Wednesday, August 1, 2018

Recommended Reading

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.
© 2018, David E. Giles