Primary: Econometrics, Forecasting, Nowcasting, Big Data, Factor Models, Forecast Evaluation, Quantile Regression, Functional Data
Secondary: Applied Econometrics in Macroeconomics, Finance, Energy and Environmental Economics
Please contact me for abstracts on preliminary work
"Autoregressive Difference-in-Differences" (with Ryan Greenaway-McGrevy)
"Sparsity Tests for High-Dimensional Time Series Regressions" (with Valentina Corradi and Daniel Gutknecht)
"UK-MD: a Monthly Database for UK Macroeconomic Research" (with Fergus Jimenez-England and Stuart McIntyre)
"Forecast Evaluation with Functional Data" (with Piotr Kokoszka, Tim Kutta and Shixuan Wang)
Fosten, J., Gutknecht, D., Pohle, M., 2024. "Testing Quantile Forecast Optimality" Journal of Business & Economic Statistics 42 (4), 1367–1378. (Working Paper Version. Online Appendix here. R package here)
Fosten, J, Nandi, S., 2024. "Nowcasting U.S. State-Level CO2 Emissions and Energy Consumption" International Journal of Forecasting 41 (1), 20-30. (Working Paper Version)
Corradi, V., Fosten, J., Gutknecht, D., 2024. "Predictive Ability Tests with Possibly Overlapping Models" Journal of Econometrics 241 (1), (Working Paper Version. Online Appendix here)
Corradi, V., Fosten, J., Gutknecht, D., 2023. "Out-of-Sample Tests for Conditional Quantile Coverage: an Application to Growth-at-Risk" Journal of Econometrics 236 (2), (Working Paper Version. Online Appendix here)
Previously circulated under the title: "Conditional Quantile Coverage - An Application to Growth-at-Risk"Fosten, J., Nandi, S., 2023. "Nowcasting from Cross-Sectionally Dependent Panels" Journal of Applied Econometrics 38 (6), 898-919. (Working Paper Version. Online Appendix here)
Fosten, J., Greenaway-McGrevy, R., 2022. "Panel Data Nowcasting" Econometric Reviews 41 (7), 675-696 (Working Paper Version. Online Appendix here)
Fosten, J., Gutknecht, D., 2021. "Horizon Confidence Sets" Empirical Economics 61, 667-692 (Working Paper Version. Online Appendix here)
Previously circulated under the title "Model Confidence Sets for Nowcast Procedures"Fosten, J., Gutknecht, D., 2020. "Testing Nowcast Monotonicity with Estimated Factors" Journal of Business & Economic Statistics 38 (1), 107-123. (Working Paper Version. Online Appendix here)
Fosten, J. 2019. "CO2 Emissions and Macroeconomic Activity: a Short-to-Medium Run Perspective" Energy Economics 83, 415-429. (Working Paper Version. Online Appendix here)
Cook, S., Fosten, J., 2019. "Replicating Rockets and Feathers" Energy Economics 82, 139-151 [Special Issue on Replication in Energy Economics]. (Working Paper Version)
Bragoli, D., Fosten, J., 2018. "Nowcasting Indian GDP" Oxford Bulletin of Economics and Statistics 80 (2), 259–282. (Working Paper Version)
Fosten, J., 2017. "Model Selection with Estimated Factors and Idiosyncratic Components" Journal of Applied Econometrics 32 (6), 1087–1106. (Working Paper Version. Online Appendix here)
Fosten, J., 2017. "Confidence Intervals in Regressions with Estimated Factors and Idiosyncratic Components" Economics Letters 157, 71-74. (Working Paper Version. Online Appendix here)
Fosten, J., 2017. "Revisiting Targeted Factors" Journal of Forecasting 36 (2), 207-216. (Working Paper Version)
Fosten, J., 2012. "Rising Household Diesel Consumption in the United States: a Cause for Concern? Evidence on Asymmetric Pricing" Energy Economics 34 (5), 1514-1522.
Fosten, J., Morley, B., Taylor, T., 2012. "Dynamic misspecification in the environmental Kuznets curve: Evidence from CO2 and SO2 emissions in the United Kingdom" Ecological Economics 76, 25-33.
Fosten, J., Ghoshray, A., 2011. "Dynamic Persistence in the Unemployment Rate of OECD Countries" Economic Modelling 28 (3), 948-954.