Now is a good time to catch up on some Econometrics reading. Here are my suggestions for this month:Carrasco, M. and R. Kotchoni, 2016. Efficient estimation using the characteristic function. Econometric Theory, in press.Chambers, M. J., 2016. The esti...
Some suggestions for the coming month:Franses, P. H., 2016. A note on the mean absolute scaled error. International Journal of Forecasting, 32, 20-22.Gorroochurn, P., 2015. On Galton's change from 'reversion' to 'regression'. American Statistician, in ...
From my "Recently Read" list:Born, B. and J. Breitung, 2014. Testing for serial correlation in fixed-effects panel data models. Econometric Reviews, in press.Enders, W. and Lee. J., 2011. A unit root test using a Fourier series to approximate smoo...
In North America, Labo(u)r Day weekend is upon us. The end of summer. Back to school. Last chance to get some pre-class reading done!Blackburn, M. L., 2014. The relative performance of Poisson and negative binomial regression estimators. Oxford Bulleti...
Here's a follow-up to my recent post about the Federal Reserve U.S. macroeconometric model being freely available in EViews formatRay Fair's well-known model for the U.S. economy is also now available in a form that's ready to play with in EViews....
Via both Mark Thoma and Gareth Thomas, I learned about a new initiative at the Federal Reserve Board. The details are available here.In summary:"The FRB/US model of the U.S. economy is one of several that Federal Reserve Board staff consults for f...
The recently released BMR package, short for Bayesian Macroeconometrics with R, provides a comprehensive set of powerful routines that estimate Bayesian Vector Autoregression (VAR) and Dynamic Stochastic General Equilibrium (DSGE) models in R. The procedure of estimating both Bayesian VAR and DSGE models can represent a great computational burden. However, BMR removes a lot of […]
