Saturday, January 31, 2015

Some Suggested Reading

  • Bahoc, F., H. Leeb, and B. M. Potscher, 2014. Valid confidence intervals for post-model-selection predictors. Working Paper, Department of Statistics, University of Vienna.
  • Baumeister, C. and J. D. Hamilton, 2014. Sign restrictions, structural vector autoregressions, and useful prior information. NBER Working Paper No. 20741.
  • Bjerkholt, O., 2015. Fellowship elections in the Econometric Society 1933-1948. Working Paper, Department of Economics, University of Oslo.
  • Deuchert, E. and M. Huber, 2014. A cautionary tale about control variables in IV estimation. Discussion Paper No. 2014-39, School of Economics and Political Science, University of St. Gallen.
  • Doornik, J. A. and D. F. Hendry, 2014. Statistical model selection with 'Big Data'. Discussion Paper 735, Department of Economics, University of Oxford.
  • Duendack, M., R. W. Palmer-Jones, and W. R. Reed, 2014. Replications in economics: A progress report. Working Paper No. 26/2014, Department of Economics and Finance, University of Canterbury.

© 2015, David E. Giles

1 comment:

  1. Thanks David.

    I would note that the paper by Deuchert and Huber draws attention to an important point, but while the empirical applications are informative the conceptual aspect is not novel. Outside of the structural literature, Angrist and Pischke (in 'Mostly Harmless Econometrics') note the problem of timing under the rubric of 'bad control' (see p.64-68) and Pearl ('Causality', 2000 and 2009) himself has a a number of discussions of IVs, including the question of temporal ordering. Finally, while less familiar with it, my impression is that many of these insights are implicit in Chalak and White's work on 'settable systems'. I have also pointed out some of the issues in the second part of a working paper directed more at the philosophy of causality/economics literature: