Published Papers

"The historical role of energy in UK inflation and productivity with implications for price inflation" with Jennifer L. Castle and David F. Hendry, Energy Economics,  Volume 126, October 2023, 106947. 

Supplemental Material: Working Paper

Media Coverage: VoxEU

Abstract: We model UK price and wage inflation, productivity and unemployment over a century and a half of data, selecting dynamics, relevant variables, non-linearities and location and trend shifts using indicator saturation estimation. The four congruent econometric equations highlight complex interacting empirical relations. The production function reveals a major role for energy inputs additional to capital and labour, and although the price inflation equation shows a small direct impact of energy prices, the substantial rise in oil and gas prices seen by mid-2022 contribute half of the increase in price inflation. We find empirical evidence for non-linear adjustments of real wages to inflation: a wage-price spiral kicks in when inflation exceeds about 6%–8% p.a. We also find an additional non-linear reaction to unemployment, consistent with involuntary unemployment. A reduction in energy availability simultaneously reduces output and exacerbates inflation.

"Forecasting: theory and Practice" with Fotios Petropoulos and others, International Journal of Forecasting, Vol. 38, Issue 3, July-September 2022,  pp. 705-871. 

Supplemental Material: arXiv Working Paper

Abstract: Forecasting has always been at the forefront of decision making and planning. The uncertainty that surrounds the future is both exciting and challenging, with individuals and organisations seeking to minimise risks and maximise utilities. The large number of forecasting applications calls for a diverse set of forecasting methods to tackle real-life challenges. This article provides a non-systematic review of the theory and the practice of forecasting. We provide an overview of a wide range of theoretical, state-of-the-art models, methods, principles, and approaches to prepare, produce, organise, and evaluate forecasts. We then demonstrate how such theoretical concepts are applied in a variety of real-life contexts. We do not claim that this review is an exhaustive list of methods and applications. However, we wish that our encyclopedic presentation will offer a point of reference for the rich work that has been undertaken over the last decades, with some key insights for the future of forecasting theory and practice. Given its encyclopedic nature, the intended mode of reading is non-linear. We offer cross-references to allow the readers to navigate through the various topics. We complement the theoretical concepts and applications covered by large lists of free or open-source software implementations and publicly-available databases.

"Improving Normalized Hurricane Damages" Nature Sustainability, 2020, 3(7), pp. 517-518. 

Supplemental Material: Supplemental Information

Abstract: Normalized hurricane damage can be used to assess the risk of damaging hurricane seasons. Weinkle and colleagues use an economy-wide price deflator to produce a normalized damage estimate which suggests that losses from the 2017 hurricane season are likely to be seen again in the future. I argue that a building cost deflator is more relevant for hurricane damage. I find that normalized damage estimates that account for changes in building costs are consistent with historical trends in hurricane landfalls and indicate that there is an even higher probability of extremely damaging hurricane seasons in the future.

"Evaluating Forecasts, Narratives and Policy using a Test of Invariance" with Jennifer L. Castle and David F. Hendry, Econometrics,  2017, 5(3), 39. 

Supplemental Material: University of Oxford Department of Economics Discussion Paper No. 809   

Abstract: Economic policy agencies produce forecasts with accompanying narratives, and base policy changes on the resulting anticipated developments in the target variables. Systematic forecast failure, defined as large, persistent deviations of the out-turns from the numerical forecasts, can make the associated narrative false, which would in turn question the validity of the entailed policy implementation. We establish when systematic forecast failure entails failure of the accompanying narrative, which we call forediction failure, and when that in turn implies policy invalidity. Most policy regime changes involve location shifts, which can induce forediction failure unless the policy variable is super exogenous in the policy model. We propose a step-indicator saturation test to check in advance for invariance to policy changes. Systematic forecast failure, or a lack of invariance, previously justified by narratives reveals such stories to be economic fiction.

"How good are US government forecasts of the federal debt?", International Journal of Forecasting, Vol. 31, Issue 2, April-June 2015, pp. 312-324. 

Supplemental Material: Data and Forecasts | University of Oxford Department of Economics Discussion Paper No. 727  

Abstract: This paper compares annual one-year-ahead and five-year-ahead forecasts from government agencies for the US gross federal debt and deficit from 1984 to 2013. Other studies have compared two of these agencies’ forecasts, but not for debt. The current paper finds that the forecast from the Analysis of the President’s Budget performs best across both horizons but does not encompass the other forecasts. Instead, each of the forecasts lacks information included by the other agencies and therefore a combination of all three outperforms all individual forecasts.