Dr Jennifer CastleBack to People

Subjects: Economics, Philosophy, Politics and Economics, Politics and Economics
Department: Economics
College appointment: Tutorial Fellow
Officer: Clerk to the College
Phone: 01865 276067


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 a James Martin Fellow at the Institute for New Economic Thinking at the Oxford Martin School, University of Oxford.


At the undergraduate level I teach macroeconomics, quantitative economics and econometrics. Tutorials tend to be held in groups of 2-3 students, with some classes for the whole year group. At the graduate level I teach a forecasting course on the Masters in Financial Economics, and I also teach econometrics summer schools focusing on the use of OxMetrics software in econometrics.

Research Interests

My 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.

Selected Publications


‘A Half-century Diversion of Monetary Policy? An Empirical Horserace to Identify the UK Variable most likely to deliver the Desired Nominal GDP Growth Rate’, (with Josh Ryan-Collins and Richard A Werner), 2016, Journal of International Financial Markets, Institutions & Money, 43, pp. 158-176.

‘An Overview of Forecasting Facing Breaks’, (with Michael P. Clements and David F. Hendry), 2016, Journal of Business Cycle Research, 12(1), pp. 3-23.

‘Detecting Location Shifts during Model Selection by Step-Indicator Saturation’, (with Jurgen A. Doornik, David F. Hendry and Felix Pretis), 2015, Econometrics, 3, pp. 240-264.

‘Forecasting and Nowcasting Macroeconomic Variables: A Methodological Overview, (with David F. Hendry and Oleg Kitov), 2015, Handbook on Rapid Estimates, Eurostat.

‘Robust Approaches to Forecasting’ (with Michael P. Clements and David F. Hendry), 2014, International Journal of Forecasting, 31(1), 99-112.

‘Model Selection in Under-specified Equations Facing Breaks’, (with David F. Hendry), 2014, Journal of Econometrics, 178(2), pp. 286-293.

‘Mis-specification Testing: Non-Invariance of Expectations Models of Inflation’. (with Jurgen A. Doornik, David F. Hendry and Ragnar Nymoen), 2014, Econometric Reviews, 33(5-6), pp. 553-574.

‘Forecasting by Factors, by Variables, by Both, or Neither?’ (with Michael P. Clements and David F. Hendry), 2013, Journal of Econometrics, 177(2), pp. 305-319.

‘Semi-automatic Non-linear Model Selection’, (with David F. Hendry), 2013. In N. Haldrup, M. Meitz and Saikkonen (eds.), Essays in Nonlinear Time Series Econometrics, Festschrift in Honour of Timo Teräsvirta, Oxford University Press, Chapter 7.

‘Using Model Selection Algorithms to Obtain Reliable Coefficient Estimates’, (with Xiaochuan Qin and W. Robert Reed), 2013, Journal of Economic Surveys, 27(2), pp. 269-296.

‘Model Selection in Equations with Many ‘Small’ Effects’, (with Jurgen A. Doornik and David F. Hendry) 2013, Oxford Bulletin of Economics and Statistics, 75(1), pp. 6-22.

‘Model Selection when there are Multiple Breaks’, (with Jurgen A. Doornik and David F. Hendry), 2012, Journal of Econometrics, 169(2), pp. 239-246.

‘A Tale of 3 Cities: Model Selection in Over-, Exact, and Underspecified Equations’, (with David F. Hendry), In Kaldor, M. and Vizard, P. (eds), Arguing About the World, The Work and Legacy ofMaghnad Desai, Bloomsbury Academic Press. Chapter 3, pp. 31-55.

‘On Not Evaluating Economic Models by Forecast Outcomes’, (with David F. Hendry), 2011, Istanbul University Journal of the School of Business Administration, 40(1), pp. 1-14.

‘Evaluating Automatic Model Selection’, (with Jurgen A. Doornik and David F. Hendry), 2011, Journal of Time Series Econometrics, 3(1), Article 8.

‘Automatic Selection for Non-linear Models’, (with David F. Hendry), 2012. In Wang, L., Garnier, H. and Jackman, T. (eds.), System Identification, Environmental Modelling and Control, Springer. Chapter 12, 229-250.

‘Forecasting Breaks and During Breaks’, (with Nicholas Fawcett and David F. Hendry), 2011. In Clements, P. and Hendry, D. F. (eds.), Oxford Handbook of Economic Forecasting, Oxford University Press, Chapter 11, pp. 315-354.

‘Forecasting with Equilibrium-correction Models during Structural Breaks’, (with Nicholas Fawcett and David F. Hendry), 2010, Journal of Econometrics. 158(1), pp. 25-36.

‘A Low-Dimension Portmanteau Test for Non-linearity’, (with David F. Hendry), 2010, Journal of Econometrics, 158(2), pp. 231-245.

‘Nowcasting from Disaggregates in the Face of Location Shifts’, (with David F. Hendry), 2010, Journal of Forecasting, 29, pp. 200-214.

‘Nowcasting is not just Contemporaneous Forecasting’, (with Nicholas Fawcett and David F. Hendry), 2009, National Institute Economic Review, 210(1), pp. 71-89.

‘The Long-Run Determinants of UK Wages, 1860-2004’, (with David F. Hendry), 2009, Journal of Macroeconomics, 31(1), pp. 5-28.