Guillaume Chevillon
Work in progress
PublicationsProbabilistic Forecasting of Bubbles and Flash Crashes with Anurag Banerjee and Marie Kratz,
Robust inference in structural VARs with long-run restrictions, with Sophocles Mavroeidis and Zhaoguo Zhan, Econometric Theory, 36(1), pp. 86-121, 2020 Long-run restrictions are a very popular method for identifying structural vector autoregressions, but they suffer from weak identification when the data is very persistent, i.e., when the highest autoregressive roots are near unity. Near unit roots introduce additional nuisance parameters and make standard weak-instrument-robust methods of inference inapplicable. We develop a method of inference that is robust to both weak identification and strong persistence. Perpetual Learning and Apparent Long Memory, Journal of Economic Dynamics and Control 90, pp. 343-65, 2018.
Generating Univariate Fractional Integration within a Large VAR(1) Journal of Econometrics, 204(1), pp. 54-65, 2018.
Journal of Econometrics, 198(1), pp. 1-9, 2017.
Robust Cointegration Testing in the Presence of Weak Trends, with an Econometric Reviews, 36(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 (pdf, supplement, doi) International Journal of Forecasting, 32(1), pp. 121-37, 2016.
Multi-step forecast error corrections: A comment on “Evaluating Predictive Densities of U.S. Output Growth and Inflation in a Large Macroeconomic Data Set”,
with Sophocles Mavroeidis and Michael Massmann.
Journal of Monetary Economics, 57(3), pp. 341-51, 2010, (doi) 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.
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 (pdf, doi) and unpublished supplement International Journal of Forecasting, 25(3), pp 602–28, 2009 .
Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes with David F. Hendry (earlier version in pdf, doi) International Journal of Forecasting, 21(2), pp 201-18, 2005.
Discussions— Incentive-Driven Inattention, by W.P. Gaglianone, R. Giacomini, J.V. Issler & V. Skreta, Bank of Finland Workshop on Empirical Macroeconomics, March 8, 2019. — Short-Term Macroeconomic Forecasting and Turning-Point Detection after the Great Recession, by C. Doz, L. Ferrara & P.-A. Pionnier, 10th French Econometrics Conference, November 29, 2018 9th French Econometrics Conference, November 30, 2017 — Why are inflation forecasts sticky? by F. Bec, R. Boucekkine & C. Jardet — Information-driven business cycles, by R. Chahrour and R. Ulbricht Banque de France, September 29, 2017 Barcelona GSE Summer Forum, June 8, 2016 — Econométrie des Marchés des Matières Premières, by Joëts, Mignon & Razafindrabe 3e JEAM – Labex MME-DII 16 Septembre, 2015 — Disentangling Economic Recessions and Depressions, by B. Candelon, N. Metiu & S. Straetmans, Journée d’Econométrie Economix, Université Paris-Ouest Nanterre, December 11, 2013 — 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. — 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. 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 |