In Praise of Two Giants of Econometrics

Two giants in our field, now deceased, are celebrated in recent Working Papers by Peter Phillips and Timo Teräsvirta.

Peter's paper is titled, "Tribute to T. W. Anderson", is in an issue of Econometric Theory that also includes ted's last published research paper.

Timo's paper, which will be appearing in The Journal of Pure and Applied Mathematics, "Sir Clive Granger's contributions to nonlinear time series and econometrics".

Both papers are essential reading, whether you have a particular interest in the history of econometrics; of if you are a younger researcher who wants to understand the building blocks of our discipline.

© 2017, David E. Giles

A "Journal of Insignificant (Economic) Results"?

The Replication Network carried a guest blog post by Andrea Menclova this week. The post was titled, "Is it Time for a Journal of Insignificant Results?"

I was previously unaware of the existence of such journals in Psychology, Biomedicine, and Ecology and Evolutionary Biology.

Andrea calls for the introduction of such a journal in Economics, and she makes a really good point.

Take a look at what she has to say!

© 2017, David E. Giles

The Econometric Game, 2017

This year's edition of The Econometric Game is scheduled to take place next month in Amsterdam.

Specifically, between 5 and 7 April the University of Amsterdam will once again host visiting teams of econometrics students from around the world to compete to become "World Champions of Econometrics". It's a great initiative that's now in its 19th. year.

This year, the competing teams come from:

Aarhus University

Corvinus University of Budapest

ENSAE

Erasmus University Rotterdam

Harvard University

KU Leuven

London School of Economics

Lund University

Maastricht University

McGill University

New Economic School

Oxford University

Stellenbosch University

Tilburg University

Toulouse School of Economics

Universidad Carlos III de Madrid

Universidad del Rosario

University College London

University of Amsterdam

University of Antwerp

University of Copenhagen

University of Economics, Prague

University of Illinois at Urbana-Champaign

University of Lausanne

University of Rome Tor Vergata

University of São Paulo

University of Toronto

University of Warwick

Vrije Universiteit Amsterdam

Warsaw School of Economics

The team from Harvard took first place in 2016. Let's see if they do it again this year!

© 2017, David E. Giles

March Reading List

Here are some suggestions for your reading this month:

• Coble, D. & P. Picheira, 2017. Nowcasting building permits with Google trends. MPRA Paper No. 76514.
• Mullahy, J., 2017. Marginal effects in multivariate probit models. Empirical Economics, 52, 447-461.
• Pagan, A., 2017. Some consequences of using "measurement error shocks" when estimating time series models. CAMA Working Paper 12.2017, Cantre for Macroeconomic Analysis, Australian National University.
• Reed, W. R. & A. Smith, 2017. A time series paradox: Unit root tests perform poorly when data are cointegrated. Economics Letters, 151, 71-74.
• Zhang, L., 2017. Partial unit root and surplus-lag Granger causality testing: A Monte Carlo simulation study. Communications in Statistics - Theory and Methods, online.

© 2017, David E. Giles