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Econometrics Beat wrote a new blog post titled Econometrics Readng for the New Year
Another year, and lots of exciting reading! Davidson, R. & V. Zinde-Walsh, 2017. Advances in specification testing. Canadian Journal of Economics, online.Dias, G. F. & G. Kapetanios, 2018. Estimation and forecasting in vector autoregressive moving average models for rich datasets. Journal of Econometrics, 202, 75-91.  González-Estrada, E. & J. A. Villaseñor, 2017. An R package for testing goodness of fit: goft. Journal of Statistical Computation and Simulation,...
17 days ago
Econometrics Beat wrote a new blog post titled Interpolating Statistical Tables
We've all experienced it. You go to use a statistical table - Standard Normal, Student-t, F, Chi Square - and the line that you need simply isn't there in the table. That's to say the table simply isn't detailed enough for our purposes. One question that always comes up when students are first being introduced to such tables is: "Do I just interpolate linearly between the nearest entries on either side of the desired value?"Not that these exact words are used, typically. For instance,...
18 days ago
Econometrics Beat wrote a new blog post titled Reading for the Holidays
Here are some suggestions for your Holiday reading:Athey, S. and G. Imbens, 2016. The state of econometrics - Causality and policy evaluation. Mimeo., Graduate School of Business, Stanford University.Cook, J. D., 2010. Testing a random number generator. Chapter 10, in T. Rily and A. Goucher (eds.), Beautiful Testing, O' Reilly Media, Sebastol, CA. Ivanov, V. and L. Kilian, 2005. A practitioner's guide to lag order selection for VAR impulse response analysis. Studies in Nonlinear...
36 days ago
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....
75 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...
90 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
102 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....
107 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...
113 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...
119 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,...
121 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...
132 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...
172 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...
191 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...
202 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
207 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...
208 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
210 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
226 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...
231 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...
242 days ago