Friday, March 1, 2019

Some Recommended Econometrics Reading for March

This month I am suggesting some overview/survey papers relating to a variety of important topics in econometrics:
  • Bruns, S. B. & D. I. Stern, 2019. Lag length selection and p-hacking in Granger causality testing: prevalence and performance of meta-regression models. Empirical Economics, 56, 797-830.
  • Casini, A. & P. Perron, 2018. Structural breaks in time series. Forthcoming in Oxford Research Encyclopedia in Economics and Finance. 
  • Hendry, D. F. & K. Juselius, 1999. Explaining cointegration analysis: Pat I. Mimeo., Nuffield College, University of Oxford.
  • Hendry, D. F. & K. Juselius, 2000. Explaining cointegration analysis: Part II. Mimeo., Nuffield College, University of Oxford.
  • Horowitz, J., 2018. Bootstrap methods in econometrics. Cemmap Working Paper CWP53/18. 
  • Marmer, V., 2017. Econometrics with weak instruments: Consequences, detection, and solutions. Mimeo., Vancouver School of Economics, University of British Columbia.

© 2019, David E. Giles

3 comments:

  1. The link for the last paper is missing. I found it here: http://faculty.arts.ubc.ca/vmarmer/research/weak_iv.pdf

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    Replies
    1. Whoops! Thanks very much for pointing that out. It's now fixed.

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    2. The Hendry and Juselius papers are wonderfully informative. Thanks for sharing.

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