Research

Research Interests

Primary: Econometrics, Forecasting, Nowcasting, Big Data, Factor Models, Forecast Evaluation, Quantile Regression, Functional Data

Secondary: Applied Econometrics in Macroeconomics, Finance, Energy and Environmental Economics

Work in Progress

Please contact me for abstracts on preliminary work

"Testing Forecast Accuracy With Penalised Regression Models" (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)

"Bias-Corrected Dynamic Difference-in-Differences" (with Ryan Greenaway-McGrevy)

Publications

Fosten, J, Nandi, S., 2024. "Nowcasting U.S. State-Level CO2 Emissions and Energy Consumption" [Forthcoming at International Journal of Forecasting] (Working Paper Version)

Fosten, J., Gutknecht, D., Pohle, M., 2024. "Testing Quantile Forecast Optimality" Journal of Business & Economic Statistics (Working Paper Version. Online Appendix here. R package here)

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.