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...
The open-access journal, Econometrics (of which I'm happy to be an Editorial Board member), has recently published a special issue on the topic of "Unit Roots and Structural Breaks". This issue is guest-edited by Pierre Perron, and it include...
Here are some suggestions for your reading list this month:Aastveit, A., C. Foroni, and F. Ravazzolo, 2016. Density forecasts with midas models. Journal of Applied Econometrics, online.Chang, C-L. and M. McAleer, 2016. The fiction of full BEKK. T...
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...
Here are a few suggestions for some interesting reading this month:Esquivel, M.L., P.P. Mota, & J.T. Mexia, 2016. On some statistical models with a random number of observations. Journal of Statistical Theory and Practice, online.Gorrooc...
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...
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 ...
Abeln, B. and J. P. A. M. Jacobs, 2015. Seasonal adjustment with and without revisions: A comparison of X-13ARIMA-SEATS and CAMPLET. CAMA Working Paper 25/2015, Crawford School of Public Policy, Australian National University.Chan, J. C. C. and A. L. G...
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...
