Now is a good time to catch up on some Econometrics reading. Here are my suggestions for this month:
- Carrasco, M. and R. Kotchoni, 2016. Efficient estimation using the characteristic function. Econometric Theory, in press.
- Chambers, M. J., 2016. The estimation of continuous time models with mixed frequency data. Discussion Paper No. 777, Department of Economics, University of Essex.
- Cuaresma, J. C., M. Feldkircher, and F. Huber, 2016. Forecasting with global vector autoregressive models: A Bayesian approach. Journal of Applied Econometrics, in press.
- Hendry, D., 2016. Deciding between alternative approaches in macroeconomics. Discussion Paper No. 778, Department of Economics, University of Oxford.
- Reed, W. R., 2016. Univariate unit root tests perform poorly when data are cointegrated. Working Paper No. 1/2016, Department of Economics and Finance, University of Canterbury.
