Here's a suggested reading list for February:Casey, G. and M. Klemp, 2016. Instrumental variables in the long run. MPRA Paper No. 68696.Coglianese, J., L. W. Davis, L. Kilian, and J. H. Stock, 2016. Anticipation, tax avoidance, and the price elasticity...
When we're dealing with seasonal data - e.g., quarterly data - we need to distinguish between "deterministic seasonality" and "stochastic seasonality". The first type of seasonality is what we try to remove when we "seasonally adjust" the series. It's ...
My thanks to a colleague for bringing to my attention a recent discussion paper with the provocative title, "Why Most Published Results on Unit Root and Cointegration are False". As you can imagine, I couldn't resist it!After a quick read (and a c...
Today, I had a query from a reader of this blog regarding cointegration and Granger causality. Essentially, the email said:"I tested two economic time-series and found them to be cointegrated. However, when I then tested for Granger causalit...
I've talked a bit about spurious regressions a bit in some earlier posts (here and here). I was updating an example for my time-series course the other day, and I thought that some readers might find it useful.Let's begin by reviewing what is usually m...
Now that the (Northern) summer is here, you should have plenty of time for reading. Here are some recommendations:Ahelegbey, D. F., 2015. The econometrics of networks: A review. Working Paper 13/WP/2015, Department of Economics, University of Venice.Ca...
Andrews, I. and T. B. Armstrong, 2015. Unbiased instrumental variables estimation under known first-stage sign. Cowles Foundation Discussion Paper No. 1984R, Yale University,Bajari, P., D. Nekipelov, S. P. Ryan, and M. Yang. 2015. Demand estimation wit...
Recently, I received an email from Ozan, who wrote:"I’ve a simple but not explicitly answered question within the text books on stationary series. I’m estimating a model with separate single equations (I don’t take into account the interactions a...
Good grief! It's March already. You might enjoy:Bajari, P., D. Nekipelov, S. P. Ryan, and M. Yang, 2015. Demand estimation with machine learning and model combination. NBER Working Paper No, 20955.Baur, D. G. and D. T. Tran, 2014. The long-run relation...
My previous posts relating to ARDL models (here and here) have drawn a lot of hits. So, it's great to see that EViews 9 (now in Beta release - see the details here) incorporates an ARDL modelling option, together with the associated "bounds testin...
