Archived Publications
- With Andreas Pick and Mikhail Pranovich, “Optimal Forecasts in the Presence of Structural Breaks”, Journal of Econometrics, Volume 177, Issue 2 pp134-152, December 2013.
- With L. Vanessa Smith and Takashi Yamagata, “Panel Unit Root Tests in the Presence of a Multifactor Error Structure”, Journal of Econometrics, Vol. 175, Issue 2 pp. 94-115, August 2013.
- With Hadi Salehi Esfahani and Kamiar Mohadds, “Oil Exports and the Iranian Economy”, The Quarterly Review of Economics and Finance, Vol. 53, Issue 3, pp. 221-237, August 2013.
- With Gary Koop and Ron P. Smith, “On Identification of Bayesian DSGE Models”, Journal of Business Economics and Statistics Vol. 31, Issue 3, pp 300-314, July 2013.
- With Alexander Chudik, “Econometric Analysis of High Dimensional VARs Featuring a Dominant Unit”, Econometric Reviews, Vol. 32, Issue 5-6, pp. 592-649, February 2013.
- “On the Interpretations of Panel Unit Root Tests”, Economics Letters, Vol. 116, Issue 3, pp. 545-546, September 2012.
- With George Kapetanios, Comment on “Fast sparse regression and classification” by J.H. Friedman, International Journal of Forecasting, 28, pp. 739-740, July-September, 2012.
- With Cheng, Hsiao, and Andreas Pick, "Diagnostic Tests of Cross Section Independence for Limited Dependent Variable Panel Data Models", The Oxford Bulletin of Economics and Statistics, Vol. 74, No 2, pp.253-277, 2012.
- With Ambrogio Cesa-Bianchi, Alessandro Rebucci and TengTeng Xu, "China’s Emergence in the World Economy and Business Cycles in Latin America", Economia, Journal of the Latin American and Caribbean Economic Association, Vol. 12, pp. 1-75, Spring 2012, with Comments by Roberto Chang.
- With R.P. Smith, “Beyond the DSGE Straitjacket", The Manchester School, Vol.79, pp. 5–16, 2011.
- With Andreas Pick, "Forecast Combination across Estimation Windows”, Journal of Business Economics and Statistics, Vol. 29, Issue 2, pp. 307-318, 2011.
- With Emmanuel Dhyne, Catherine Fuss and Patrick Sevestre, “Lumpy Price Adjustments: A Microeconometric Analysis”, Journal of Business Economics and Statistics, Vol. 29, Issue 4, pp. 529-540, 2011.
- With George Kapetanios and Takashi Yamagata, “Panels with Nonstationary Multifactor Error Structures”, Journal of Econometrics, Vol. 160, Issue 2, pp. 326-348, 2011.
- With Elisa Tosetti, “Large Panels with Common Factors and Spatial Correlations”, (2011), Journal of Econometrics, 161, pp. 182-202.
- With Alexander Chudik, “Infinite Dimensional VARs and Factor Models", (2011), Journal of Econometrics, 163, 2011, 4-22.
- With Alexander Chudik, and Elisa Tosetti (2011), Weak and Strong Cross Section Dependence and Estimation of Large Panels, The Econometrics Journal, 14, pp. C45-C90.
- With Sean Holly and Takashi Yamagata, (2011) “The Spatial and Temporal Diffusion of House Prices in the UK” Journal of Urban Economics, vol 69, pp. 2-23.
- With Andreas Pick and Allan Timmermann, (2011) Variable Selection, estimation and inference for multi-period forecasting problems. Journal of Econometrics, Vol 164, Issue 1 September 2011 173-187.
- With Bahram Pesaran, (2010) “Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash”, Special Issue of Economic Modelling in honor of PAVB Swamy, edited by Stephen G. Hall, Lawrence R. Klein, George S. Tavlas and Arnold Zellner, 27, 1398-1416
- With Sean Holly and Takashi Yamagata, 2010 “A Spatio-temporal Model of House Prices in the US”, Journal of Econometrics, Vol. 158, pp. 160-173.
- With Katrin Assenmacher-Wesche, 2009. “A VECX* Model of the Swiss Economy”, Economic Studies, Swiss National Bank, No. 6.
- With Dees, S., Smith, L.V., Smith, R.P., 2009. “Identification of new Keynesian Phillips curves from a global perspective”, Journal of Money, Credit and Banking, 41(7), pp. 1481-1502.
- With Til Schuermann and L. Vanessa Smith, 2009. Response to discussions on “Forecasting Economic and Financial Variables with Global VARs”, International Journal of Forecasting, 25, pp. 703-715.
- With Til Schuermann and L. Vanessa Smith, 2009. “Forecasting Economic and Financial Variables with Global VARs”, International Journal of Forecasting, 25, pp. 642-675.
- With Ron P. Smith, Takashi Yamagata and Lyudmyla Hvozdyk, 2009. “Pairwise Tests of Purchasing Power Parity”, Econometric Reviews. 28, pp. 495-521.
- With Hadi S. Esfahani, 2009. “Iranian Economy in the Twentieth Century: A Global Perspective”, Iranian Studies, Volume 42, Issue 2, pp. 177-211. Translation into Persian by Ali Sarzeem in Donya-e Eqtesad.
- With Allan Timmermann, 2009. “Testing Dependence Among Serially Correlated Multi-Category Variables”, Journal of The American Statistical Association, Vol. 104, No. 485, pp. 325-337.
- With Christoph Schleicher and Paolo Zaffaroni, 2009. “Model Averaging in Risk Management with an Application to Futures Markets”, Journal of Empirical Finance, Vol. 16, Issue 2, pp. 280-305.
- With Aman Ullah and Takashi Yamagata, 2008. “A Bias-Adjusted LM Test of Error Cross Section Independence”, The Econometrics Journal, Vol. 11, pp. 105-127.
- With Takashi Yamagata, 2008. “Testing Slope Homogeneity in Large Panels”, Journal of Econometrics, Vol. 142, pp. 50-93
- With Adrian Pagan, 2008. “Econometric Analysis of Structural Systems with Permanent and Transitory Shocks”, Journal of Economic Dynamics and Control, Vol. 32, No. 10, pp. 3376-3395
- With Samuel G. Hanson and Til Schuermann, 2008. “Firm Heterogeneity and Credit Risk Diversification”, Journal of Empirical Finance, Vol. 15, Issue 4, pp. 583-612
- With Katrin Assenmacher-Wesche, 2008. “Forecasting the Swiss Economy Using VECX* Models: An Exercise in Forecast Combination Across Models and Observation Windows”, National Institute Economic Review, Vol. 203, pp. 91-108
- With Stephane Dees, Sean Holly and L. Vanessa Smith, 2007. “Long Run Macroeconomic Relations in the Global Economy”, Economics - The Open-Access, Open-Assessment E-Journal, 2007-3.
- 2007, “A Simple Panel Unit Root Test in the Presence of Cross-Section Dependence”, Journal of Applied Econometrics, Volume 22, Issue 2, pp. 265-312
- With Davide Pettenuzzo and Allan Timmermann, 2007. “Learning, Structural Instability and Present Value Calculations”, Econometric Reviews, 26(2-4), pp. 253-288
- 2007, “A Pair-Wise Approach to Testing for Output and Growth Convergence”, Journal of Econometrics, Vol. 138, pp. 312-355
- With S. Dees, F. Di Mauro and V. Smith, 2007. “Exploring the International Linkages of the Euro Area: a Global VAR Analysis”, Journal of Applied Econometrics, Vol. 22, Issue 1, pp. 1-38
- With Andreas Pick, 2007. “Econometric Issues in the Analysis of Contagion”, Journal of Economic Dynamics and Control, Vol. 31, Issue 4, pp. 1245-1277
- With Allan Timmermann, 2007. “Selection of Estimation Window in the Presence of Breaks”, Journal of Econometrics, Vol. 137, pp. 134-161
- With L. Vanessa Smith and Ron P. Smith, 2007. “What if the UK or had joined the Euro In 1999? An Empirical Evaluation Using A Global VAR”, International Journal of Finance and Economics, Vol. 12, No. 1, pp. 55-87
- With Til Schuermann, Björn-Jakob Treutler and Scott M. Weiner, 2006. “Macroeconomic Dynamics and Credit Risk: A Global Perspective”, Journal of Money Credit and Banking, Vol. 38, No. 5, pp. 1211-1262
- With Davide Pettenuzzo and Allan Timmermann, 2006. “Forecasting Time Series Subject to Multiple Structural Breaks”. Review of Economic Studies, Vol. 73, No. 4, pp. 1057-1084
- With Ron Smith, 2006, “Macroeconomic Modelling with a Global Perspective”, The Manchester School, Vol. 74, Supplement 1, pp. 24-49
- 2006 “Estimation and Inference in Large Heterogeneous Panels with Multifactor Error Structure”, Econometrica, Vol. 74, No.4, pp. 967-1012
- With Allan Timmermann, 2005, “Small sample properties of forecasts from autoregressive models under structural breaks”, Journal of Econometrics, Vol. 129, No’s 1 & 2, pp. 183-217
- With Patrick J. Coe and Shaun Vahey, 2005, “The Cost Effectiveness of the UK’s Sovereign Debt Portfolio”, Oxford Bulletin of Economics and Statistics, Vol. 67, No. 4, pp. 467-495
- With Michael Binder and Cheng Hsiao, 2005, “Estimation and Inference in Short Panel Vector Autoregressions with Unit Roots and Cointegration”, Econometric Theory, Vol. 21, No, 4, pp. 795-837
- With Allan Timmermann, 2005, “Real Time Econometrics”, Econometric Theory, Vol. 21, No.1, pp.212-231
- With A. Timmermann, 2004, “How Costly is it to Ignore Breaks When Forecasting the Direction of a Time Series”, International Journal of Forecasting, Vol. 20, No. 3, pp. 411-425
- With T. Schuermann and S. Weiner, 2004, “Modelling Regional Interdependencies using a Global Error-Correcting Macroeconometric Model”, Journal of Business Economics and Statistics, Vol.22, No. 2, pp. 129-162
- With A. Garratt, K. Lee and Y. Shin, 2003, “Forecast Uncertainties in Macroeconometric Modelling: An Application to the U.K. Economy”, Journal of the American Statistical Association, Association and Case Studies, Vol. 98, pp. 829-838
- With K.Y. Im and Y. Shin, 2003, “Testing for Unit Roots in Heterogeneous Panels”, Journal of Econometrics, Vol. 115, No. 1, pp 53-74
- With A. Garratt, K. Lee and Y. Shin, 2003, “A Long Run Structural Macroeconometric Model for the UK” Economic Journal, Vol.113, pp.412-455
- 2003, “Aggregation of linear dynamic models: An application to life-cycle consumption models under habit formation”, Economic Modelling, Vol.20, pp. 227-435
- With A. Timmermann, 2002, “Market timing and return prediction under model instability”, Journal of Empirical Finance, Vol.9, pp. 495-510
- With C. Hsiao and A. K. Tahmiscioglu, 2002, “Maximum likelihood estimation of fixed effects dynamic panel data models covering short time periods”, Journal of Econometrics, Vol.109, No. 1, pp.107-150
- With Y. Shin, 2002, “Long-run structural modelling”, Econometric Reviews, Vol.21, pp.49-87
- With D.F. Hendry, 2001, “A special issue in memory of John Denis Sargan: studies in empirical macroeconometrics”, Journal of Applied Econometrics, Special Issue, Vol.16, pp. 197-202
- With Y. Shin and R.J Smith, 2001, “Bounds testing approaches to the analysis of level relationships”, Journal of Applied Econometrics, special issue in honour of J D Sargan on the theme “Studies in Empirical Macroeconometrics”, D.F. Hendry and M.H. Pesaran (eds), Vol.16, pp.289-326
- With M. Binder, 2001, “Life-cycle consumption under social interactions”, Journal of Economic Dynamics and Control, special issue on Computational Methods in Economic Dynamics and Finance, Sean Holly(ed), Vol.25, pp.35-83
- With G.C. Harcourt, 2000, “Life and Work of John Richard Nicholas Stone 1913-1991” in Economic Journal, Vol.110, pp. F146-F165
- With C.W.J. Granger, 2000, “Economic and statistical measures of forecast accuracy”, Journal of Forecasting, Vol.19, pp.537-560
- With Y. Shin and R.J. Smith, 2000, “Structural Analysis of Vector Error Correction Models with Exogenous I(1) Variables”, Journal of Econometrics, Vol.97, pp.293-343
- With M. Binder and H. Samiei, 2000, “Solution of Nonlinear Rational Expectations Models with Applications to Finite-Horizon Life-Cycle Models of Consumption”, Computational Economics, Vol.15, pp.25-57
- With K. Lee and K.J. Van Garderen, 2000, “Cross-sectional aggregation of nonlinear models”, Journal of Econometrics, Vol.95, pp.285-331
- With A. Timmermann, 2000, “A Recursive Modelling Approach to Predicting UK Stock Returns”, Economic Journal, Vol.110, pp.159-191
- With M. Binder, 2000, “Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems”, Journal of Economic Dynamics and Control, Vol.24, pp.325-346
- With C. Hsiao and A. K. Tahmiscioglu, 1999, “Maximum Likelihood Estimation of Fixed Effects Dynamic Panel Data Models Covering Short Time Periods”, Proceedings of the American Statistical Association, Business and Economic Statistics Section, 179-184
- With M. Binder, 1999, “Stochastic growth models and their econometric implications”, Journal of Economic Growth, Vol.4, pp.139-183
- With Y. Shin and R.P. Smith, 1999, “Pooled mean group estimation of dynamic heterogeneous panels”, Journal of the American Statistical Association, Vol.94, pp.621-634 (Reprinted in The International Library of Critical Writings in Econometrics, Recent Developments in the Econometrics of Panel Data, B. Baltagi (ed), 2002)
- With L.W. Taylor, 1999, “Diagnostics for IV regressions”, Oxford Bulletin of Economics and Statistics, Vol.61, pp.255-281
- With F.J. Ruge-Murcia, 1999, “Analysis of exchange-rate target zones using a limited-dependent rational-expectations model with jumps”, Journal of Business and Economic Statistics, Vol.17, pp.50-66
- With M. Binder, 1998, “Decision making in the presence of heterogeneous information and social interactions”, International Economic Review, Vol.39, pp.1027-1052
- With R.P. Smith, 1998, “Structural analysis of cointegrating VARs”, Journal of Economic Surveys Vol.12, pp.471-506. (Also in L. Oxley and M. McAleer (eds) Practical Issues in Cointegration Analysis, Oxford, Basil Blackwell, 1999)
- With K. Lee and R.P. Smith, 1998, “Growth empirics: a panel data approach - a comment”, Quarterly Journal of Economics, Vol.113, pp.319-323
- With Y. Shin, 1998, “Generalised impulse response analysis in linear multivariate models”, Economics Letters, Vol.58, pp.17-29
- With M. Binder, 1997, “Multivariate linear rational expectations models: characterization of the nature of the solutions and their fully recursive computation”, Econometric Theory, Vol.13, pp.877-888
- With K. Lee and R.P. Smith, 1997, “Growth and convergence in a multi-country empirical stochastic Solow model”, Journal of Applied Econometrics, Vol.12, pp.357-392
- With S.M. Potter, 1997, “A floor and ceiling model of US output”, Journal of Economic Dynamics and Control, Vol.21, pp.661-696
- 1997, “The role of economic theory in modelling the long-run”, Economic Journal, “Controversy”, Vol.107 No.440, pp.178-191
- With G. Koop and S.M. Potter, 1996, “Impulse response analysis in nonlinear multivariate models”, Journal of Econometrics, Vol.74 No.1, pp.119-147
- With F.J. Ruge-Murcia, 1996, “Limited-dependent rational expectations models with stochastic thresholds”, Economics Letters, Vol.51, pp.267-276
- With Y. Shin, 1996, “Cointegration and speed of convergence to equilibrium”, Journal of Econometrics, Vol.71 No.2, pp.117-143
- With H. Samiei, 1995, “Forecasting ultimate resource recovery”, International Journal of Forecasting, Vol.11, pp.543-555
- With B. Pesaran, 1995, “A non-nested test of level-differenced versus log-differenced stationary models”, Econometric Reviews, Vol.14, pp.213-228
- With H. Samiei, 1995, “Limited-dependent rational expectations models with future expectations”, Journal of Economic Dynamics and Control, Vol.19, pp.1325-1353
- With A. Timmermann, 1995, “Predictability of stock returns: robustness and economic significance”, Journal of Finance, Vol.50, pp.1201-1228
- With R.P. Smith, 1995, “Estimating long-run relationships from dynamic heterogeneous panels”, Journal of Econometrics, Vol.68, pp.79-113. Reprinted in The International Library of Critical Writings in Econometrics, Recent Developments in the Econometrics of Panel Data, B. Baltagi (ed), 2002
- With R.P. Smith, 1995, “The role of theory in econometrics”, Journal of Econometrics, Vol.67, pp.61-79
- With M. Karshenas, 1995, “Economic reform and the reconstruction of the Iranian economy”, The Middle East Journal, Vol.49, pp.88-111
- 1995, “Planning and macroeconomic stabilization in Iran”, Persian translation in Iran Nameh, special issue, J. Amuzegar (ed), Vol.XIII, Nos.1-2, pp.75-95
- With C. Favero and S. Sharma, 1994, “A duration model of irreversible oil investment: theory and empirical evidence”, Journal of Applied Econometrics, special issue "Calibration Techniques and Econometrics", Adrian Pagan (ed), Vol.9 Supplement, pp. S95-S112
- With C. Favero, 1994, “Oil investment in the North Sea”, Economic Modelling, Vol.11, No.3, pp.308-329
- With A. Timmermann, 1994, “Forecasting stock returns: an examination of stock market trading in the presence of transaction costs”, Journal of Forecasting, Vol.13, pp.335-367 Reprinted in The International Library of Critical Writings in Financial Economics, Financial Forecasting, 2002
- With R.J. Smith, 1994, “A generalized R2 criterion for regression models estimated by the Instrumental Variables method”, Econometrica, Vol.62 No.3, pp.705-710
- With A. Timmermann, 1994, “A generalization of the non-parametric Henriksson-Merton test of market timing”, Economics Letters, Vol.44, pp.1-7
- With R. Pierse and K. Lee, 1994, “Choice between disaggregate and aggregate specifications estimated by IV method”, Journal of Business and Economic Statistics, Vol.12, pp. 111-121
- With M. McAleer and C.R. McKenzie, 1994, “Cointegration and direct tests of the rational expectations hypothesis”, Econometric Reviews, Vol.13, pp.231-258
- With K. Lee, 1993, “Persistence profiles and business cycle fluctuations in a disaggregated model of UK output growth”, Ricerche Economiche, Vol.47, pp.293-322
- With B. Pesaran, 1993, “A simulation approach to the problem of computing Cox's Statistic for testing non-nested models”, Journal of Econometrics, Vol.57, pp.377-392
- With Kevin Lee, 1993, “The role of sectoral interactions in wage determination in the UK economy”, Economic Journal, Vol.103, pp.21-55
- With R.G. Pierse and K.C. Lee, 1993, “Persistence, cointegration and aggregation: a disaggregated analysis of output fluctuations in the US economy”, Journal of Econometrics, Vol.56, pp.57-88
- With R.P. Smith, 1992, “The interaction between theory and observation in economics”, Economic and Social Review, Vol.24, pp.1-23
- With Simon Potter, 1992, “Non-linear dynamics and econometrics: an introduction”, Journal of Applied Econometrics Special Issue, Vol.7 Supplement, pp. S1-S7
- With A. Timmermann, 1992, “A simple non-parametric test of predictive performance”, Journal of Business and Economic Statistics, Vol.10, pp. 461-465
- 1992, “On the volatility and efficiency of stock prices”, (Sobre la volatilidad y eficiencia de los precios de las acciones) Cuadernos Economicos de ICE, Vol.49, (in Spanish) (English version: University of Cambridge DAE Discussion Paper No.8908)
- With A.K. Bera and M. McAleer, 1992, “Joint test of non-nested models and general error specifications”, Econometric Reviews, Vol.11
- With H. Samiei, 1992, “Estimating limited-dependent rational expectations models: with an application to exchange rate determination in a target zone”, Journal of Econometrics, Vol.53, pp.141-163
- With K. Lee and R. Pierse, 1992, “Persistence of shocks and their sources in a multisectoral model of UK output growth”, Economic Journal, Vol.102, pp.342-356
- With Hossein Samiei, 1992, “An analysis of the determination of Deutsche mark/French franc exchange rate in a discrete-time target-zone model”, Economic Journal, Vol.102, pp.388-401
- 1992, “The Iranian foreign exchange policy and the black market for dollars”, International Journal of Middle Eastern Studies, Vol.24, pp.101-125 (Persian translation in Planning & Development, Vol.2 No.2, 1992)
- 1991, “Costly adjustment under rational expectations: a generalisation”, Review of Economics and Statistics, Vol.73, pp. 353-358
- 1991, “An interview with Sir Richard Stone”, Econometric Theory, Vol.7, pp. 85-123
- 1991, “Estimation of a simple class of multivariate rational expectations models: a test of the new classical model at a sectoral level”, Empirical Economics, pp. 211-232
- With H. Samiei, 1991, “Persistence, seasonality and trend in UK egg production”, Applied Economics, Vol.23, pp. 479-484
- With A. Bera and M. McAleer, 1990, “Alternative approaches to testing non-nested models with autocorrelated disturbances: application to models of U.S. unemployment”, Communication in Statistics: Theory and Methods, Vol.19, pp. 3619-3644
- 1990, “An econometric model of exploration and extraction of oil in the UK Continental Shelf”, Economic Journal, Vol.100, pp. 367-390
- With K. Lee and R.G. Pierse, 1990, “Testing for aggregation bias in linear models”, Economic Journal (supplement), Vol.100, pp. 137-150
- With R.J. Smith, 1990, “A unified approach to estimation and orthogonality tests in linear single-equation econometric models”, Journal of Econometrics, Vol.44, pp. 41-66
- With R.G. Pierse, 1989, “A proof of the asymptotic validity of a test for perfect aggregation”, Economics Letters, Vol.30 No.1, pp 41-47
- 1989, “Consistency of short-term and long-term expectations”, Journal of International Money and Finance, Vol.8, pp. 511-516
- With R.G. Pierse and M. Kumar, 1989, “Econometric analysis of aggregation in the context of linear prediction models”, Econometrica, Vol.57, pp. 861-888
- 1988, “The role of theory in applied econometrics”, Economic Record, pp. 336-339
- With A.D. Hall, 1988, “Tests of non-nested linear regression models subject to linear restrictions”, Economics Letters, pp. 341-348
- 1988, “On the policy ineffectiveness proposition and a Keynesian alternative: a rejoinder”, Economic Journal, Vol. 98, pp. 504-508
- 1987, “Global and partial non-nested hypotheses and asymptotic local power”, Econometric Theory, pp. 69-97
- With M. McAleer, 1986, “Statistical inference in non-nested econometric models”, Applied Mathematics and Computation, pp. 271-311
- 1985, “Comment on P.A.V.B. Swamy, R.K. Conway and P. von zur Muehlen, ‘The foundations of econometrics - are there any?’”, Econometric Reviews, pp. 75-80
- 1985, “Formation of inflation expectations in British manufacturing industries”, Economic Journal, Vol.95, pp. 948-975
- With R.P. Smith and S. Yeo, 1985, “Testing for structural stability and predictive failure: a review”, Manchester School, pp. 280-295
- With R.P. Smith, 1985, “Evaluation of macroeconometric models”, Economic Modelling, Vol.2, pp. 125-134
- 1984, “Macroeconomic policy in an oil-exporting economy with foreign exchange controls”, Economica, Vol. 51, pp. 253-270
- 1984, “Asymptotic power comparisons of tests of separate parametric families by Bahadur's approach”, Biometrika, pp. 245-252
- With R.A. Evans, 1984, “Inflation, capital gains and UK personal savings: 1953-81”, Economic Journal, Vol. 94, pp. 237-257
- 1983, “Comment on the paper by J.G. MacKinnon, ‘Model specification tests against non-nested alternatives’”, Econometric Reviews, Vol.2, pp. 145-149
- 1983, “A note on the maximum likelihood estimation of regression models with first-order moving average errors with roots in the unit circle”, Australian Journal of Statistics, Vol.25, pp. 442-448
- With J. Hausman, 1983, “The J-test as a Hausman specification test”, Economics Letters, Vol.12, pp. 277-281
- With L.G. Godfrey, 1983, “Tests of non-nested regression models: small sample adjustments and Monte Carlo evidence”, Journal of Econometrics, Vol.21, pp. 133-154
- 1982, “The system of dependent capitalism in pre- and post- revolutionary Iran”, International Journal of Middle East Studies, Vol.14, pp. 501-522
- 1982, “Comparison of local power of alternative tests of non-nested regression models”, Econometrica, Vol.50, pp.1287-1305
- 1982, “A critique of the proposed tests of the natural rate/rational expectations hypothesis”, Economic Journal, Vol.92, pp. 529-554. Reprinted, 1999, in Kevin Hoover (ed), The Legacy Of Robert Lucas, Jr. Vol I, chapter 18. Cheltenham: Edward Elgar. ISBN 1 85898 387 8
- 1982, “On the Comprehensive method of testing non-nested regression models”, Journal of Econometrics, pp. 263-274
- 1981, “Pitfalls of testing non-nested hypotheses by the Lagrange multiplier method”, Journal of Econometrics, pp. 323-331
- 1981, “Identification of rational expectations models, Journal of Econometrics, pp.375-398
- 1980, “Economic development and revolutionary upheavals in Iran”, (under the pseudonym of T. Walton), Cambridge Journal of Economics, pp. 271-292. A revised and extended version of this article is published in Iran: A Revolution in Turmoil, H. Afshar (ed), MacMillan, 1985
- With A.S. Deaton, 1978, “Testing non-nested, non-linear regression models”, Econometrica, Vol.46, pp.677-694
- With E. Aziz Lavi, 1977, “Accountancy under inflationary conditions”, presented to the Accountancy Symposium, Tehran and published in The Auditor, (in Persian)
- With G.E.J. Llewellyn, 1976, “Determinants of United Kingdom import prices - a note”, Economic Journal, Vol. 86, pp. 315-320
- 1976, “Planning and social welfare”, presented at the Second National Seminar on Social Welfare in Tehran, (in Persian), and published in the Proceedings of the Seminar
- 1974, “On the general problem of model selection”, Review of Economic Studies, Vol.41, pp. 153-171
- 1973, “A dynamic inter-industry model of price determination - a test of the normal price hypothesis”, Quarterly Journal of Economic Research, Tehran University. Reprinted in Department of Applied Economics, (University of Cambridge), Reprint Series, No. 410
- 1973, “The exact maximum likelihood estimation of a regression equation with first order moving-average errors”, Review of Economic Studies, Vol.40, pp. 529-535
- 1973, “An alternative econometric approach to the permanent income hypothesis: an international comparison: a comment”, Review of Economics and Statistics, pp. 259-261
- 1973, “The small sample problem of truncation remainders in the estimation of distributed lag models with auto-correlated errors”, International Economic Review, Vol.14, pp. 120-131