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Kenneth F. Wallis, FBA

Recent Publications and Presentations

 

Journal articles, etc.

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

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 two-piece normal, binormal, or double Gaussian distribution: its origin and rediscoveries. Statistical Science, 29 (2014), 106-112. Article (PDF)
Addendum (2016)

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

Scoring rules and survey density forecasts (with Gianna Boero and Jeremy Smith). International Journal of Forecasting, 27 (2011), 379-393. Article (PDF)

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

Cointegration, long-run structural modelling and weak exogeneity: two models of the UK economy (with Jan P.A.M. Jacobs). Journal of Econometrics, 158 (2010), 108-116. Article (PDF)

Modeling UK inflation uncertainty, 1958-2006 (with Gianna Boero and Jeremy Smith). 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. Paper (PDF)

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

Uncertainty and disagreement in economic prediction: the Bank of England Survey of External Forecasters (with Gianna Boero and Jeremy Smith). Economic Journal, 118 (2008), 1107-1127. Article (PDF) Also available here is the note of amendments to the dataset mentioned at the end of Section 1 of the article.

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

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

A note on the calculation of entropy from histograms. October 2006. Paper (PDF)

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

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

Lecture notes

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.  Typescript (PDF)

Note These lectures formed part of the program on Econometric Forecasting and High-Frequency Data Analysis at the IMS, jointly organised by the School of Economics and Social Sciences, Singapore Management University, in May 2004. They were first written up for publication in August 2004. The notes first survey the different ways in which economic forecasters measure and report uncertainty, with discussion of some of the technical issues that arise, and then survey recent research on statistical methods for the evaluation of interval and density forecasts, including methods of comparing and combining such forecasts. Subsequently some of the material formed the basis of lectures given, under the same general title, as the Sir Richard Stone Lectures in London in October 2005. Taking advantage of the publication delay, some of the additional material was updated and incorporated into the 2008 publication. There is no separate publication of the Stone lectures.