I have to confess that the number of items on my list of papers that I really must read (very soon) is rather large. My excuse is the same as everyone else's - too many papers, too little time. However, here's a small selection of of some of the papers that I've added to that list recently:
- Francis X, Diebold, "Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests"
- Z. Liao and P. C. B. Phillips, "Automated Estimation of Vector Error Correction Models"
- Alastair R. Hall, Denise R. Osborn, and Nikolaos D. Sakkas, "Inference on Structural Breaks Using Information Criteria"
- Michael W. McCracken, "Consistent Testing for Structural Change at the Ends of the Sample"
- Russell Davidson and James G. MacKinnon, "Bootstrap Confidence Sets With Weak Instruments"
- Pierre Perron and Gabriel Rodriguez, "Residual Test for Cointegration With GLS Detrended Data"
© 2012, David E. Giles