Remember me

Register  |   Lost password?


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

 

Econometrics Beat's Blog

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)...

An Archival History of the Econometric Society

August 5, 2018 Comments (0)

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

Recommended Reading

August 1, 2018 Comments (0)

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....

Handbook of Quantile Regression

July 15, 2018 Comments (0)

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...

What's in a Journal Name?

July 14, 2018 Comments (0)

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...