Blog Archives

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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Vintage Years in Econometrics – The 1970′s

January 14, 2017
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Vintage Years in Econometrics – The 1970′s

Continuing on from my earlier posts about vintage years for econometrics in the 1930's, 1940's, 1950's, 1960's, here's my tasting guide for the 1970's.Once again, let me note that "in econometrics, what constitutes quality and importance is partly a ma...

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Trading Models and Distributed Lags

January 9, 2017
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Trading Models and Distributed Lags

Yesterday, I received an email from Robert Hillman.Robert wrote:"I’ve thoroughly enjoyed your recent posts and associated links on distributed lags. I’d like to throw in a slightly different perspective. To give you some brief background on my...

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When is a Dummy Variable Not a Dummy Variable?

January 8, 2017
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When is a Dummy Variable Not a Dummy Variable?

In econometrics we often use "dummy variables", to allow for changes in estimated coefficients when the data fall into one "regime" or another. An obvious example is when we use such variables to allow the different "seasons" in quarterly time-series d...

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Jagger’s Theorem

January 7, 2017
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Recently I watched (for the n'th time!) The Big Chill. If you're a fan of this movie, and its terrific sound-track, then this post will be even more meaningful to you.

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