In this paper we conduct a Monte Carlo study to determine the power of Pearson’s overall goodness-of-fit test as well as the “Pearson analog” tests (see Anderson (1994)) to detect rejections due to shifts in variance, skewness and kurtosis, as we vary the number and location of the...

Periodic models for seasonal data allow the parameters of the model to vary across the different seasons. This paper uses the components of UK consumption to see whether the periodic autoregressive (PAR) model yields more accurate forecasts than non-periodic models, such as the airline model of...

This paper uses the approach of Im, Pesaran and Shin (2003) to propose seasonal unit root tests for dynamic heterogeneous panels based on the means of the individuals HEGY test statistics. The standardised t-bar and F-bar statistics are simply averages of the HEGY tests across groups. These...

This paper extends the cross-sectionally augmented IPS (CIPS) test of Pesaran (2006) to a three-dimensional (3D) panel. This 3D-CIPS test is correctly sized in the presence of cross-sectional dependency. Comparing its power performance to that of a bootstrapped IPS (BIPS) test, we find that the...

In this paper we investigate the multi-period forecast performance of a number of empirical self exciting threshold autoregressive (SETAR) models that have been proposed in the literature for modeling exchange rates and GNP, amongst other variables. An indicator of when such models are likely to...

The properties of Pearson’s goodness-of-fit test, as used in density forecast evaluation, income distribution analysis and elsewhere, are analysed. The components-of-chi-squared or “Pearson analog” tests of Anderson (1994) are shown to be less generally applicable than was originally...

This article introduces a new source of survey data, namely the Bank of England Survey of External Forecasters. The survey collects point and density forecasts of inflation and GDP growth, and hence offers the opportunity of constructing direct measures of uncertainty. We present a simple...

We exploit a rich administrative panel data-set for cohorts of Economics students at a UK university in order to identify causal effects of class absence on student performance. We exploit the panel properties of the data to control for unobserved heterogeneity across students and hence for...

We exploit individual-level administrative data for whole populations of UK university students for the leaving cohorts of 1985-1993 to investigate the determinants of graduate occupational earnings. Among other results, we find that there are significant differences in the occupational earnings...

We exploit individual-level administrative data for whole populations of UK university students for the leaving cohorts of 1985-1993 (together with that of 1998) to investigate the influence of degree performance on graduate occupational earnings. We find that there is a significant premium...