Research

Guillaume Chevillon

Publications

— Learning can generate Long Memory (doipdfsupplementcode and data)  
        with Sophocles Mavroeidis
        Journal of Econometrics, 198(1), pp. 1-9, 2017.
We study learning dynamics in a prototypical representative-agent forward-looking model in which agents’ beliefs are updated using linear learning algorithms. We show that learning in this model can generate long memory endogenously, without any persistence in the exogenous shocks, depending on the weights agents place on past observations when they update their beliefs, and on the magnitude of the feedback from expectations to the endogenous variable. This is distinctly different from the case of rational expectations, where the memory of the endogenous variable is determined exogenously.

 Robust Cointegration Testing in the Presence of Weak Trends, with an             
        Application to the Human Origin of Global Warming, (pdfdoi
        Econometric Reviews36(5), pp. 514-45, 2017.
This papers shows how valid inference on cointegration can obtain in the presence of unnoticed (nonlinear) trends. An application is provided to assessing the long run causal nature of radiative forcing of human origin for global temperatures.

Multistep Forecasting in the Presence of Location Shifts (pdfsupplement, doi)
        International Journal of Forecasting, 32(1), pp. 121-37, 2016.
In this paper, I consider how to improve forecasting techniques when the underlying data generating process is subject to stochastic shifts. I show how the improvement relates to the forecasting horizon.

 Inference in Models with Adaptive Learning, (pdf, doi
        with Sophocles Mavroeidis and Michael Massmann
        Journal of Monetary Economics, 57(3), pp. 341-51, 2010, (doi)
This article considers the issue of estimation and inference in models where agents' forward-looking expectations are formed via adaptive learning. We show that nonstandard dynamics result and invalidate standard techniques of inference. We provide valid methods and assess them by means of a three-equation new Keynesian macro model.

Physical Market Determinants of the Price of Crude Oil and the Market Premium
        with Christine Rifflart. (pdf, data, doi)
        Energy Economics, 31(4), pp. 527-49, 2009.
This papers evaluates the risk premium associated with the price of crude oil. The risk premium is defined as the difference between actual pricing and pricing based on historical demand and supply conditions

Multi-step Forecasting in Emerging Economies: an Investigation of 
the South African GDP. (pdf, doi) and unpublished supplement
        International Journal of Forecasting, 25(3), pp 602–28, 2009 .
This article considers techniques for forecasting in a multivariate framework when the forecast horizon of interest varies and the economy is subject to breaks or change. This is mostly an empirical paper that assess how best to forecast the GDP of South Africa. 

Direct Multi-Step Estimation and Forecasting, (earlier version in pdf, doi)
        Journal of Economic Surveys, 21(4), pp. 746-85, 2007. 
This paper reviews existing results and provides a framework for understanding the interplay between the forecast horizon and the forecasting techniques.

Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes
         (earlier version in pdf, doi) with David F. Hendry.
         International Journal of Forecasting, 21(2), pp 201-18, 2005. 
We consider the optimal methods for forecasting as a function of the horizon at which it is wished to obtain a forecast.

Comment

— Multi-step forecast error corrections: A comment on “Evaluating Predictive Densities             of U.S. Output Growth and Inflation in a Large Macroeconomic Data Set”, 
        International Journal of Forecasting. 30(3), pp. 683-7, 2014. (doipdf,code&data)
Here I comment on a paper by B. Rossi and T. Sekhposyan. I assess in particular the conditions under which their methods for evaluating predictive densities can be generalized to multi-step ahead forecasts.

Work in progress

Econometrics 

— Generating Univariate Fractional Integration within a Large VAR(1) (previously circulated as Long Memory through Marginalization of Large Systems and Hidden Cross-Section Dependence) with Alain Hecq, Maastricht, and Sébastien Laurent, Aix-Marseille & GREQAM (pdf) Revise & Resubmit to the Journal of Econometrics

Robust inference in structural VARs with long-run restrictions 
with Sophocles Mavroeidis (Oxford) and Zhaoguo Zhan (Kennesaw) (pdf, supplement, data)

Perpetual Learning and Apparent Long Memory, 
with Sophocles Mavroeidis (pdf, supplement) Revise & Resubmit to the Journal of Economic Dynamics and Control.

Forecasting

— Probabilistic Forecasting of Bubbles and Crashes (pdf, supplement)
with A. Banerjee (Durham University) and M. Kratz (Essec) Reject/Resubmit to Quantitative Economics.

— Robustness of Multistep Forecasts and Predictive Regressions at

Intermediate and Long Horizons (pdf)


Macroeconomics

Doubt Shocks (with Katharine Lauderdale and Sophocles Mavroeidis, Oxford)

Articles in French

— Stratégies de Vote en AG Face aux Résolutions Externes (pdf)
        with P. Charléty, Essec, and M. Messaoudi, Essec, 
        Revue Française de Gestion, 198-199 (2009), pp 277‑96 
— L’impact du taux de change sur le tourisme en France 
        with Xavier Timbeau (OFCE),
        Revue de l’OFCE 98 (2006), pp 167-182.
— Analyse économétrique et compréhension des erreurs de prévision 
        Revue de l’OFCE, 95 (2005), pp 327-56.

Empirical Macro Forecasts (at OFCE, 2003-6)

— Brouillard autour des puits de pétrole, 2004 (The determinants of oil prices)
        with Christine Rifflart (OFCE) Lettre de l’OFCE, No 253. 
— Les tribulations de la parité euro/dollar, 2004 (Recent developments in the euro/dollar 
        exchange rate) Lettre de l’OFCE No 252. 
— Perspectives 2003-2004, 2003-2004, 2004-2005, 2005-2006.  World Economic
        Outlooks (in charge of French Foreign Trade, Central & Eastern European countries
        (from 2006)) April 2003, October 2003, April 2004, October 2004, April 2005, 
        October 2005, April 2006; Revue de l’OFCE No 85, 87, 89, 91, 93, 95 & 97. 
— Pétrole : marée noire sur la Croissance, OFCE World Economic Outlook October
        2004, Revue de l’OFCE No 91. 
— Euro/Dollar: l’épreuve des faits, OFCE World Economic Outlook April 2004, 
        Revue de l’OFCE No 89.
— Combien nous coûte l’appréciation de l’euro ?
        OFCE World Economic Outlook April 2004, Revue de l’OFCE No 89.

Reports & Chapters

— The impact of the recent euro appreciation on tourism in France , with Xavier 
        Timbeau (OFCE). OFCE working paper No 2005-17. In: Artus, P & L Fontagné,
        Conseil d'Analyse Economique: Evolutions récentes du commerce extérieur
        Français. Paris (France): La Documentation Française, 2006, p. 99-108. 
— Les perspectives économiques 2005-2009 : les voies d'une croissance autonome et
        soutenue, with Eric Heyer and Matthieu Lemoine, Rapport pour le Sénat, n°70,
        novembre 2004. 
— Perspectives économiques 2004-2008 pour un bon équilibre entre croissance et
        assainissement structurel des finances publiques, with Valérie Chauvin and Eric
        Heyer, Rapport pour le Sénat, n°69, novembre 2003.