Blog Archives

My August Reading List

July 31, 2017
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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...

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The Bandwidth for the KPSS Test

July 12, 2017
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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 s...

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Canada Day Reading List

July 1, 2017
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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 betwee...

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Recent Developments in Cointegration

June 26, 2017
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Recent Developments in Cointegration

Recently, I posted about a special issue of the journal, Econometrics, devoted to "Unit Roots and Structural Breaks".Another recent special issue of that journal will be of equal interest to readers of this blog. Katerina Juselius has guest- edited an ...

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Instrumental Variables & the Frisch-Waugh-Lovell Theorem

June 25, 2017
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Instrumental Variables & the Frisch-Waugh-Lovell Theorem

The so-called Frisch-Waugh-Lovell (FWL) Theorem is a standard result that we meet in pretty much any introductory grad. course in econometrics.The theorem is so-named because (i) in the very fist volume of Econometrica Frisch and Waugh (1933) establish...

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Unit Roots & Structural Breaks

June 23, 2017
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Unit Roots & Structural Breaks

The open-access journal, Econometrics (of which I'm happy to be an Editorial Board member), has recently published a special issue on the topic of "Unit Roots and Structural Breaks". This issue is guest-edited by Pierre Perron, and it include...

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Marc Bellemare on "How to Publish in Academic Journals"

June 7, 2017
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Marc Bellemare on "How to Publish in Academic Journals"

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 i...

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June Reading List

June 3, 2017
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June Reading List

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 confi...

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Staying on Top of the Literature

May 23, 2017
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Staying on Top of the Literature

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 reg...

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The EViews Blog on ARDL – Part 3

May 20, 2017
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The EViews Blog on ARDL  – Part 3

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 co...

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