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Econometrics Beat wrote a new blog post titled Econometrics Reading List for November
Some suggestions........ Garcia, J. and D. E. Ramirez, 2017. The successive raising estimator and its relation with the ridge estimator. Communications in Statistics - Theory and Methods, 46, 11123-11142.Silva, I. R., 2017. On the correspondence between frequentist and Bayesian tests. Communications in Statistics - Theory and Methods, online.Steel, M. F. J., 2017. Model averaging and its use in economics. MPRA Paper No. 81568.Teräsvirta, T., 2017. Nonlinear models in macroeconometrics....
15 days ago
Econometrics Beat wrote a new blog post titled Another Shout-Out for The Replication Network
Replication in empirical economics is vitally important, and I'm delighted to be a member of The Replication Network. I've mentioned this group in previous blog posts - for instance, here and here. The list of members of TRN continues to grow - why not consider becoming a member your self? Here's the link that you need to do so.  The TRN website includes some excellent guest blog posts, the latest of which is about a new journal dedicated to the replication of economic research. The post...
29 days ago
Econometrics Beat wrote a new blog post titled November Reading
ftp://ftp.econ.au.dk/creates/rp/17/rp17_32.pdf http://www.tandfonline.com/doi/full/10.1080/03610926.2016.1260738 © 2017, David E. Giles
41 days ago
Econometrics Beat wrote a new blog post titled Recommended Reading for October
Andor, N. & C. Parmeter, 2017. Pseudolikelihood estimation of the stochastic frontier model. Ruhr Economic Papers #693.Chalak, K., 2017. Instrumental variables methods with heterogeneity and mismeasured instruments. Econometric Theory, 33, 69-104.Kim, J. H. & I. Choi, 2017. Unit roots in economic and financial time series: A re-evaluation at the decision-based significance levels. Econometrics, 56 (3), 41.Owen, A. B., 2017. Statistically efficient thinning of a Markov chain sampler....
47 days ago
Econometrics Beat wrote a new blog post titled How Good is That Random Number Generator?
Recently, I saw a reference to an interesting piece from 2013 by Peter Grogono, a computer scientist now retired from Concordia University. It's to do with checking the "quality" of a (pseudo-) random number generator. Specifically, Peter discusses what he calls "The Pickover Test". This refers to the following suggestion that he attributes to Clifford Pickover (1995, Chap. 31):"Pickover describes a simple but quite effective technique for testing RNGs visually. The idea is to generate random...
53 days ago
Econometrics Beat wrote a new blog post titled Misclassification in Binary Choice Models
Several years ago I wrote a number of posts about Logit and Probit models, and the Linear Probability Model LPM). One of those posts (also, see here) dealt with the problems that arise if you mis-classify the dependent variable in such models.  That is, in the binary case, if some of your "zeroes" should be "ones", and/or vice versa. In a conventional linear regression model, measurement errors in the dependent variable are not a biog deal. However, the situation is quite...
59 days ago
Econometrics Beat wrote a new blog post titled Monte Carlo Simulations & the "SimDesign" Package in R
Past posts on this blog have included several relating to Monte Carlo simulation - e.g., see here, here, and here. Recently I came across a great article by Matthew Sigal and Philip Chalmers in the Journal of Statistics Education. It's titled, "Play it Again: Teaching Statistics With Monte Carlo Simulation", and the full reference appears below. The authors provide a really nice introduction to basic Monte Carlo simulation, using R. In particular, they contrast using a "for loop" approach,...
61 days ago
Econometrics Beat wrote a new blog post titled Econometrics Reading List for September
A little belatedly, here is my September reading list: Benjamin, D. J. et al., 2017. Redefine statistical significance. Pre-print.Jiang, B., G. Athanasopoulos, R. J. Hyndman, A. Panagiotelis, and F. Vahid, 2017. Macroeconomic forecasting for Australia using a large number of predictors. Working Paper 2/17, Department of Econometrics and Business Statistics, Monash University.Knaeble, D. and S. Dutter, 2017. Reversals of least-square estimates and model-invariant estimations for directions of...
71 days ago
Econometrics Beat wrote a new blog post titled My August Reading List
Here are some suggestions for you:Calzolari, G., 2017. Econometrics exams and round numbers: Use or misuse of indirect estimation methods? Communications in Statistics - Simulation and Computation, in press.Chakraborti, S., F. Jardim, & E. Epprecht, 2017. Higher order moments using the survival function: The alternative expectation formula. American Statistician, in press.Clarke, J. A., 2017. Model averaging OLS and 2SLS: An application of the WALS procedure. Econometrics Working Paper...
112 days ago
Econometrics Beat wrote a new blog post titled The Bandwidth for the KPSS Test
Recently, I received an email from a follower of this blog, who asked: "May I know what is the difference between the bandwidth of Newey-West and Andrews for the KPSS test. It is because when I test the variable with Newey-West, it is I(2), but then I switch the bandwidth to Andrews, it becomes I(1)."First of all, it's worth noting that the unit root and stationarity tests that we commonly use can be very sensitive to the way in which they're constructed and applied. An obvious example arises...
131 days ago
Econometrics Beat wrote a new blog post titled Canada Day Reading List
I was tempted to offer you a list of 150 items, but I thought better of it! Hamilton, J. D., 2017. Why you should never use the Hodrick-Prescott filter. Mimeo., Department of Economics, UC San Diego.Jin, H. and S. Zhang, 2017. Spurious regression between long memory series due to mis-specified structural breaks. Communications in Statistics - Simulation and Computation, in press.Kiviet, J. F., 2016. Testing the impossible: Identifying exclusion restrictions.Discussion Paper 2016/03, Amsterdam...
142 days ago
Econometrics Beat wrote a new blog post titled Recent Developments in Cointegration
Recently, I posted about a special issue of the journal, Econometrics, devoted to "Unit Roots and Structural Breaks". Another recent special issue of that journal will be of equal interest to readers of this blog. Katerina Juselius has guest- edited an issue titles, "Recent Developments in Cointegration". The papers published so far in this issue are, of course, open-access. Check them out! © 2017, David E. Giles
147 days ago
Econometrics Beat wrote a new blog post titled Instrumental Variables & the Frisch-Waugh-Lovell Theorem
The so-called Frisch-Waugh-Lovell (FWL) Theorem is a standard result that we meet in pretty much any introductory grad. course in econometrics. The theorem is so-named because (i) in the very fist volume of Econometrica Frisch and Waugh (1933) established it in the particular context of "de-trending" time-series data; and (ii) Lovell (1963) demonstrated that the same result establishes the equivalence of "seasonally adjusting" time-series data (in a particular way), and including seasonal...
148 days ago
Econometrics Beat wrote a new blog post titled Unit Roots & Structural Breaks
The open-access journal, Econometrics (of which I'm happy to be an Editorial Board member), has recently published a special issue on the topic of "Unit Roots and Structural Breaks".  This issue is guest-edited by Pierre Perron, and it includes eight really terrific papers. You can find the special issue here. © 2017, David E. Giles
150 days ago
Econometrics Beat wrote a new blog post titled Marc Bellemare on "How to Publish in Academic Journals"
If you don't follow Marc Bellemare's blog, you should do. And if you read only one other blog post this week, it should be this one from Marc, titled, "How to Publish in Academic Journals". Read his slides that are linked in the post. Great advice that is totally applicable to anyone doing research in econometrics - theory or applied. © 2017, David E. Giles
166 days ago
Econometrics Beat wrote a new blog post titled June Reading List
Here are some suggestions for you:Ai, C. and E. C. Norton, 2003. Interaction terms in logit and probit models. Economics Letters, 80, 123-129.Hirschberg, J. and J. Lye, 2017. Inverting the indirect - the ellipse and the Boomerang: Visualizing the confidence intervals of the structural coefficient from two-stage least squares. Journal of Econometrics, in press.Kim, I. and S. Park, 2017. Likelihood ratio tests for multivariate normality. Communications in Statistics - Theory and Methods, in...
170 days ago
Econometrics Beat wrote a new blog post titled Staying on Top of the Literature
Recently, 'Michael' placed the following comment on one of my posts: "Thanks for sharing this interesting list of articles! I'm wondering, how do you go about finding these types of articles to read? Are you a subscriber to these publications/do you regularly check for new updates online? I'd like to start keeping more up to date with academic articles, but I'm not sure where to start." Well, that's a good question, Michael. And I'm sure that there are many undergraduate students and...
181 days ago
Econometrics Beat wrote a new blog post titled The EViews Blog on ARDL - Part 3
As I mentioned in this recent post, the EViews team had a third blog post on ARDL modelling up their sleeves. The said post appeared a few days ago, here. It's a real gem! The flow-chart and the detailed application are fabulous - I wish I could have come up with this myself. Read it, read it................ © 2017, David E. Giles
185 days ago
Econometrics Beat wrote a new blog post titled When Everything Old is New Again
Some ideas are so good that they keep re-appearing again and again. In other words, they stand the test of time, and prove to be useful in lots of different contexts – sometimes in situations that we couldn’t have imagined when the idea first came to light. This certainly happens in econometrics, and here are just a few examples that come to mind. Principal Components Principal components analysis (PCA) was proposed by Pearson (1901), and then developed independently by Hotelling in various...
185 days ago
Econometrics Beat wrote a new blog post titled Bounds Testing & ARDL Models - More From the EViews Team
The team at EViews has just released another post about ARDL modelling on their blog. This one is titled, "AutoRegressive Distributed Lag (ARDL) Estimation. Part 2 - Inference". This post is a follow-up to one that they wrote last month, and which I commented on here. Given by the number of comments and requests that I get about this topic, these two posts from EViews are "must read" items for a lot of you. And the great news is that there's a third post on the way, and this one will focus on...
195 days ago