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Econometrics Beat's Blog

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

When Everything Old is New Again

May 19, 2017 Comments (0)

Some ideas are so good that they keep re-appearing again and again. In other words, they stand the test of time, and prove to be useful in lots of different contexts – sometimes in situations that we couldn’t have imagined when the idea first came to light. This certainly happens in econometrics, and here are just a few examples that come to mind. Principal Components Principal components analysis (PCA) was proposed by Pearson (1901), and then developed independently by Hotelling in various...

Bounds Testing & ARDL Models - More From the EViews Team

May 9, 2017 Comments (0)

The team at EViews has just released another post about ARDL modelling on their blog. This one is titled, "AutoRegressive Distributed Lag (ARDL) Estimation. Part 2 - Inference". This post is a follow-up to one that they wrote last month, and which I commented on here. Given by the number of comments and requests that I get about this topic, these two posts from EViews are "must read" items for a lot of you. And the great news is that there's a third post on the way, and this one will focus on...

Here's What I've Been Reading

May 5, 2017 Comments (0)

Here are some of the papers that I've been reading recently. Some of them may appeal to you, too:Bampinas, G., K. Ladopoulos, &T. Panagiotidis, 2017.  A note on the estimated GARCH coefficients from the S&P1500 universe. WP 17-09, Rimini Centre for Economic Analysis.Heberle, J. & C. Sattarhoff, 2017. A fast algorithm for the computation of HAC covariance matrix estimators. Econometrics, 5(1), 9; doi:10.3390/econometrics5010009.Kristensen, D. & B. Salanié, 2017....

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