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Econometrics Beat's Blog

December Reading for Econometricians

December 2, 2018 Comments (0)

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...

More Long-Run Canadian Economic Data

November 27, 2018 Comments (0)

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...

A New Canadian Macroeconomic Database

November 22, 2018 Comments (0)

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...

More Sandwiches, Anyone?

November 14, 2018 Comments (0)

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...

Econometrics Reading for November

November 5, 2018 Comments (0)

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...

The Refereeing Process in Economics Journals

October 9, 2018 Comments (0)

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"...

A Shout-Out for The Replication Network

October 3, 2018 Comments (0)

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...

Essential Fall Reading

October 1, 2018 Comments (0)

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,...

Controlling My Heating Bill Using Bayesian Model Averaging

September 20, 2018 Comments (0)

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...

September Reading List

September 2, 2018 Comments (0)

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)...