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Neil R. Ericsson

Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section

20th St. and Constitution Ave.

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  • Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section

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SCHOLARLY PAPERS

23

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85

Scholarly Papers (23)

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1.

General-to-Specific Modeling: An Overview and Selected Bibliography

FRB International Finance Discussion Paper No. 838
Number of pages: 94 Posted: 31 Aug 2005
Julia Campos, Neil R. Ericsson and David F. Hendry
University of Salamanca - Department of Economics and Economic History, Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section and University of Oxford - Department of Economics
Downloads 765 (22,233)
Citation 4

Abstract:

cointegration, conditional models, data mining, diagnostic testing, dynamic specification, econometric methodology, encompassing, equilibrium correction models, error correction models, exogeneity, general-to-specific modeling, model comparison, model design, model evaluation, model selection

2.

Exogeneity, Cointegration, and Economic Policy Analysis

FRB International Finance Discussion Paper No. 616
Number of pages: 40 Posted: 14 Aug 1998
Neil R. Ericsson, David F. Hendry and Grayham E. Mizon
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section, University of Oxford - Department of Economics and University of Southampton - Division of Economics
Downloads 559 (38,849)
Citation 32

Abstract:

3.

A Framework for Economic Forecasting

Downloads 532 ( 42,081)
Citation 2

A Framework for Economic Forecasting

FRB International Finance Discussion Paper No. 626
Number of pages: 50 Posted: 18 Nov 1998
Neil R. Ericsson and Jaime Marquez
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section and Board of Governors of the Federal Reserve System - International Financial Transactions Section
Downloads 532 (41,551)
Citation 2

Abstract:

A Framework for Economic Forecasting

The Econometrics Journal, Vol. 1, Issue 1, pp. 203-227, 1998
Number of pages: 39 Posted: 24 Sep 2014
Neil R. Ericsson and Jaime Marquez
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section and Board of Governors of the Federal Reserve System - International Financial Transactions Section
Downloads 0
Citation 2
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Abstract:

Forecasts, Mean square forecast error, Monte Carlo, Nonlinearity bias, Trade balance

A Framework for Economic Forecasting

The Econometrics Journal, Vol. 1, 1998
Posted: 08 Apr 1999
Neil R. Ericsson and Jaime Marquez
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section and Board of Governors of the Federal Reserve System - International Financial Transactions Section

Abstract:

4.

Output and Inflation in the Long Run

FRB International Finance Discussion Paper No. 687
Number of pages: 24 Posted: 18 Jan 2001
Neil R. Ericsson, John S. Irons and Ralph W. Tryon
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section, Amherst College - Department of Economics and Government of the United States of America - Division of International Finance (IFDP)
Downloads 329 (71,424)
Citation 9

Abstract:

Cointegration, Cross-Country Regression, Economic Growth, Inflation, Long Run, Output

5.

Distributions of Error Correction Tests for Cointegration

Downloads 297 ( 84,583)
Citation 18

Distributions of Error Correction Tests for Cointegration

FRB International Finance Working Paper No. 655
Number of pages: 48 Posted: 11 Aug 2000
Neil R. Ericsson and James G. MacKinnon
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section and Queen's University - Department of Economics
Downloads 275 (91,698)
Citation 18

Abstract:

critical value, distribution function, Monte Carlo, response surface

Distributions of Error Correction Tests For Cointegration

Econometrics Journal, Vol. 5, pp. 285-318, 2002
Number of pages: 34 Posted: 05 Feb 2003
Neil R. Ericsson and James G. MacKinnon
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section and Queen's University - Department of Economics
Downloads 22 (452,864)
Citation 18
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6.

Forecast Uncertainty in Economic Modeling

FRB International Finance Discussion Paper No. 697
Number of pages: 24 Posted: 11 Apr 2001
Neil R. Ericsson
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section
Downloads 237 (100,274)
Citation 2

Abstract:

Econometrics, Economics, Forecasting, Models, Uncertainty.

7.

Constructive Data Mining: Modeling Consumers' Expenditure in Venezuela

Downloads 208 (122,674)

Constructive Data Mining: Modeling Consumers' Expenditure in Venezuela

FRB International Finance Discussion Paper No. 663
Number of pages: 29 Posted: 05 Dec 2000
Julia Campos and Neil R. Ericsson
University of Salamanca - Department of Economics and Economic History and Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section
Downloads 208 (122,311)

Abstract:

Constructive Data Mining: Modeling Consumers' Expenditure in Venezuela

Econometrics Journal, Vol. 2, No. 2, Pp. 167-191, December 1999
Posted: 05 Dec 2000
Julia Campos and Neil R. Ericsson
University of Salamanca - Department of Economics and Economic History and Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section

Abstract:

8.

The ET Interview: Professor David F. Hendry

FRB International Finance Discussion Paper No. 811
Number of pages: 61 Posted: 06 Sep 2004
Neil R. Ericsson
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section
Downloads 161 (152,506)
Citation 1

Abstract:

Cointegration, conditional models, consumers' expenditure, diagnostic testing, dynamic specification, encompassing, equilibrium-correction models, error-correction models, exogeneity, forecasting, general-to-specific modeling, housing market, inflation, model design, model evaluation, money demand

9.

Predictable Uncertainty in Economic Forecasting

FRB International Finance Discussion Paper No. 695
Number of pages: 30 Posted: 09 Mar 2001
Neil R. Ericsson
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section
Downloads 141 (163,695)

Abstract:

Econometrics, Economics, Forecasting, Models, Uncertainty

10.

A Retrospective on J. Denis Sargan and His Contributions to Econometrics

FRB International Finance Discussion Paper No. 700
Number of pages: 27 Posted: 11 Apr 2001
Neil R. Ericsson, Esfandiar Maasoumi and Grayham E. Mizon
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section, Southern Methodist University (SMU) - Department of Economics and University of Southampton - Division of Economics
Downloads 139 (169,381)

Abstract:

Dynamic Specification, Econometrics, Error Correction Model, Finite Sample Distributions, Identification, Instrumental Variables, Model Building, Numerical Computation, Prices, Production Function, Specification Searches, Wages

11.

Broad Money Demand and Financial Liberalization in Greece

Empirical Economics, Vol. 23, No. 3, 1998
Number of pages: 20 Posted: 09 Sep 1998
Neil R. Ericsson and Sunil Sharma
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section and affiliation not provided to SSRN
Downloads 84 (244,090)
Citation 14

Abstract:

12.

Constructive Data Mining: Modeling Argentine Broad Money Demand

FRB International Finance Discussion Paper No. 943
Number of pages: 36 Posted: 01 Nov 2008
Neil R. Ericsson and Steven B. Kamin
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section and U.S. Board of Governors of the Federal Reserve - Division of International Finance (IFDP)
Downloads 52 (313,763)
Citation 3

Abstract:

Argentina, autometrics, broad money, dynamic specification, cointegration, conditional models, currency substitution, dollarization, error correction, exogeneity, hyperinflation, irreversibility, model design, model selection, money demand, PcGets, ratchet effect

13.

Comment on 'Economic Forecasting in a Changing World' (by Michael Clements and David Hendry)

Capitalism and Society, Vol. 3, Issue 2, Article 2, 2008
Number of pages: 18 Posted: 30 Jan 2013
Neil R. Ericsson
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section
Downloads 42 (308,501)

Abstract:

14.

The Fragility of Sensitivity Analysis: An Encompassing Perspective

Downloads 33 (388,036)

The Fragility of Sensitivity Analysis: An Encompassing Perspective

FRB International Finance Discussion Paper No. 959
Number of pages: 30 Posted: 15 Dec 2008
Neil R. Ericsson
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section
Downloads 31 (405,950)

Abstract:

encompassing, exogeneity, extreme bounds analysis, model averaging, parameter nonconstancy, pooling of forecasts, robustness, regime shifts, sensitivity analysis

The Fragility of Sensitivity Analysis: An Encompassing Perspective

Oxford Bulletin of Economics and Statistics, Vol. 70, Issue s1, pp. 895-914, December 2008
Number of pages: 20 Posted: 02 Dec 2008
Neil R. Ericsson
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section
Downloads 2 (567,844)
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15.

Evaluating a Global Vector Autoregression for Forecasting

FRB International Finance Discussion Paper No. 1056
Number of pages: 27 Posted: 06 Dec 2012
Neil R. Ericsson and Erica Leigh Reisman
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section and Government of the United States of America - Division of International Finance (IFDP)
Downloads 23 (349,221)

Abstract:

Cointegration, error correction, forecasting, GVAR, impulse indicator saturation, model design, model evaluation, model selection, parameter constancy, VAR

16.

How Biased are U.S. Government Forecasts of the Federal Debt?

FRB International Finance Discussion Paper No. 1189
Number of pages: 48 Posted: 15 Jan 2017
Neil R. Ericsson
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section
Downloads 0 (443,800)

Abstract:

Autometrics, Bias, Debt, Federal government, Forecasts, Impulse indicator saturation, Heteroscedasticity, Projections, United States

17.

Economic Forecasting in Theory and Practice: An Interview with David F. Hendry

FRB International Finance Discussion Paper No. 1184
Number of pages: 43 Posted: 17 Nov 2016
Neil R. Ericsson
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section
Downloads 0 (249,484)

Abstract:

Encompassing, Equilibrium correction models, Error correction, Evaluation, Exogeneity, Forecasting, Modeling, Nowcasting, Parameter constancy, Robustification, Structural breaks

18.

Eliciting GDP Forecasts from the FOMC's Minutes Around the Financial Crisis

FRB International Finance Discussion Paper No. 1152
Number of pages: 28 Posted: 18 Nov 2015
Neil R. Ericsson
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section
Downloads 0 (409,027)

Abstract:

Autometrics, bias, Fed, financial crisis, FOMC, forecasts, GDP, Great Recession, Greenbook, impulse indicator saturation, projections, Tealbook, United States

19.

Encompassing and Rational Expectations: How Sequential Corroboration Can Imply Refutation

Empirical Economics, Vol. 24, No. 1, 1999
Posted: 02 Mar 1999
Neil R. Ericsson and David F. Hendry
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section and University of Oxford - Department of Economics

Abstract:

20.

Empirical Modeling of Money Demand

Empirical Economics, Vol. 23, Issue 3, 1998
Posted: 09 Sep 1998
Neil R. Ericsson
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section

Abstract:

21.

Friedman and Schwartz (1982) Revisited: Assessing Annual and Phase-Average Models of Money Demand in the United Kingdom

Empirical Economics, Vol. 23, Issue 3, 1998
Posted: 08 Sep 1998
Neil R. Ericsson, David F. Hendry and Kevin M. Prestwich
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section, University of Oxford - Department of Economics and AMS (American Management Systems, Inc.)

Abstract:

22.

The Demand for Broad Money in The United Kingdom, 1878-1993

Scandinavian Journal of Economics, Vol. 100, Issue 1 (1998)
Posted: 24 Feb 1998
Neil R. Ericsson, David F. Hendry and Kevin M. Prestwich
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section, University of Oxford - Department of Economics and AMS (American Management Systems, Inc.)

Abstract:

23.

Hazards in Implementing a Monetary Conditions Index

OXFORD BULLETIN OF ECONOMICS AND STATISTICS, November 1996
Posted: 12 Nov 1996
Kari H. Eika, Neil R. Ericsson and Ragnar Nymoen
Bank of Norway, Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section and University of Oslo - Department of Economics

Abstract:

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