Reading for the Merry Month of May

While you're dancing around the Maypole (or whatever else it is that you get up to), my recommendations are:

• Claeskens, G., J. Magnus, A. Vasnev, and W. Wang, 2014. The forecast combination puzzle: A simple theoretical explanation. Tinbergen Institute Discussion Paper TI 2014 - 127/III. 
• de Jong, R. M. and M. Sakarya, 2013. The econometrics of the Hodrick-Prescott filter. Forthcoming in Review of Economics and Statistics.
• Honoré, B. E. and L. Hu, 2015. Poor (wo)man’s bootstrap. Working Paper 2015-01, Federal Reserve Bank of Chicago.
• King, M. L. and S. Sriananthakumar, 2015. Point optimal testing: A survey of the post 1987 literature. Working Paper 05/15, Department of Econometrics and Business Statistics, Monash University.
• Meintanis, S. G. and E. Tsionas, 2015. Approximately distribution-free diagnostic tests for regressions with survival data. Statistical Theory and Practice, 9, 479-488. 
• Piironen, J. and A. Vehtari, 2015. Comparison of Bayesian predictive methods for model selection. Mimeo.
• Yu, P., 2015. Consistency of the least squares estimator in threshold regression with endogeneity. Economics Letters, 131, 41-46.

© 2015, David E. Giles