Conference on Macro & Financial Economics/Econometrics

The 10th BMRC-DEMS Conference is being held at Brunel University, London (U.K.), at the end of May this year. Details can be found here.

The conference themes include a number of important topics:

• Recent developments in time-varying and nonlinear models
• Economic dynamics and smooth transition modeling
• Structural breaks in financial time series
• Dynamic structural financial and macroeconometric modeling
• Macro-financial modeling using mixed frequency data
• Monetary policy and risk taking
• Fiscal policy, financial development and growth
• Macro-finance interface
• Asset pricing models with time-varying moments
• Financial markets volatility and macroeconomic activity
• Financial crash, stock, bond and commodity prices
• Modeling dynamic correlations during financial crises
• Boom-bust cycles and the linkage between financial and real activity
• Early warning indicators of economic and financial instability

There's an impressive line-up of keynote speakers:

• R. Baillie (Michigan State University)
• V. CorradiI (University of Surrey)
• C. Francq (University of Lille 3)
• M. Hallin (ECARES, Brussels)
• A. Harvey (University of Cambridge)
• D. Hendry (University of Oxford)
• G. Melard (ECARES, Brussels)
• P. Minford (Cardiff University)
• R. Taylor (University of Essex)
• S. Wright (Birkbeck College, University of London)
• P. Zaffaroni (Imperial College, London)
• J.-M. Zakoian (CREST, Paris)

© 2014, David E. Giles

The February Reading List

As always - there's lots of interesting reading out there. Here are my suggestions for this month:

• Advani, A. and Tymon Słoczyński, 2013. Mostly harmless simulations? On the internal validity of empirical Monte Carlo studies.Discussion Paper No. 7874, IZA, Bonn.
• Flaig, G., 2012. Why we should use high values for the smoothing parameter of the Hodrick-Prescott filter.  CESifo Working Paper No. 3816, Department of Economics, University of Munich.
• Kiviet, J. F. and J. Niemzczyk, 2013.  On the limiting and empirical distribution of IV estimators when some of the instruments are actually endogenous. EGC Report No: 2013/11, Nanyang Techological University.
• Lütkepohl, H., A. Staszewska-Bystrova, and P. Winker, 2014. Confidence bands for impulse responses: Bonferroni versus Wald. (Updated.) SFB 649 Discussion Paper 2014-007.
• Lv, J. and J. S. Liu, 2013. Model selection principles in misspecified models. Journal of the Royal Statistical Society, B, 76, 141-167. 
• Skeels, C. L. and L. W. Taylor, 2013. Prediction after estimation. Economics Letters, 122, 420-422.
• Tserkezos, K., 2013. Temporal aggregation and Ramsey's (RESET) test for functional form: Results from empirical and Monte Carlo experiment. Mimeo., Department of Economics, University of Crete.

© 2014, David E. Giles

Econometrics at Monash University

My first academic position was in the (then) Department of Econometrics and Operations Research at Monash University ( in Melbourne, Australia). I was there for nine wonderful years from the mid 1970's to the mid 1980's.

Now re-named the Department of Econometrics and Business Statistics, the Monash group continues to rank among the very best in the world, as is evidenced by this recent score from IDEAS.

This makes me feel really good.

Great job!

© 2014, David E. Giles

Alexander Aitken

Alexander Aitken was one of New Zealand's greatest mathematicians - see my earlier post. As an econometrician, you may be very surprised how much you owe him!

Want to check out more about this amazing man? See www.nzedge.com/alexander-aitken/ .

© 2014, David E. Giles

Testing Up, or Testing Down?

Students are told that if you're going to go in for sequential testing, when determining the specification of a model, then the sequence that you follow should be "from the general to the specific". That is, you should start off with a "large" model, and then simplify it - not vice versa.

At least, I hope this is what they're told!

But are they told why they should "test down", rather than "test up"? Judging by some of the things I read and hear, I think the answer to the last question is "no"!

The "general-to-specific" modelling strategy is usually attributed to David Hendry, and an accessible overview of the associated literature is provided by Campos et al. (2005).

Let's take a look at just one aspect of this important topic. 

Rob Hyndman on Forecasting

If you have an interest in forecasting, especially economic forecasting, the Rob Hyndman's name will be familiar to you. Hailing from my old stamping ground - Monash University - Rob is one of the world's top forecasting experts. 

Without going into all of the details, Rob is very widely published, and also has a great blog, Hyndsight. He's author of the well-known  "forecast" package for R (version 5 just released); and the co-author of several important books.

Last year, Rob taught an on-line forecasting course, titled, "Time Series Forecasting Using R". It comprised 12 one-hour lectures, on the following topics (with exercises):

• Introduction to forecasting 
• The forecaster's toolbox 
• Autocorrelation and seasonality 
• White noise and time series decomposition 
• Exponential smoothing methods 
• ETS models 
• Transformations and adjustments 
• Stationarity and differencing 
• Non-seasonal ARIMA models 
• Seasonal ARIMA models 
• Dynamic regression 
• Advanced methods

The really good news? You can access these presentations right here!

© 2014, David E. Giles

An ARDL Add-in for EViews

My posts on ARDL models and bounds testing (here and here) have certainly been popular. So, I was really pleased to see that Yashar Tarverdi has produced an "Add-In" for the EViews package that makes this type of econometric analysis somewhat easier.

You can download the the add-in program and its installer here. The add-in is called "ARDLbound", and it largely automates the key steps associated with bounds testing using an ARDL model.

Jim Hamilton on R-Squared and Economic Prediction

I always tell my students that, when it comes to regression results, the value of the coefficient of determination (R²), is pretty much the last thing that I look at. And I'm serious! I've blogged about this before (see here, for example), but it's worth reiterating, and I was reminded of this when I saw Jim Hamilton's post on this topic today.

Read it, and enjoy!

© 2014, David E. Giles

Six Word Peer Review

A "Six Word Peer Review" competition has been running on Twitter (#sixwordpeereview).

Here are a few gems that might be a little too close to home for comfort:

• You didn't cite my paper: Reject!
• Taking my time. Love, your competitor.
• Bayes would turn in his grave.
• Sorry for the huge delay. Reject!
• Author made all required revisions. Reject!
• Your conclusions contradict your actual results.
• Has author considered another direction entirely?

Not among the tweets, but the punch-line to a report I was handling as a member of the editorial board for Journal of Econometrics some years ago:

                        "This dog should be put down".

It's true - I swear!

© 2014, David E. Giles

Thanks a Milllion!

So,.......... by reading this post you'll assist in pushing the total number of page-views for this blog, since its inception in 2011, above the 1 Million mark. Thanks for your interest, support, and questions.

It's been a blast!

© 2014, David E. Giles