Econometrics Beat: Dave Giles' Blog

In today's issue of  The Daily , Statistics Canada has released a terrific  study   titled "The Role of Natural Resources in Real ...

A few days ago,   Andrew Barr had a great post on his  blog . It was titled, "R is not just for nerds....it has drop-down menus!"...

My Ph.D. dissertation was in Bayesian Econometrics. I started working on the dissertation early in 1973, and Arnold Zellner's classic t...

Last December I had a  post (and a subsequent correction ) relating to a method for constructing confidence bands for the Hodrick-Prescott...

In a recent post   I discussed some of my work relating to modelling extreme values in various economic data-sets. The work that my collea...

My previous posts ( here , here , and especially here ) on Granger causality testing have attracted more interest than I anticipated. On...

Handling the econometrics submissions to this journal shouldn't be too onerous a task! © 2012, David E. Giles

Modelling extreme events is a challenging business. By definition, you're dealing with observations that are way out there in the tail...

No matter what your favourite statistical package is, you'll find this post by Robert Muenchen highly informative. Robert concludes...

Simultaneous Equations Models (SEM's) played an absolutely central role in the history of Econometrics. Simultaneous systems and measur...