Blog Archives

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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Explaining the Almon Distributed Lag Model

January 6, 2017
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Explaining the Almon Distributed Lag Model

In an earlier post I discussed Shirley Almon's contribution to the estimation of Distributed Lag (DL) models, with her seminal paper in 1965.That post drew quite a number of email requests for more information about the Almon estimator, and how it fits...

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Reproducible Research in Statistics & Econometrics

January 5, 2017
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Reproducible Research in Statistics & Econometrics

The American Statistical Association has recently introduced reproducibility requirements for articles published in its flagship journal, The Journal of the American Statistical Association.The following is extracted from p.17 of the July 2016 issue of...

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New Year’s Reading

December 31, 2016
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New Year’s Reading

New Year's resolution - read more Econometrics!Bürgi, C., 2016. What do we lose when we average expectations? RPF Working Paper No. 2016-013, Department of Economics, George Washington University.Cox, D.R., 2016. Some pioneers of modern statistical th...

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Why Not Join The Replication Network?

December 30, 2016
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Why Not Join The Replication Network?

I've been a member of The Replication Network (TRN) for some time now, and I commend it to you.I received the End-of-the-Year Update for the TRN today, and I'm taking the liberty of reproducing it below in its entirety in the hope that you may con...

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