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Publication Name: Econometrics Beat

Brief description: Dave Giles is a Professor of Economics at the University of Victoria, Canada, where he specializes in Econometrics.

Publication URL: http://davegiles.blogspot.com/

RSS Feed: link

Owner Name: Professor David Giles

URL: http://web.uvic.ca/~dgiles

Joined: August 20th, 2011


Econometrics Beat wrote a new blog post titled My August Reading List

Here are some suggestions for you:Calzolari, G., 2017. Econometrics exams and round numbers: Use or misuse of indirect estimation methods? Communications in Statistics - Simulation and Computation, in press.Chakraborti, S., F. Jardim, & E. Epprecht, 2017. Higher order moments using the survival function: The alternative expectation formula. American Statistician, in press.Clarke, J. A., 2017. Model averaging OLS and 2SLS: An application of the WALS procedure. Econometrics Working Paper...
(19 days ago)

Econometrics Beat wrote a new blog post titled The Bandwidth for the KPSS Test

Recently, I received an email from a follower of this blog, who asked: "May I know what is the difference between the bandwidth of Newey-West and Andrews for the KPSS test. It is because when I test the variable with Newey-West, it is I(2), but then I switch the bandwidth to Andrews, it becomes I(1)."First of all, it's worth noting that the unit root and stationarity tests that we commonly use can be very sensitive to the way in which they're constructed and applied. An obvious example arises...
(38 days ago)

Econometrics Beat wrote a new blog post titled Canada Day Reading List

I was tempted to offer you a list of 150 items, but I thought better of it! Hamilton, J. D., 2017. Why you should never use the Hodrick-Prescott filter. Mimeo., Department of Economics, UC San Diego.Jin, H. and S. Zhang, 2017. Spurious regression between long memory series due to mis-specified structural breaks. Communications in Statistics - Simulation and Computation, in press.Kiviet, J. F., 2016. Testing the impossible: Identifying exclusion restrictions.Discussion Paper 2016/03, Amsterdam...
(49 days ago)