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Econometrics Beat's Blog

My August Reading List

July 31, 2017 Comments (0)

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...

The Bandwidth for the KPSS Test

July 12, 2017 Comments (0)

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...

Canada Day Reading List

July 1, 2017 Comments (0)

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...

Recent Developments in Cointegration

June 26, 2017 Comments (0)

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

Instrumental Variables & the Frisch-Waugh-Lovell Theorem

June 25, 2017 Comments (0)

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...

Unit Roots & Structural Breaks

June 23, 2017 Comments (0)

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

Marc Bellemare on "How to Publish in Academic Journals"

June 7, 2017 Comments (0)

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

June Reading List

June 3, 2017 Comments (0)

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...

Staying on Top of the Literature

May 23, 2017 Comments (0)

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...

The EViews Blog on ARDL - Part 3

May 19, 2017 Comments (0)

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