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Kenneth F. Wallis, FBA

Complete Publications List

Books

Journal articles

Book chapters

Published comments and discussions

Other publications

 

BOOKS

Introductory Econometrics
First edition: Gray-Mills, London and Aldine, Chicago,1972
Italian translation: Elementi di Econometria, Editore Boringhieri, Turin, 1976
Spanish translation: Introduccion a la Econometria, Alianza Editorial, Madrid, 1976
Second edition: Basil Blackwell, Oxford, 1981 (with M.B. Stewart)
Spanish translation: Alianza Editorial, 1984.

Topics in Applied Econometrics
First edition: Gray-Mills, London, 1973
Spanish translation: Temas de Econometria Aplicada, Editorial Saltes, Madrid, 1980
Second edition: Basil Blackwell, Oxford, 1979 and University of Minnesota Press, Minneapolis, 1980.

The Impact of Foreign Direct Investment on the United Kingdom. London: HMSO, 1973 (with M.D. Steuer and others).

Econometrics and Quantitative Economics (editor, with D.F. Hendry). Oxford: Basil Blackwell, 1984.

Models of the UK Economy: A Review by the ESRC Macroeconomic Modelling Bureau. Oxford: Oxford University Press, 1984 (with M.J. Andrews, D.N.F. Bell, P.G. Fisher and J.D. Whitley).

Models of the UK Economy: A Second Review by the ESRC Macroeconomic Modelling Bureau. Oxford: Oxford University Press, 1985 (with M.J. Andrews, D.N.F. Bell, P.G. Fisher and J.D. Whitley).

Models of the UK Economy: A Third Review by the ESRC Macroeconomic Modelling Bureau. Oxford: Oxford University Press,1986 (with M.J. Andrews, P.G. Fisher, J.A. Longbottom and J.D. Whitley).

Models of the UK Economy: A Fourth Review by the ESRC Macroeconomic Modelling Bureau. Oxford: Oxford University Press,1987 (with P.G. Fisher, J.A. Longbottom, D.S. Turner and J.D. Whitley).

Macroeconometric Modelling (editor). International Library of Critical Writings in Econometrics 2. Aldershot: Edward Elgar, 1994.

Time Series Analysis and Macroeconometric Modelling (collected papers). Aldershot: Edward Elgar, 1995.

Advances in Economics and Econometrics: Theory and Applications: Seventh World Congress, Vols I-III (editor, with D.M. Kreps). Cambridge: Cambridge University Press, 1997. (Econometric Society Monographs Nos 26-28).

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JOURNAL ARTICLES

Use of the Durbin-Watson statistic in inappropriate situations. Econometrica, 34 (1966), 235-238 (with M. Nerlove).

Lagged dependent variables and serially correlated errors: a reappraisal of three-pass least squares. Review of Economics and Statistics, 49 (1967), 555-567.

The EEC and United States foreign investment: some empirical evidence re-examined. Economic Journal, 78 (1968), 717-719.

Some recent developments in applied econometrics: dynamic models and simultaneous equation systems. Journal of Economic Literature, 7 (1969), 771-796.

Output decisions of firms again. Manchester School, 38 (1970), 163-166.

Seasonal variation in regression analysis. Journal of the Royal Statistical Society A, 134 (1971), 57-72 (with J.J. Thomas).

Wages, prices and incomes policies: some comments. Economica, 38 (1971), 304-310.
Reprinted in Incomes Policy and Inflation (M. Parkin and M.T. Sumner, eds), pp.130-137. Manchester University Press, 1972.

Testing for fourth order autocorrelation in quarterly regression equations. Econometrica, 40 (1972), 617-636.

The efficiency of the two-step estimator. Econometrica, 40 (1972), 769-770.

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.

Modelling macroeconomic time series (with discussion). Journal of the Royal Statistical Society A, 139 (1976), 468-500 (with D.L. Prothero).

Multiple time series analysis and the final form of econometric models. Econometrica, 45 (1977), 1481-1497.

Multiple time series modelling: another look at the mink-muskrat interaction. Applied Statistics, 27 (1978), 168-175 (with W.-Y.T. Chan).

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.

"Time-series" versus "econometric" forecasts: a non-linear regression counterexample. Economics Letters, 10 (1982), 309-315.

Seasonal adjustment and revision of current data: linear filters for the X-11 method. Journal of the Royal Statistical Society A, 145 (1982), 74-85.

Unobserved-components models for seasonal adjustment filters. Journal of Business and Economic Statistics, 2 (1984), 350-359 (with P. Burridge).
Reprinted in Modelling Seasonality (S. Hylleberg, ed.), pp.259-281. Oxford University Press, 1992.

Comparing time-series and nonlinear model-based forecasts. Oxford Bulletin of Economics and Statistics, 46 (1984), 383-389.

Models of the UK economy and the real wage-employment debate. National Institute Economic Review, No.112 (1985), 41-52 (with M.J. Andrews, D.N.F. Bell, P.G. Fisher and J.D. Whitley).

Calculating the variance of seasonally adjusted series. Journal of the American Statistical Association, 80 (1985), 541-552 (with P. Burridge).

Forecasting with an econometric model: the "ragged edge" problem. Journal of Forecasting, 5 (1986), 1-13.

Time series analysis of bounded economic variables. Journal of Time Series Analysis, 8 (1987), 115-123.

Evaluating special employment measures with macroeconometric models. Oxford Review of Economic Policy, 3 (1987), 25-36 (with D.S. Turner and J.D. Whitley).

Long-run properties of large-scale macroeconometric models. Annales d'Economie et de Statistique, 6/7 (1987), 207-224 (with J.D. Whitley).

Comparative properties of models of the UK economy. National Institute Economic Review, No.125 (1988), 69-87 (with P.G. Fisher, S.K. Tanna, D.S. Turner and J.D. Whitley).

Some recent developments in macroeconometric modelling in the United Kingdom. Australian Economic Papers, 27 (1988), 7-25.

Prediction theory for autoregressive-moving average processes. Econometric Reviews, 7 (1988), 65-95 (with P. Burridge).
Reprinted in Readings in Unobserved Components Models (A.C. Harvey and T. Proietti, eds), pp.14-47. Oxford: Oxford University Press, 2005.

Macroeconomic forecasting: a survey. Economic Journal, 99 (1989), 28-61.
Reprinted in Surveys in Economics (A.J. Oswald, ed.), pp.48-81. Oxford: Basil Blackwell, 1991.
Reprinted in Economic Forecasting, Vol.I (T.C. Mills, ed.), pp.152-185. Aldershot: Edward Elgar, 1999.

Comparative properties of models of the UK economy. National Institute Economic Review, No.129 (1989), 69-87 (with P.G. Fisher, S.K. Tanna, D.S. Turner and J.D. Whitley).

Differences in the properties of large-scale macroeconometric models: the role of labour market specifications. Journal of Applied Econometrics, 4 (1989), 317-344 (with D.S. Turner and J.D. Whitley).

Seasonal adjustment and Kalman filtering: extension to periodic variances. Journal of Forecasting, 9 (1990), 109-118 (with P. Burridge).
Reprinted in Modelling Seasonality (S. Hylleberg, ed.), pp.379-390. Oxford: Oxford University Press, 1992.

The historical tracking performance of UK macroeconometric models 1978-85. Economic Modelling, 7 (1990), 179-197 (with P.G. Fisher).

Comparative properties of models of the UK economy. National Institute Economic Review, No.133 (1990), 91-104 (with P.G. Fisher, D.S. Turner and J.D. Whitley).

Econometric evaluation of the exchange rate in models of the UK economy. Economic Journal, 100 (1990), 1230-1244 (with P.G. Fisher, S.K. Tanna, D.S. Turner and J.D. Whitley).

Sources of error in forecasts and expectations: UK economic models,1984-88. Journal of Forecasting, 10 (1991), 231-253 (with J.D. Whitley).

Large-scale econometric models of national economies: Part 1, Some current developments; Part 2, Comparative properties of models of the Nordic economies. Scandinavian Journal of Economics, 93 (1991), 283-314 (with J.D. Whitley).
Reprinted in New Approaches to Empirical Macroeconomics (S. Hylleberg and M. Paldam, eds), pp.155-186. Oxford: Blackwell, 1991.

Comparative properties of models of the UK economy. National Institute Economic Review, No.137 (1991), 59-71 (with K.B. Church, P.R. Mitchell, D.S. Turner and J.D. Whitley).

Macro models and macro policy in the 1980s. Oxford Review of Economic Policy, 7, No.3 (1991), 118-127 (with J.D. Whitley).

Seasonality in large-scale macroeconometric models. Journal of Forecasting, 11 (1992), 255-270 (with P.G. Fisher).

Comparing macroeconometric models: a review article. Economica, 60 (1993), 225-237.

On macroeconomic policy and macroeconometric models. Economic Record, 69 (1993), 113-130.
Reprinted in Australian Macroeconomic Policy Debates (P. Crompton, ed.), pp.33-64. Crawley, WA: University of Western Australia Press, 2004.

Comparative properties of models of the UK economy. National Institute Economic Review, No.145 (1993), 87-107 (with K.B. Church, P.R. Mitchell and P.N. Smith).

Econometric evaluation of consumers' expenditure equations. Oxford Review of Economic Policy, 10, No.2 (1994), 71-85 (with K.B. Church and P.N. Smith).

Comparative properties of models of the UK economy. National Institute Economic Review, No.153 (1995), 59-72 (with K.B. Church, P.R. Mitchell and P.N. Smith).

Targeting inflation: comparative control exercises on models of the UK economy. Economic Modelling, 13 (1996), 169-184 (with K.B. Church, P.R. Mitchell and P.N. Smith).

Comparative properties of models of the UK economy. National Institute Economic Review, No.161 (1997), 91-100 (with K.B. Church, P.R. Mitchell and J.E. Sault).

Comparing global economic models. Economic Modelling, 15 (1998), 1-48 (with P.R. Mitchell, J.E. Sault and P.N. Smith).

Technical progress and the natural rate in models of the UK economy. National Institute Economic Review, No.164 (1998), 80-89 (with K.B. Church, P.R. Mitchell and J.E. Sault).
Reprinted in Econometric Modelling: Techniques and Applications (S. Holly and M.R. Weale, eds), pp.254-275. Cambridge: Cambridge University Press, 2000.

Asymmetric density forecasts of inflation and the Bank of England's fan chart. National Institute Economic Review, No.167 (1999), 106-112.

Fiscal policy rules in macroeconomic models: principles and practice. Economic Modelling, 17 (2000), 171-193 (with P.R. Mitchell and J.E. Sault).

Comparative properties of models of the UK economy. National Institute Economic Review, No.171 (2000), 106-122 (with K.B. Church, J.E. Sault and S. Sgherri).

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.

Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts. International Journal of Forecasting, 19 (2003), 165-175.

An assessment of Bank of England and National Institute inflation forecast uncertainties. National Institute Economic Review, No.189 (2004), 64-71.

Comparing empirical models of the euro economy. Economic Modelling, 21 (2004), 735-758.

Decompositions of Pearson's chi-squared test. Journal of Econometrics, 123 (2004), 189-193 (with G. Boero and J. Smith).

The sensitivity of chi-squared goodness-of-fit tests to the partitioning of data. Econometric Reviews, 23 (2004), 341-370 (with G. Boero and J. Smith).

Comparing SVARs and SEMs: two models of the UK economy. Journal of Applied Econometrics, 20 (2005), 209-228 (with J.P.A.M. Jacobs).

Combining density and interval forecasts: a modest proposal. Oxford Bulletin of Economics and Statistics, 67 (2005), 983-994.

Uncertainty and disagreement in economic prediction: the Bank of England Survey of External Forecasters. Economic Journal, 118 (2008), 1107-1127 (with G. Boero and J. Smith).

Evaluating a three-dimensional panel of point forecasts: the Bank of England Survey of External Forecasters. International Journal of Forecasting, 24 (2008), 354-367 (with G. Boero and J. Smith).

Here is the news: forecast revisions in the Bank of England Survey of External Forecasters. National Institute Economic Review, No.203 (2008), 68-77 (with G. Boero and J. Smith).

A simple explanation of the forecast combination puzzle. Oxford Bulletin of Economics and Statistics, 71 (2009), 331-355 (with J. Smith).

Cointegration, long-run structural modelling and weak exogeneity: two models of the UK economy. Journal of Econometrics, 158 (2010) (with J.P.A.M. Jacobs).

Combining forecasts - forty years later. Applied Financial Economics, 21 (2011), 33-41.

Scoring rules and survey density forecasts. International Journal of Forecasting, 27 (2011), 379-393 (with G. Boero and J. Smith).

Evaluating density forecasts: forecast combinations, model mixtures, calibration and sharpness. Journal of Applied Econometrics, 26 (2011), 1023-1040 (with J. Mitchell).

The two-piece normal, binormal, or double Gaussian distribution: its origin and rediscoveries. Statistical Science, 29 (2014), 106-112.

Revisiting Francis Galton's forecasting competition. Statistical Science, 29 (2014), 420-424.

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

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BOOK CHAPTERS

Dynamic models in econometrics. In Systemes Dynamiques et Modeles Economiques (G. Fuchs and B. Munier, eds), pp.56-67. Paris: Editions du CNRS, 1977.

Seasonal adjustment and multiple time series analysis. In Seasonal Analysis of Economic Time Series (A. Zellner, ed.), pp.347-357. Washington DC: Bureau of the Census, 1978.

Model validation and forecast comparisons: theoretical and practical considerations. In Evaluating the Reliability of Macroeconomic Models (G.C. Chow and P. Corsi, eds), pp.219-245. London: Wiley, 1982 (with M.H. Salmon).

Dynamic models and expectations hypotheses. In Analisi Moderna delle Serie Storiche (D. Piccolo, ed.), pp.229-242. Milan: Franco Angeli Editore, 1983.

Models for X-11 and "X-11-FORECAST" procedures for preliminary and revised seasonal adjustments. In Applied Time Series Analysis of Economic Data (A. Zellner, ed.), pp.3-11. Washington DC: Bureau of the Census, 1983.

Empirical models and macroeconomic policy analysis. In Empirical Macroeconomics for Interdependent Economies (R.C. Bryant et al., eds), pp.225-237. Washington DC: Brookings Institution, 1988.

Using macroeconometric models to evaluate policy proposals. In Policymaking with Macroeconomic Models (A.J.C. Britton, ed.), pp.103-150. Aldershot: Gower, 1989 (with D.S. Turner and J.D. Whitley).

Some recent developments in policy making with macroeconometric models. In Econometric Decision Models (J. Gruber, ed.), pp.15-36.Berlin: Springer-Verlag, 1991.

Forward unit root exchange-rate dynamics and the properties of large-scale macroeconometric models. In Macroeconomic Modelling of the Long Run (C.P. Hargreaves, ed.), pp.207-228. Aldershot: Edward Elgar, 1992 (with P.G. Fisher and D.S. Turner).

Aggregation and homogeneity of prices in models of the UK economy. In Money, Inflation and Employment (S. Holly, ed.), pp.194-221. Aldershot: Edward Elgar, 1994 (with K.B. Church).

Policy simulations and long-run sustainability in forward-looking macroeconometric models. In Methods and Applications of Economic Dynamics (L. Schoonbeek, E. Sterken and S.K. Kuipers, eds), pp.203-221. Amsterdam: North-Holland, 1995 (with P.N. Smith).

Large-scale macroeconometric modeling. In Handbook of Applied Econometrics (M.H. Pesaran and M.R. Wickens, eds), pp.312-355. Oxford:Basil Blackwell, 1995.

Short-run rigidities and long-run equilibrium in large-scale macroeconometric models. In Market Behaviour and Macroeconomic Modelling (S. Brakman, H. van Ees and S.K. Kuipers, eds), pp.221-241. London: Macmillan, 1998 (with K.B. Church and P.R. Mitchell).

Evaluating density forecasts of inflation: the Survey of Professional Forecasters. In Cointegration, Causality, and Forecasting: A Festschrift in Honour of Clive W.J. Granger (R.F. Engle and H. White, eds), pp.76-90. Oxford: Oxford University Press, 1999 (with F.X. Diebold and A.S. Tay).

Macroeconometric modelling. In Macroeconomic Policy: Iceland in an Era of Global Integration (M. Gudmundsson, T.T. Herbertsson and G. Zoega, eds), pp.399-414. Reykjavik: University of Iceland Press, 2000.

Forecast uncertainty, its representation and evaluation. In Econometric Forecasting and High-Frequency Data Analysis (R.S. Mariano and Y.K. Tse, eds), Volume 13 of the Lecture Notes Series of the Institute for Mathematical Sciences, National University of Singapore, pp.1-51. Singapore: World Scientific, 2008.

Modeling UK inflation uncertainty, 1958-2006. In Volatility and Time Series Econometrics: Essays in Honor of Robert F. Engle (T. Bollerslev, J.R. Russell and M.W. Watson, eds), pp.62-78. Oxford: Oxford University Press, 2010 (with G. Boero and J. Smith).

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PUBLISHED COMMENTS AND DISCUSSIONS

Contributions to the discussion of papers read to the Royal Statistical Society and published in its Journal, Series A, by
P.J. Coen, E.D. Gomme and M.G. Kendall, 132 (1969), 156-157
R.J. Nicholson and N. Topham, 134 (1971), 313-315
C. Chatfield and D.L. Prothero, 136 (1973), 332
P. Newbold and C.W.J. Granger, 137 (1974), 155-156
P.B. Kenny and J. Durbin, 145 (1982), 29-30.

Graduate tax: a comment. Higher Education Review, 1 (1969), 65-67.

Comments on "On the synthesis of time series and econometric models" by C.W.J. Granger. In Directions in Time Series (D.R. Brillinger and G.C. Tiao, eds), pp.170-174. Institute of Mathematical Statistics, 1980.

Comment on "Modelling demographic relationships: an analysis of forecast functions for Australian births" by J.M. McDonald. Journal of the American Statistical Association, 76 (1981), 798-799.

Comments on "A survey of non-Dutch European macroeconometric models: some international perspective" by R.G. Bodkin. In Challenges for Macroeconomic Modelling (W. Driehuis, M.M.G. Fase and J. den Hartog, eds), pp.251-257. Amsterdam: North-Holland, 1988.

Discussion of "Modelling expectations formation in primary commodity markets" by C.L. Gilbert and T.B. Palaskas. In Primary Commodity Prices: Economic Models and Policy (L.A. Winters and D. Sapsford, eds), pp.69-70. Cambridge: Cambridge University Press, 1990.

Comment on "A procedure for predicting recessions with leading indicators: econometric issues and recent experience" by J.H. Stock and M.W. Watson. In Business Cycles, Indicators, and Forecasting (J.H. Stock and M.W. Watson, eds), pp.153-156. Chicago: University of Chicago Press for NBER, 1993.

Comment on "On the limitations of comparing mean square forecast errors" by M.P. Clements and D.F. Hendry. Journal of Forecasting, 12 (1993), 663-666.

Discussion of "Trend extraction: a practitioner's guide" by M.R. Wickens. Annex E, Government Economic Service Working Paper No.125. London: HM Treasury, 1995.

Comments on "The Experiment in Applied Econometrics". Journal of Applied Econometrics, 12 (1997), 611 and 637-640.
Reprinted in Methodology and Tacit Knowledge:Two Experiments in Econometrics (J.R. Magnus and M.S. Morgan, eds), pp.201-202 and 227-230. Chichester: Wiley, 1999.

Comment on "New capabilities and methods of the X-12-ARIMA seasonal adjustment program" by D.F. Findley, B.C. Monsell, W.R. Bell, M.C. Otto and B.-C. Chen. Journal of Business and Economic Statistics, 16 (1998), 164-165.

Comment on "JADE: A model for the Joint Analysis of Dynamics and Equilibrium" by F.Huizinga. CPB Report, 1998 No.4, pp.49-50 (with K.B. Church).

Comment on "Modelling regional interdependencies using a global error-correcting macroeconometric model" by M.H. Pesaran, T. Schuermann and S.M. Weiner. Journal of Business and Economic Statistics, 22 (2004), 172-175.

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OTHER PUBLICATIONS

Statistical and econometric modelling of economic time series. Ricerche Economiche, 35 (1981), 3-21. (Published lecture notes)

Memorandum on Official Economic Forecasting submitted to the Treasury and Civil Service Committee. In Memoranda on Official Economic Forecasting, House of Commons Paper No.532-i, pp.67-75. London: HMSO, 1991 (with J.D. Whitley).

Metodos de simulacion para modelos macroeconometricos de gran escala. Cuadernos Economicos de ICE, No.48 (1991), 11-30. (Translation of "Simulation methods for large-scale macroeconometric models", an invited survey article)

Wealth, financial deregulation, expectations and consumer behaviour. Government Economic Service Working Paper No.122. London: HM Treasury, 1994 (with K.B. Church, P.R. Mitchell, P.N. Smith, N. Rankin and M.R. Weale).

Der Vergleich makroökonometrischer Modelle - Erfahrungen des ESRC Macroeconomic Modelling Bureau der Universität Warwick. RWI-Mitteilungen, 45 (1994), 303-323. (Translation of an invited lecture)

Foreword to Project Appraisal and Macroeconomic Policy by T. van der Burg. Dordrecht: Kluwer, 1996.

Memorandum on the Accountability of the Bank of England submitted to the Treasury Committee. In Accountability of the Bank of England, First Report of the Treasury Committee Session 1997-98, HC282, pp.24-25. London:The Stationery Office, 1997.

Report of a Scoping Study on Seasonal Adjustment Methods at the Office for National Statistics. Statistics Commission Report No.3, 2001.

Forecast uncertainty, its representation and evaluation. Boletin Inflacion y Analisis Macroeconomico, Universidad Carlos III de Madrid, Special Issue No.100 (January 2003), 89-98. (Invited research review)

Empirical macro-models of the euro economy: an introduction. Introductory Editorial in a special issue of Economic Modelling, 21 (2004), 719-722 (with A.J. Hughes Hallett).

Macroeconomic Modelling in Central Banks in Latin America. United Nations Project Document, Economic Commission for Latin America and the Caribbean, April 2008.