Published Papers



          1. Testing Long-Horizon Predictive Ability with High Persistence, and the Meese-Rogoff Puzzle. International Economic Review 46(1), February 2005, 61-92.


          2. Optimal Tests for Nested Model Selection with Underlying Parameter Instability. Econometric Theory 21(5), October 2005, 962-990.  Matlab codes


          3. Confidence Intervals for Half-Life Deviations from Purchasing Power Parity. Journal of Business and Economic Statistics 23(4), October 2005, 432-442. Matlab codes.  Additional figures.


          4. Do Technology Shocks Drive Hours Up or Down?, with E. Pesavento. Macroeconomic Dynamics 9(4), September 2005, 478-488. Gauss codes                   


          5. Recursive Predictability Tests for Real-Time Data, with A. Inoue. Journal of Business and Economic Statistics 23(3), July 2005, 336-345. Matlab codes


          6. Small Sample Confidence Intervals for Multivariate IRF at Long Horizons, with E. Pesavento. Journal of Applied Econometrics 21(8), December 2006, 1135-1155. Additional Appendix. Matlab Codes.


          7. Are Exchange Rates Really Random Walks? Some Evidence Robust to Parameter Instability. Macroeconomic Dynamics 10(1), February 2006, 20-38. Matlab codes and Additional Matlab codes


          8. Impulse Response Confidence Intervals for Persistent Data: What Have We Learned?, with E. Pesavento. Journal of Economic Dynamics and Control 31, 2007, 2398-2412. Matlab codes


          9. How Stable is the Forecasting Performance of the Yield Curve for Output Growth?, with R. Giacomini. Oxford Bulletin of Economics and Statistics 68(s1), December 2006, 783-795.


          10. Expectations Hypotheses Tests at Long Horizons. The Econometrics Journal 10(3), October 2007, 1-26. Matlab codes: Code to implement the procedure; Replication codes: Monte Carlo & Empirical.


          11. Monitoring and Forecasting Currency Crises, with A. Inoue. Journal of Money Credit and Banking, 40(2-3), March-April 2008, 523-534.  Appendix **


          12. Model Selection for Nested and Overlapping Non-Linear Dynamic and Possibly Misspecified Models, with M. Marcellino. Oxford Bulletin of Economics and Statistics 70(s1), December 2008, 867-893.


          13. Detecting and Predicting Forecast Breakdowns, with R. Giacomini. The Review of Economic Studies 76(2), April 2009. Matlab codes: Wald test variance, Empirical, some Monte Carlos, main codes. ‡


          14. Forecast Comparisons in Unstable Environments, with R. Giacomini. Journal of Applied Econometrics 25(4), April 2010, 595-620.  Matlab codes: Empirical and Monte Carlo


          15. Have Models’ Forecasting Performance Changed Over Time, and When?, with T. Sekhposyan. International Journal of Forecasting 26(4), October/December 2010. Matlab codes Additional Appendix


          16. Can Exchange Rates Forecast Commodity Prices?, with Y. Chen and K. Rogoff. Quarterly Journal of Economics 125(3), August 2010, 1145-1194. Matlab codes. 2014 Updated paper. Additional table. NBER digest.


          17. Identifying the Sources of Instabilities in Macroeconomic Fluctuations, with A. Inoue. The Review of Economics and Statistics 93(4), November 2011, 1186-1204. Additional Not-for-Publication Appendix Matlab codes: Main empirical results


18. Understanding Models’ Forecasting Performance, with T. Sekhposyan. Journal of Econometrics 164(1), September 2011, 158-172. Matlab codes


19. Consistent Model Selection Over Rolling Windows, with A. Inoue and J. Lu. In: N.R. Swanson and X. Chen (eds.), Recent Advances and Future Directions in Causality, Prediction, and Specification Analysis, Springer: New York, 2013.


20. Information Criteria for Impulse Response Function Matching Estimation of DSGE Models, with A. Hall, A. Inoue, and J. Nason. Journal of Econometrics 170(2), October 2012, 499-518.   Matlab codes 


21. What is the Importance of Monetary and Fiscal Shocks in Explaining US Macroeconomic Fluctuations?, with S. Zubairy. Journal of Money, Credit and Banking 43(6), September 2011, 1247-1270. Not-for-Publication Appendix.


22. Testing for Weak Identification in Possibly Nonlinear Models, with A. Inoue. Journal of Econometrics 161, January 2011, 246-261. 


23. Out-of-sample Forecast Tests Robust to the Window Size Choice, with A. Inoue, Journal of Business and Economics Statistics 30(3), July 2012, 432-453. (*) Monte Carlo simulation codes   Simple Matlab code to implement the tests proposed in this paper


24. The Changing Relationship between Commodity Prices and Equity Prices in Commodity Exporting Countries. IMF Economic Review 60, December 2012, 533-569.


          25. Forecasting in Macroeconomics, with R. Giacomini. In: N. Hashimzade and M.A. Thornton (eds.), Handbook of Research Methods and Applications on Empirical Macroeconomics, Cheltenham, UK: Edward Elgar, June 2013, 618-658.


26. Do DSGE Models Forecast More Accurately Out-of-Sample than VAR Models?, with R. Gürkaynak and Burçin Kısacıkoğlu. In: T. Fomby, L. Kilian and A. Murphy (eds.),  VAR Models in Macroeconomics - New Developments and Applications: Essays in Honor of Christopher A. Sims, Advances in Econometrics vol. 32, 2013, 27-80.


27. Conditional Predictive Density Evaluation in the Presence of Instabilities, with T. Sekhposyan. (*) Journal of Econometrics 177(2), December 2013, 199-212.


28. Exchange Rate Predictability. Journal of Economic Literature 51(4), December 2013, 1063-1119.   Matlab codes    Appendix


29. Advances in Forecasting under Model Instability. In: G. Elliott and A. Timmermann (eds.), Handbook of Economic Forecasting, Volume 2B, Elsevier Publications), 1203-1324.  Appendix


30. Evaluating Predictive Densities of US Output Growth and Inflation in a Large Macroeconomic Data Set, with T. Sekhposyan. * International Journal of Forecasting 30(3), July-September 2014, 662-682. Matlab codes. Comment.


            31. Macroeconomic Uncertainty Indices Based on Nowcast and Forecast Error Distributions, with T. Sekhposyan. American Economic Review Papers & Proceedings 105(5), pp. 650-55, May 2015. (Download the US Uncertainty Index here). Matlab codes for updating the series as new data become available. Appendix. Data and Codes.


            32. Can Oil Prices Forecast Exchange Rates?, with D. Ferraro and K. Rogoff. Journal of International Money and Finance 54, June 2015, 116-141. 


            33. Forecasting in Nonstationary Environments: What Works and What Doesn’t in Reduced-Form and Structural Models, with R. Giacomini. Annual Review of Economics 7, August 2015, 207-229.             


            34. Forecast Rationality Tests in the Presence of Instabilities, With Applications to Federal Reserve and Survey Forecasts, with T. Sekhposyan. Journal of Applied Econometrics 31(3), April-May 2016, 507-532. (*, ***) Appendix


35. Model Comparisons in Unstable Environments, with R. Giacomini. International Economic Review 57(2), May 2016, 369-392.


            36. Heterogeneous Consumers and Policy Shocks, with E. Anderson and A. Inoue. Journal of Money Credit and Banking 48(8), December 2016, 1877-1888. †


            37.  In-sample Inference and Forecasting in Misspecified Factor Models, with M. Carrasco. Journal of Business and Economic Statistics (3), 313-338, July 2016. (***)  Rejoinder 


            38. Optimal Window Selection in the Presence of Possible Instabilities, with A. Inoue and L. Jin. Journal of Econometrics 196(1) , 55-67, January 2017.†


           39. Macroeconomic Uncertainty Indices for the Euro Area and its Individual Member Countries, with T. Sekhposyan.  Empirical Economics 53 (1), 41-62 January 2017.    Download here the uncertainty index for the Euro Area



Other Publications



          1. Comment on “Exchange Rate Models Are Not as Bad as You Think”, by C. Engel, N. Mark and K.D. West. In: Daron Acemoglu, Kenneth Rogoff and Michael Woodford (eds.), NBER Macroeconomics Annual 2007, MIT Press.


2. “Where Are Commodity Prices Headed Next? Look at Exchange Rates”, with Y.C. Chen and K. Rogoff. Vox.


3. “Predicting Agri-Commodity Prices: An Asset Pricing Approach”, with Y.C. Chen and K. Rogoff. World Uncertainty and the Volatility of Commodity Markets, ed. B. Munier, IOS, 2011.


4. Comment on: “Forecast Rationality Tests Based on Multi-Horizon Bounds”. Journal of Business and Economic Statistics 30(1), February 2012, 25-29.


5. Comment on: “Taylor Rule Exchange Rate Forecasting During the Financial Crisis”, by T. Molodtsova and D. Papell. NBER International Seminar in Macroeconomics 2012, U. of Chicago Press 2013.


6. “Are Exchange Rates Predictable?”. Vox, November 2013.


7. “Density Forecasts in Economics, Forecasting and Policymaking”. Els Opuscles del CREI, 2014.


8. Comment on: “Central Bank Macroeconomic Forecasting During the Global Financial Crisis: the European Central Bank and Federal Reserve Bank of New York Experiences”, by L. Alessi, E. Ghysels, L. Onorante, R. Peach and S. Potter. Journal of Business and Economic Statistics 32:4, 510-514, 2014.


9. “Eurozone Mired in Recession Pause”, with D. Giannone, R. Gürkaynak, M. Merz, R. Portes, L. Reichlin, A. Ritschl, P. Weil and K. Whelan. Vox,


          10. “Comment on: Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations and Forecast Rankings”, Journal of the Royal Statistical Society B, forthcoming.


          11. “A Review of Economic Forecasting”, Econometrics Journal 19(3), October 2016, pp. B1-B3.

        12. “Implementing Tests For Forecast Evaluation in the Presence of Instabilities”, with M. Soupre. Mimeo. (***)



Working Papers (submitted)


          Identifying the Sources of Model Misspecification, with C.H. Kuo and A. Inoue, CEPR Discussion Paper 10140  † (Revised February 2017)


          Alternative  Tests  for Correct  Specification of Conditional Forecast Densities, with T. Sekhposyan *, *** (Revised July 2017)


          Understanding the Sources of Macroeconomic Uncertainty, with T. Sekhposyan and M. Soupre’, ***      Download here the uncertainty indices and decomposition data for the US

          Uncertainty and Deviations from Uncovered Interest Rate Parity, with A. Ismailov




Working Papers (in progress)


Test for the Validity of Portfolio or Group Choice in Financial and Panel Regressions, with A. Inoue



Other Research Activities



          Check out the latest news from the Euro Area Business Cycle Dating Committee (CEPR) 


          Check out the latest news from the International Association for Applied Econometrics



Codes to Implement the Tests in Stata or Other Packages


Freely download STATA files that implement the Giacomini and Rossi (JAE 2010) and the Rossi and Sekhposyan (JAE 2016) tests here:



(‡) Financial support from NSF through Grant #0647627 is gratefully acknowledged.

(†) Financial support from NSF through Grant #1022125 is gratefully acknowledged.

(*) Financial support from Marie Curie Fellowship is gratefully acknowledged.

(***) Financial support from ERC through Grant 615608 is gratefully acknowledged.

I thank the Spanish Ministry of Research for supporting my overall research since 2012.

(*) In case you experience problems in reading the papers because some characters are not displayed, you should check that you have Adobe Acrobat installed in your computer and that you optimized its font settings (you may follow the instructions in Most papers are available also as Duke Working Papers at:

(**) Please send an email for the codes: the files and data are too big to be posted.