Dr. Jennifer Castle
Magdalen College, Oxford University
+1
'%3e%3cpath%20d='M22.1642%2019.0924C21.7317%2018.068%2021.1041%2017.1375%2020.3163%2016.3527C19.5309%2015.5656%2018.6006%2014.9381%2017.5766%2014.5048C17.5674%2014.5002%2017.5582%2014.4979%2017.5491%2014.4933C18.9774%2013.4616%2019.9059%2011.7811%2019.9059%209.88504C19.9059%206.74408%2017.3611%204.19922%2014.2201%204.19922C11.0792%204.19922%208.53429%206.74408%208.53429%209.88504C8.53429%2011.7811%209.46282%2013.4616%2010.8912%2014.4956C10.882%2014.5002%2010.8728%2014.5025%2010.8636%2014.5071C9.83652%2014.9404%208.91487%2015.5617%208.1239%2016.355C7.33685%2017.1404%206.70933%2018.0707%206.276%2019.0947C5.85031%2020.0972%205.62072%2021.172%205.59967%2022.2609C5.59905%2022.2853%205.60335%2022.3097%205.61229%2022.3325C5.62123%2022.3553%205.63465%2022.376%205.65174%2022.3935C5.66883%2022.4111%205.68926%2022.425%205.71182%2022.4345C5.73437%2022.444%205.7586%2022.4489%205.78308%2022.4489H7.15868C7.25956%2022.4489%207.3398%2022.3686%207.3421%2022.2701C7.38795%2020.5001%208.09868%2018.8425%209.35506%2017.5861C10.655%2016.2862%2012.3814%2015.5709%2014.2201%2015.5709C16.0588%2015.5709%2017.7852%2016.2862%2019.0852%2017.5861C20.3415%2018.8425%2021.0523%2020.5001%2021.0981%2022.2701C21.1004%2022.3709%2021.1807%2022.4489%2021.2815%2022.4489H22.6571C22.6816%2022.4489%2022.7058%2022.444%2022.7284%2022.4345C22.751%2022.425%2022.7714%2022.4111%2022.7885%2022.3935C22.8056%2022.376%2022.819%2022.3553%2022.8279%2022.3325C22.8369%2022.3097%2022.8412%2022.2853%2022.8406%2022.2609C22.8176%2021.165%2022.5907%2020.0989%2022.1642%2019.0924ZM14.2201%2013.8284C13.1678%2013.8284%2012.1773%2013.418%2011.4322%2012.6729C10.6871%2011.9278%2010.2767%2010.9374%2010.2767%209.88504C10.2767%208.83271%2010.6871%207.84227%2011.4322%207.09715C12.1773%206.35204%2013.1678%205.94165%2014.2201%205.94165C15.2724%205.94165%2016.2629%206.35204%2017.008%207.09715C17.7531%207.84227%2018.1635%208.83271%2018.1635%209.88504C18.1635%2010.9374%2017.7531%2011.9278%2017.008%2012.6729C16.2629%2013.418%2015.2724%2013.8284%2014.2201%2013.8284Z'%20fill='%238590A2'/%3e%3c/g%3e%3c/svg%3e)
Co-authors
Following
Followers
Research Focus & Metrics
Explore full metrics on Scilit
Academic Career Length
22Years (2005-Present)
(Calculated once Scilit publication data is synced: current year − year of first publication + 1)
Representative Publications
View All Publications
Journal Article
Jennifer CastleJDJurgen Doornik
Jurgen Doornik
David HendryFPFelix Pretis
Felix PretisTo capture location shifts in the context of model selection, we propose selecting significant step indicators from a saturating set added to the union of all of the candidate variables. The null retention frequency and approximate non-centrality of a selection test are derived using a ‘split-half’ analysis, the simplest specialization of a multiple-path block-search algorithm. Monte Carlo simulations, extended to sequential reduction, confirm the accuracy of nominal significance levels under the null and show retentions when location shifts occur, improving the non-null retention frequency compared to the corresponding impulse-indicator saturation (IIS)-based method and the lasso.
1 August 2012 in Journal of Econometrics
Journal Article
3 February 2011 in Journal of Time Series Econometrics
Journal Article
We outline a range of criteria for evaluating model selection approaches that have been used in the literature. Focusing on three key criteria, we evaluate automatically selecting the relevant variables in an econometric model from a large candidate set. General-to-specific selection is outlined for a regression model in orthogonal variables, where only one decision is required to select, irrespective of the number of regressors. Comparisons with an automated model selection algorithm, Autometrics (Doornik, 2009), show similar properties, but not restricted to orthogonal cases. Monte Carlo experiments examine the roles of post-selection bias corrections and diagnostic testing as well as evaluate selection in dynamic models by costs of search versus costs of inference.
1 January 2015 in International Journal of Forecasting
Journal Article
1 October 2010 in Journal of Econometrics
Journal Article
Jennifer CastleDHDavid F. Hendry
David F. Hendry
1 April 2022 in International Journal of Forecasting
Journal Article
We have been publishing real-time forecasts of confirmed cases and deaths from coronavirus disease 2019 (COVID-19) since mid-March 2020 (published at www.doornik.com/COVID-19). These forecasts are short-term statistical extrapolations of past and current data. They assume that the underlying trend is informative regarding short-term developments but without requiring other assumptions about how the severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) virus is spreading, or whether preventative policies are effective. Thus, they are complementary to the forecasts obtained from epidemiological models.
About Me
Dr Castle studied economics at Durham University, before moving to Nuffield College, Oxford University, where she obtained her PhD in Economics. She was awarded a three year British Academy Postdoctoral Research Fellowship at the Department of Economics and Nuffield College, prior to joining Magdalen College as an Economics Fellow in 2009. She is affiliated to the Institute for New Economic Thinking at the Oxford Martin School as a Senior Research Fellow in the Economic Modelling Programme. Her research interests lie in the fields of model selection, forecasting, time-series econometrics and applied macro-economics. I focus on econometric modelling and the use of general-to-specific methodology in modelling economic time series, modelling non-linear economic time series and macro-economic forecasting in theory and practice, with applications including inflation, unemployment and the output gap.