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Econometrics Beat's Blog

In Praise of T.A.s

April 18, 2017 Comments (0)

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...

Jan Kiviet's Book on Monte Carlo Simulation

April 15, 2017 Comments (0)

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...

And the Winner is........

April 7, 2017 Comments (0)

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

ARDL Models - From the Team at EViews

April 3, 2017 Comments (0)

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...

Read Some Econometrics this Month!

April 2, 2017 Comments (0)

There are no April Fool's tricks in the following list of suggestions.

In Praise of Two Giants of Econometrics

March 26, 2017 Comments (0)

Two giants in our field, now deceased, are celebrated in recent Working Papers by Peter Phillips and Timo Teräsvirta. Peter's paper is titled, "Tribute to T. W. Anderson", is in an issue of Econometric Theory that also includes ted's last published research paper. Timo's paper, which will be appearing in The Journal of Pure and Applied Mathematics, "Sir Clive Granger's contributions to nonlinear time series and econometrics". Both papers are essential reading, whether you have a...

A "Journal of Insignificant (Economic) Results"?

March 25, 2017 Comments (0)

The Replication Network carried a guest blog post by Andrea Menclova this week. The post was titled, "Is it Time for a Journal of Insignificant Results?" I was previously unaware of the existence of such journals in Psychology, Biomedicine, and Ecology and Evolutionary Biology. Andrea calls for the introduction of such a journal in Economics, and she makes a really good point. Take a look at what she has to say! © 2017, David E. Giles

The Econometric Game, 2017

March 19, 2017 Comments (0)

This year's edition of The Econometric Game is scheduled to take place next month in Amsterdam. Specifically, between 5 and 7 April the University of Amsterdam will once again host visiting teams of econometrics students from around the world to compete to become "World Champions of Econometrics". It's a great initiative that's now in its eighth year. This year, the competing teams come from: Aarhus UniversityCorvinus University of BudapestENSAEErasmus University RotterdamHarvard UniversityKU...

March Reading List

March 8, 2017 Comments (0)

Here are some suggestions for your reading this month: Coble, D. & P. Picheira, 2017. Nowcasting building permits with Google trends. MPRA Paper No. 76514.Mullahy, J., 2017. Marginal effects in multivariate probit models. Empirical Economics, 52, 447-461.Pagan, A., 2017. Some consequences of using "measurement error shocks" when estimating time series models. CAMA Working Paper 12.2017, Cantre for Macroeconomic Analysis, Australian National University.Reed, W. R. & A. Smith,...

Econometrics - Young Researcher Award

February 4, 2017 Comments (0)

The journal, Econometrics, hasn't been around all that long, but it has published some great articles by some very prominent econometricians. And it's "open access" to readers, which is always good news. Today, I received an email with the following important information: "The journal Econometrics (http://www.mdpi.com/journal/econometrics) is inviting applications and nominations for the 2017 Young Researcher Award. The aim of the award is to encourage and motivate...