Some summertime reading:Chen, T., DeJuan, J., & R. Tian, 2018. Distributions of GDP across versions of the Penn World Tables: A functional data analysis approach. Economics Letters, in press. Clements, K.W., H. Liu, & Y. Tarverdi, 20...
Some summertime reading:Chen, T., DeJuan, J., & R. Tian, 2018. Distributions of GDP across versions of the Penn World Tables: A functional data analysis approach. Economics Letters, in press. Clements, K.W., H. Liu, & Y. Tarverdi, 20...
Suppose that we have (only) two non-stationary time-series, X1t and X2t (t = 1, 2, 3, .....). More specifically, suppose that both of these series are integrated of order one (i.e., I(1)). Then there are two possibilities - either X1 and X2 are co...
Suppose that we have (only) two non-stationary time-series, X1t and X2t (t = 1, 2, 3, .....). More specifically, suppose that both of these series are integrated of order one (i.e., I(1)). Then there are two possibilities - either X1 and X2 are co...
Here are some reading suggestions:Bruns, S. B., Z. Csereklyei, & D. I. Stern, 2018. A multicointegration model of global climate change. Discussion Paper No. 336, Center for European, Governance and Economic Development Research, University of Goet...
Here are some reading suggestions:Bruns, S. B., Z. Csereklyei, & D. I. Stern, 2018. A multicointegration model of global climate change. Discussion Paper No. 336, Center for European, Governance and Economic Development Research, University of Goet...
Another year, and lots of exciting reading!Davidson, R. & V. Zinde-Walsh, 2017. Advances in specification testing. Canadian Journal of Economics, online.Dias, G. F. & G. Kapetanios, 2018. Estimation and forecasting in vector autoregressive movi...
Another year, and lots of exciting reading!Davidson, R. & V. Zinde-Walsh, 2017. Advances in specification testing. Canadian Journal of Economics, online.Dias, G. F. & G. Kapetanios, 2018. Estimation and forecasting in vector autoregressive movi...
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...
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 ...
The team at EViews has just released another post about ARDL modelling on their blog. This one is titled, "AutoRegressive Distributed Lag (ARDL) Estimation. Part 2 - Inference". This post is a follow-up to one that they wrote last month, and which I co...
