Saturday, July 5, 2014

My July Reading List

Here we go again - no excuses - time to catch up on your reading:
  • Baillie, R. T., G. Kapetanios, and F. Papailias, 2014. Modified information criteria and selection of long memory time series models. Computational Statistics and Data Analysis, 76, 116-131. 
  • Pitarakis, J-Y., 2014. A joint test for structural stability and a unit root in autoregressions. Computational Statistics and Data Analysis, 76, 577-587.
  • Ghysels, E., J. B. Hill, and K. Motegi, 2013. Testing for Granger causality with mixed data frequency. DP9655, Centre for Economic Policy Research.  
  • Gresnigt, F., E. Kole, and P. H. Franses, 2014. Interpreting financial market crashes as earthquakes: A new early warning system for medium term crashes. Tinbergen Institute Discussion Paper TI 2014-067.  
  • Marsh, P., 2013. A review of non-parametric econometrics. Econometrics Journal, 16, B1-B3(3). 

© 2014, David E. Giles