Econometrics Beat: Dave Giles' Blog

We all do it - we compute "robust" standard errors when estimating a regression model in any context where we suspect that the mo...

There are "classic" research papers in all disciplines. As econometricians we frequently find ourselves making reference to publi...

Warning! Avoid the so-called "Fixed-Effects Vector Decomposition" (FEVD) estimator, introduced by  Pl ü mper and Troeger in a 200...

Last week I had a post titled More About Spurious Regressions . Implicitly, in that post, I assumed that readers would be familiar with ...

I keep saying that I must make more use of the gretl econometrics package . It's great software, and it's free! So, shame on me fo...

Testing for unit roots in panel data is pretty standard stuff these days. Any decent econometrics package has everything set up to make lif...

Oh dear, here we go again. Hard on the heels of this post , as well an earlier one here , I'm moved to share even more misgivings about...

NOTE: This post was revised significantly on 15 February, 2019, as a result of correcting an error in my original EViews code. The code f...

Last week I finally caved in and joined Twitter! My intention is to use it in tandem with this blog, but we'll see how that works o...

Students of econometrics are familiar with the "spurious regression" problem that can arise with (non-stationary) time-series dat...