Gray Calhoun's academic homepage

I'm Gray Calhoun, an Assistant Professor in the Economics Department at Iowa State. I work on Econometric theory, especially time series and applications to forecasting and forecast evaluation. I graduated with a PhD from UC San Diego in 2009, where I worked with Graham Elliott and Allan Timmermann.

This page has research and teaching links. Everything else is at my blog,, or at the Econometrics Free Library Project (a free textbook development project that you should contribute to).

Course pages

Working papers

  1. Improved stepdown methods for asymptotic control of generalized error rates with repo.
  2. An asymptotically normal out-of-sample test of equal predictive accuracy for nested models with repo
  3. Block bootstrap consistency under weak assumptions with repo.
  4. Out-of-sample comparisons of overfit models with repo

Other short documents


  1. Hypothesis testing in linear regression when k/n is large. Journal of Econometrics, 165(2), 2011: 163–174. Link, R package, and additional files