointegration, and Economic Policyd Analysis
Exogeneity, Cointegration, and Economic Policy Analysis
This overview examines conditions for reliable economic policy analysis based on econometric models, focusing on the econometric concepts of exogeneity, cointegration, causality, and invariance. Weak, strong, and super exogeneity are discussed in general, and these concepts are then applied to the use of econometric models in policy analysis when the variables are cointegrated. Implications follow for model constancy, the Lucas critique, equation…
Encompassing the Forecasts of U.S. Trade Balance Models
Yock Y. Chong and David F. Hendry (1986) propose the concept of forecast encompassing--the lack of additional information in another model's forecasts. The corresponding test statistic is based on the regression of one model's forecast errors on the other model's forecasts. This paper generalizes Chong and Hendry's statistic to include sets of dynamic nonlinear models with uncertain estimated coefficients generating multistep forecasts with possi…
Pc-Naive
The Power of Cointegration Tests
En este trabajo se demuestra que la distribución del contraste estadístico de la hipótesis nula de ausencia de cointegración, basado en el coeficiente del término del mecanismo de corrección del error, puede aproximarse, en ciertos casos, por la distribucion gaussiana. Por el contrario, la clase de contrastes del tipo Dickey-Fuller, aplicados a los residuos minimocuadraticos del modelo de regresion estático, siempre presenta distribuciones límite…
The Power of Cointegration Tests
En este trabajo se demuestra que la distribución del contraste estadístico de la hipótesis nula de ausencia de cointegración, basado en el coeficiente del término del mecanismo de corrección del error, puede aproximarse, en ciertos casos, por la distribucion gaussiana. Por el contrario, la clase de contrastes del tipo Dickey-Fuller, aplicados a los residuos minimocuadraticos del modelo de regresion estático, siempre presenta distribuciones límite…
Encompassing the Forecasts of U.S. Trade Balance Models
Yock Y. Chong and David F. Hendry (1986) propose the concept of forecast encompassing--the lack of additional information in another model's forecasts. The corresponding test statistic is based on the regression of one model's forecast errors on the other model's forecasts. This paper generalizes Chong and Hendry's statistic to include sets of dynamic nonlinear models with uncertain estimated coefficients generating multistep forecasts with possi…
Pc-Naive
Modeling Inflation in Australia
Modeling Inflation in Australia
This article develops an empirically constant, data-coherent, error-correction model for inflation in Australia. The level of consumer prices is a markup over domestic and import costs, with adjustments for dynamics and relative aggregate demand. We address issues of cointegration, general to specific modeling, dynamic specification, model evaluation and testing, parameter constancy, forecasting, and exogeneity. We also test this model against ex…
Special Section on Exogeneity, Cointegration, and Economic Policyd Analysis
Exogeneity, Cointegration, and Economic Policy Analysis
This overview examines conditions for reliable economic policy analysis based on econometric models, focusing on the econometric concepts of exogeneity, cointegration, causality, and invariance. Weak, strong, and super exogeneity are discussed in general, and these concepts are then applied to the use of econometric models in policy analysis when the variables are cointegrated. Implications follow for model constancy, the Lucas critique, equation…
Comment on "Economic Forecasting in a Changing World" (by Michael Clements and David Hendry)
Michael Clements and David Hendry make realistic assumptions about the nature of the economy and the models used to forecast it. Under those assumptions, Clements and Hendry clarify why forecasting models work when they do, and why they don't work when they don't. Their research also suggests how to improve the forecasting abilities of existing models.A taxonomy of the sources of forecast error underpins Clements and Hendry's analysis. In my comm…
Insights From Cointegration
This paper formalizes how to test important economic and statistical hypotheses for the labor market in a cointegrated framework. That formalization offers substantive gains in understanding the labor market because that market can involve multiple cointegrating relationships. Those relationships include trend‐stationary gaps in labor force participation rates and in unemployment rates, added‐worker and discouraged‐worker effects in relationships…
Unit Roots and Cointegration
In April 2025, the Department of Economics at the University of Oxford hosted the ‘Workshop to Celebrate Forty Years of Unit Roots and Cointegration’, which commemorated the 40th anniversary of the Oxford Bulletin of Economics and Statistics ' 1986 special issue ‘Economic Modelling With Cointegrated Variables’. The current article summarizes that workshop's panel discussion with major contributors to the literature on cointegration—David Hendry, …
Monetary Policy and Economic Impact (9 works) · Econometrics (8 works) · Economics (8 works) · Cointegration (4 works) · Computer Science (4 works) · Endogeneity (3 works) · Mathematics (3 works) · Economic Theory and Policy (2 works) · Economic, financial, and policy analysis (2 works) · Engineering (2 works)