Remember me

Register  |   Lost password?



Econometrics Beat's Blog

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 ( is inviting applications and nominations for the 2017 Young Researcher Award. The aim of the award is to encourage and motivate...

February Reading

February 3, 2017 Comments (0)

Here are some suggestions for your reading list this month: Aastveit, A., C. Foroni, and F. Ravazzolo, 2016. Density forecasts with midas models. Journal of Applied Econometrics, online.Chang, C-L. and M. McAleer, 2016.  The fiction of full BEKK. Tinbergen Institute Discussion Paper TI 2017-015/III.Chudik, A., G. Kapetanios, and M.H. Pesaran, 2016.  A one-covariate at a time, multiple testing approach to variable selection in high-dimensional linear regression models. Cambridge...

Hypothesis Testing Using (Non-) Overlapping Confidence Intervals

January 28, 2017 Comments (0)

Here's something (else!) that annoys the heck out of me. I've seen it come up time and again in economics seminars over the years. It usually goes something like this: There are two estimates of some parameter, based on two different models. Question from Audience: "I know that the two point estimates are numerically pretty similar, but is the difference statistically significant?" Speaker's Response: "Well, if you look at the two standard errors and mentally compute separate 95% confidence...

In Honour of Peter Schmidt

January 27, 2017 Comments (0)

The latest issue of Econometric Reviews (Vol 36, Nos. 1-3) is devoted to papers that have been assembled to honour Peter Schmidt, of Michigan State University. Peter's contributions to econometrics have been outstanding, and it's great to see his work celebrated in this way. In the abstract to their introduction to this collection Essie Maasoumi and Robin Sickles comment as follows:"Peter Schmidt has been one of its best-known and most respected econometricians in the profession for four...

Quantitative Macroeconomic Modeling with Structural Vector Autoregressions

January 18, 2017 Comments (0)

A terrific new book titled, Quantitative Macroeconomic Modeling with Structural Vector Autoregressions – An EViews Implementation, is now available for free downloading from the EViews site. The book is written by Sam Ouliaris, Adrian Pagan, and Jorge Restrepo. The "blurb" about this important new book reads:"Quantitative macroeconomic research is conducted in a number of ways. An important method has been the use of the technique known as Structural Vector Autoregressions (SVARs), which...

Royal Economic Society Webcasts on Econometrics

January 17, 2017 Comments (0)

The Royal Economic Society has recently released videos of interviews with three leading econometricans, recorded during the Society's 2016 Meeting. These are: Econometric Methods: An interview with Bruce HansenAn interview with Andrew ChesherUsing Big Data: An interview with Christian Hansen Webcasts of Special (Econometrics) Sessions at RES Meetings between 2011 and 2016 are also available for viewing - here.      © 2017, David E. Giles