Some Recent, and Transparently Applicable, Results in Time-Series Econometrics

I think most of us would agree that when new techniques are introduced in econometrics, it's often a bit of a challenge to see exactly what would be involved in applying them. Someone comes up with a new estimator or test, and it's often a while before it gets incorporated into our favourite econometrics package, or until someone puts together an expository piece that illustrates, in simple terms, how to put the theory into practice.

In part, that's why applied econometrics "lags behind" econometric theory. Another reason is that a lot of practitioners aren't interested in reading the latest theoretical paper themselves.

Fair enough!

In any event, it's always refreshing when new inferential procedures are introduced into the literature in a way that exhibits a decent degree of "transparency" with respect to their actual application. For those of you who like you keep up with recent developments in time-series econometrics, here are some good examples of recent papers that (in my view) score well on the "transparency index":

• Fernandez-Macho, J., 2013. A test for the null of multiple cointegrating vectors. Discussion Paper Number 657, Department of Economics, University of Oxford.
• Harvey, D. I., S. J. Leybourne, and A. M. R. Taylor, 2013. Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics. Journal of Econometrics, in press.
• Hendry, D. F. and G. E. Mizon, 2011. Econometric modelling of time series with outlying observations. Journal of Time Series Econometrics, 3, 1941-1928.
• Karavias, Y. and E. Tzavalis, 2012. Generalized fixed-T panel unit root tests allowing for structural breaks.Granger Centre Discussion Paper No. 12/02, Granger Centre for Time Series Econometrics, University of Nottingham.
• Seong, B., S. K. Ahn, and P. A. Zadrozny, 2013. Estimation of vector error correction models with mixed-frequency data. Journal of Time Series Analysis, 34, 194-205.
• Westerlund, J., 2013. A computationally convenient unit root test with covariates, conditional heteroskedasticity and efficient detrending. Journal of Time Series Analysis, 34, 477-495.

© 2013, David E. Giles