Econometrics Beat: Dave Giles' Blog

In a comment on a post earlier today,   Stephen Gordon quite rightly questioned the use of GMM estimation with relatively small sample si...

In one of my grad. econometrics courses we cover Generalized Method of Moments (GMM) estimation. I thought that some readers might be intere...

Without intending to, I seem to have been on a bit of a rant about data quality and reliability recently! For example, see here , here , an...

There's plenty of empirical research going on in the Department of Economics at the University of Victoria, where I work. Readers of t...

An impulse response function gives the time-path for a variable explained in a VAR model, when one of the variables in the model is "s...

Yesterday I posted two pieces relating to the quality of economic data, in general terms , and with reference to China . I'm firmly...

Another teaching term is done, and the exams are all graded! HT to my colleague, Emma Hutchinson , for this timely item:

Another of our papers on bias reduction for Maximum Likelihood estimators has now been published. This one is titled, "On the Bias of ...

There have long been concerns about the reliability of published macroeconomic data for China. About 3 months ago, the U.S. - China Economi...

Yesterday, in a post on the Worthwhile Canadian Initiative , Frances Woolley rightly drew attention to some rather disturbing issues ass...