Blog Archives

In Praise of Two Giants of Econometrics

March 26, 2017
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In Praise of Two Giants of Econometrics

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 res...

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A "Journal of Insignificant (Economic) Results"?

March 25, 2017
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A "Journal of Insignificant (Economic) Results"?

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 ...

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The Econometric Game, 2017

March 19, 2017
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The Econometric Game, 2017

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...

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March Reading List

March 8, 2017
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March Reading List

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, 5...

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Econometrics – Young Researcher Award

February 4, 2017
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Econometrics – Young Researcher Award

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 fol...

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February Reading

February 4, 2017
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February Reading

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. T...

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Hypothesis Testing Using (Non-) Overlapping Confidence Intervals

January 29, 2017
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Hypothesis Testing Using (Non-) Overlapping Confidence Intervals

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...

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In Honour of Peter Schmidt

January 27, 2017
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In Honour of Peter Schmidt

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 ...

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Quantitative Macroeconomic Modeling with Structural Vector Autoregressions

January 18, 2017
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Quantitative Macroeconomic Modeling with Structural Vector Autoregressions

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...

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Royal Economic Society Webcasts on Econometrics

January 17, 2017
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Royal Economic Society Webcasts on Econometrics

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 ChesherUsin...

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