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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,...
2 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...
12 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...
53 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...
72 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...
83 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
88 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...
89 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
91 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
107 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...
111 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...
122 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
125 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...
126 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...
136 days ago
Econometrics Beat wrote a new blog post titled Here's What I've Been Reading
Here are some of the papers that I've been reading recently. Some of them may appeal to you, too:Bampinas, G., K. Ladopoulos, &T. Panagiotidis, 2017.  A note on the estimated GARCH coefficients from the S&P1500 universe. WP 17-09, Rimini Centre for Economic Analysis.Heberle, J. & C. Sattarhoff, 2017. A fast algorithm for the computation of HAC covariance matrix estimators. Econometrics, 5(1), 9; doi:10.3390/econometrics5010009.Kristensen, D. & B. Salanié, 2017....
140 days ago
Econometrics Beat wrote a new blog post titled In Praise of T.A.s
With another teaching term completed, I'm reminded of how much we faculty members rely on our Teaching Assistants (T.A.s) This is especially true in the case of large undergraduate classes, where we'd be run off our feet without the invaluable input from these hard-working, often under-appreciated members of the teaching team. Over the years, I've been especially fortunate to have worked with some very dedicated and conscientious T.A.s. Sometimes, being allocated to one of my courses wasn't...
157 days ago
Econometrics Beat wrote a new blog post titled Jan Kiviet's Book on Monte Carlo Simulation
Monte Carlo simulation is an essential tool that econometricians use a great deal. For an introduction to some aspects of Monte Carlo simulation, see my earlier posts here, here, and here. There are some follow-up posts on this coming up soon. In the meantime, I was delighted to learn recently about an outstanding book on this topic by Jan Kiviet. The book is titled, Monte Carlo Simulation for Econometricians, and I strongly recommend it. Of course, Jan's work will be...
159 days ago
Econometrics Beat wrote a new blog post titled And the Winner is........
The Econometric Game for 2017 has concluded. For second successive year, the winning team comes from Harvard University. The "cases" that were used in the 2017 EG can be found here. Congratulations to the winners, and to all of the other participating teams! © 2017, David E. Giles
167 days ago
Econometrics Beat wrote a new blog post titled ARDL Models - From the Team at EViews
Today the team at EViews published an important post on their blog. It's titled, "Autoregressive Distributed Lag (ARDL) Estimation. Part 1 - Theory". If you have an interest in ARDL modelling - and I know that there are lots of you out there - then this is a must read post. And as you can tell from its title, there's also a follow-up post on the way. So, you should watch out for it. If  you plan on doing any ARDL modelling, you really can't go past EViews, so take a look. © 2017, David E....
171 days ago
Econometrics Beat wrote a new blog post titled Read Some Econometrics this Month!
There are no April Fool's tricks in the following list of suggestions.
173 days ago