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Introduction to QuantLib Development - Intensive 3-day Training Course - September 10-12th, 2018 - Download Registration Form Here


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Econometrics Beat wrote a new blog post titled December Reading for Econometricians
My suggestions for papers to read during December: Askanazi, R., F. X. Diebold, F. Schorfheide, & M. Shin, 2018. On the comparison of interval forecasts. PIER Working Paper 18-013, Penn. Institute for Economic Research, University of Pennsylvania.Meintanis, S. G., J. Ngatchou-Wandji, & J. Allison, 2018. Testing for serial independence in vector autoregressive models, Statistical Papers, 59, 1379-1410.Milas, C., T. Panagiotidis, & T. Dergiades, 2018. Twitter versus traditional news...
51 days ago
Econometrics Beat wrote a new blog post titled More Long-Run Canadian Economic Data
I was delighted to hear recently from former grad. student, Ryan Macdonald, who has worked at Statistics Canada for some years now. Ryan has been kind enough to draw my attention to all sorts of interesting items from time to time (e.g., see my earlier posts, here and here). I always appreciate hearing from him. His latest email was prompted by my post, A New Canadian macroeconomic Database. Ryan wrote:"I saw your post on long run data and thought you might be interested in a couple of other...
55 days ago
Econometrics Beat wrote a new blog post titled A New Canadian Macroeconomic Database
Anyone who's undertaken empirical macroeconomic research relating to Canada will know that there are some serious data challenges that have to be surmounted. In particular, getting access to long-term, continuous, time series isn't as easy as you might expect. Statistics Canada has been criticized frequently over the years by researchers who find that crucial economic series are suddenly "discontinued", or are re-defined in ways that make it extremely difficult to splice the pieces together...
60 days ago
Econometrics Beat wrote a new blog post titled More Sandwiches, Anyone?
Consider this my Good Deed for the Day! A re-tweet from a colleague whom I follow on Twitter brought an important paper to my attention. I thought I'd share it more widely. The paper is titled, "Small-sample methods for cluster-robust variance estimation and hypothesis testing in fixed effect models", by James Pustejovski (@jepusto) and Beth Tipton (@stats-tipton). It appears in The Journal of Business and Economic Statistics.   You can tell right away, from...
69 days ago
Econometrics Beat wrote a new blog post titled Econometrics Reading for November
In between raking leaves and dealing with some early snow, I've put together this list of suggested reading for you:Beckert, W., 2018. A note on specification testing in some structural regression models. Mimeo., Department of Economics, Mathematics and Statistics, Birkbeck College, University of London.Clarke, D., 2018. A convenient omitted bias formula for treatment effect models. Economics Letters, in press.Liu, Y. & Y. Rho, 2018. On the choice of instruments in mixed frequency...
78 days ago
Econometrics Beat wrote a new blog post titled The Refereeing Process in Economics Journals
The peer-review process is an essential part of academic publishing. We use it in the hope of ensuring the honesty, novelty, importance, and timeliness of published research. The selection of (usually anonymous) referees by a representative of the journal to which a research paper has been submitted for consideration, and the preparation of the reports/reviews by those referees, are key steps in the overall process of the dissemination of research results. There are several different "models"...
104 days ago
Econometrics Beat wrote a new blog post titled A Shout-Out for The Replication Network
In May 2015 I posted about the newly-formed The Replication Network (TRN). Since then, their team has been extremely busy promoting and fostering their objectives to serve "...... as a channel of communication to (i) update scholars about the state of replications in economics, and (ii) establish a network for the sharing  of information and ideas." TRN's "..... goal is to encourage economists and their journals to publish replications." And they're doing a great job! As a...
111 days ago
Econometrics Beat wrote a new blog post titled Essential Fall Reading
Buono, D., G. Kapetanios, M. Marcellino, G. Mazzi, & F. Papailias, 2018. Big data econometrics - Now casting and early estimates. Working paper N. 82, Baffi Carefin Centre for Applied Research on International Markets, Banking, Finance, and Regulation, Bocconi University.Fair, R. C., 2018. Information content of DSGE forecasts. MimeoLewbel, A., 2018. The identification zoo - Meanings of Identification. Forthcoming, Journal of Economic Literature.Pretis, F., J. J. Reade, & G. Sucarrat,...
112 days ago
Econometrics Beat wrote a new blog post titled Controlling My Heating Bill Using Bayesian Model Averaging
Where we live, in rural Ontario, we're not connected to "natural gas". Our home furnace runs on propane, and a local supplier sends a tanker to refill our propane tanks on a regular basis during the colder months. Earlier this month we had to make a decision regarding our contract with the propane retailer. Should we opt for a delivery price that can vary, up or down, throughout the coming fall and winter; or should we "lock in" at a fixed delivery price for the period from October to May of...
123 days ago
Econometrics Beat wrote a new blog post titled September Reading List
This month's list of recommended reading includes an old piece by Milton Friedman that you may find interesting: Broman, K. W. & K. H. Woo, 2017. Data organization in spreadsheets. American Statistician, 72, 2-10.Friedman, M., 1937. The use of ranks to avoid the assumption of normality implicit in the analysis of variance. Journal of the American Statistical Association, 32, 675-701.Goetz, T. & A. Hecq, 2018. Granger causality testing in mixed-frequency VARs with (possibly)...
142 days ago
Econometrics Beat wrote a new blog post titled An Archival History of the Econometric Society
For those of you who have an interest in the history of Econometrics as a discipline - that's all of you, right (?) - there's a fascinating collection of material available at The Econometric Society: An Archival History. As the name suggests, this repository relates to the Econometric Society and the journal Econometrica. It contains all sorts of fascinating facts, correspondence, and the like. © 2018, David E. Giles
170 days ago
Econometrics Beat wrote a new blog post titled Recommended Reading
Here's my reading list for August: Ardia, D., K. Bluteau, & L. F. Hoogerheide, 2018. Methods for computing numerical standard errors: Review and application to value-at-risk estimation. Journal of Time Series Econometrics. Available online.Bauer, D. & A. Maynard, 2012. Persistence-robust surplus-lag Granger causality testing. Journal of Econometrics, 169. 293-300.David, H. A., 2009. A historical note on zero correlation and independence. American Statistician, 63, 185-186.Fisher, T. J....
174 days ago
Econometrics Beat wrote a new blog post titled Handbook of Quantile Regression
Quantile regression is a powerful and flexible technique that is widely used by econometricians and other applied statisticians. In modern terms we tend to date it back to the classic paper by Koenker and Bassett (1978). Recently, I reviewed the Handbook of Quantile Regression. This edited volume comprises a number of important, original, contributions to the quantile regression literature. The various chapters cover a wide range of topics that extend the basic quantile regression set-up. You...
191 days ago
Econometrics Beat wrote a new blog post titled What's in a Journal Name?
Back in 2011 I put together a very light-hearted working paper titled, What's in a (Journal) Name? Here's the associated link. That paper addressed the (obviously) important question: "Is there a a correlation between the ranking of an economics journal and the length of the journal's title?" I analyzed a sample of 159 academic economics journals. Although there was no significant association between journal quality and journal title length for the full sample of data, I did find that...
192 days ago
Econometrics Beat wrote a new blog post titled More on Regression Coefficient Interpretation
I get a lot of direct email requests from people wanting help/guidance/advice of various sorts about some aspect of econometrics or other. I like being able to help when I can, but these requests can lead to some pitfalls -  for both of us. More on that in a moment. Meantime, today I got a question from a Ph.D student, "J", which was essentially the following: " Suppose I have the following regression model              log(yi) = α + βXi + εi   ...
192 days ago
Econometrics Beat wrote a new blog post titled Interpreting Dummy Variable Coefficients After Non-Linear Transformations
Dummy variables - ones that take only the values zero and one - are commonly used as regressors in regression models. I've devoted several posts to discussing various aspects of such variables, notably here, but also here, here, and here. When the regression model in question is linear, in both the variables and the parameters, the interpretation of coefficient of such a dummy variable is simple. Suppose that the model takes the form:     yi = α + β Di + Σj γj Xji + εi ...
199 days ago
Econometrics Beat wrote a new blog post titled Some Reading Suggestions for July
Some summertime reading:Chen, T., DeJuan, J., & R. Tian, 2018. Distributions of GDP across versions of  the Penn World Tables: A functional data analysis approach. Economics Letters, in press. Clements, K.W., H. Liu, & Y. Tarverdi, 2018. Alcohol consumption, censorship and misjudgment. Applied Economics, onlineJin, H., S. Zhang, J. Zhang,& H. Hao, 2018. Modified tests for change points in variance in the possible presence of mean breaks. Journal of Statistical Computation...
201 days ago
Econometrics Beat wrote a new blog post titled Dummy Variables in a Semilogarithmic Regression: Exact Distributional Results
For better or worse, semilogarithmic regression models are used a lot in empirical economics.  It would be nice to think that this is because the researcher found that a logarithmic transformation of the model's dependent variable led to residuals that were more "normally" distributed than without the transformation. Unfortunately, however, it's often just "for convenience". With this transformation, the estimates of the regression coefficients have a simple interpretation, as explained...
201 days ago
Econometrics Beat wrote a new blog post titled The Series of Unsurprising Results in Economics (SURE)
Andrea Menclover of the University of Canterbury (New Zealand) has recently founded the SURE Journal, whose aims and scope are as follows: 'The Series of Unsurprising Results in Economics (SURE) is an e-journal of high-quality research with “unsurprising” findings. We publish scientifically important and carefully-executed studies with statistically insignificant or otherwise unsurprising results. Studies from all fields of Economics will be considered. SURE is an open-access journal and...
201 days ago
Econometrics Beat wrote a new blog post titled Shout-Out for Marc Bellemare
If you don't follow Marc Bellemare's blog (shame on you - you should!), then you may not have caught up with his recent posts relating to his series of lectures on "Advanced Econometrics - Causal Inference With Observational Data" at the University of Copenhagen in May of this year. Marc is keeping us all on tenterhooks by "releasing" the slides for these lectures progressively - smart move! So far, the first five of the eight lectures in the series are now available for downloading:Lecture 1:...
201 days ago