Here's my reading list for August:
- Ardia, D., K. Bluteau, & L. F. Hoogerheide, 2018. Methods for computing numerical standard errors: Review and application to value-at-risk estimation. Journal of Time Series Econometrics. Available online.
- Bauer, D. & A. Maynard, 2012. Persistence-robust surplus-lag Granger causality testing. Journal of Econometrics, 169. 293-300.
- David, H. A., 2009. A historical note on zero correlation and independence. American Statistician, 63, 185-186.
- Fisher, T. J. & M. W. Robbins, 2018. A cheap trick to improve the power of a conservative hypothesis tests. American Statistician. Available online.
- Granger, C. W. J., 2012. Useful conclusions from surprising results. Journal of Econometrics, 169, 142-146.
- Harville, D. A., 2014. The need for more emphasis on prediction: A 'nondenominational' model-based approach (with discussion). American Statistician, 68, 71-92.
The method presented in "A cheap trick to improve the power of a conservative hypothesis tests" should be used with caution in practice. It is not universal applicable. They used the "same" in their time series paper several years ago. If it was true, it should be a big result not a simple one. Until now, no one cited them...
ReplyDelete