Now that the Canada Day and Independence Day celebrations are behind (some of) us, it's time for some serious reading at the cottage. Here are some suggestions for you:Farmer, R. E. A., 2015. The stock market crash really did cause the great recession....
Here's some suggested reading for the coming month:Backhouse, R. and B. Cherrier, 2016. 'It's computerization, stupid!' The spread of computers and the changing roles of theoretical and applied economics.Castle, J. L., M. P. Clements, and D. F. H...
Here's my reading list for May:Hayakawa, K., 2016. Unit root tests for short panels with serially correlated errors. Communications in Statistics - Theory and Methods, in press.Hendry, D. F. and G. E. Mizon, 2016. Improving the teaching of econome...
Wishing all readers a very special holiday season!Agiakloglou, C., and C. Agiropoulos, 2016. The balance between size and power in testing for linear association for two stationary AR(1) processes. Applied Economics Letters, 23, 230-234.Allen, D., M. M...
Somewhat belatedly, here is some suggested reading for this month:Al-Sadoon, M. M., 2015. Testing subspace Granger causality. Barcelona GSE Working Paper Series, Working Paper nº 850.Droumaguet, M., A. Warne, & T. Wozniak, 2015. Granger causality ...
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...
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...
Arguably, Judea Pearl is the most influential "Causality Specialist" of our time. (My term, not his!)If you don't subscribe to his blog (Causal Analysis in Theory and Practice) and newsletter already, I'd suggest that you do so.Judea also has several v...
One decision that we often have to make when modelling with time-series data is whether to use "seasonally adjusted" data, or the original (unadjusted) data. In some cases the decision is effectively made for us - only the seasonally adjusted data are ...
