Econometrics Beat: Dave Giles' Blog

When you're undertaking a piece of applied econometrics, something that's always on your mind is the need to test the specificatio...

[Note: For an important update of this post, relating to EViews 9 , see my 2015 post, here .] Well, I finally got it done! Some of thes...

A Fathers' Day "thank you" to our founding fathers.......... Following on from my earlier post  about vintage years for eco...

Autoregressive processes arise frequently in econometrics. For example, we might have a simple dynamic model of the form:            ...

One of the statistics journals that's always on my watch-list (and for whom I sometimes referee) is Computational Statistics and data A...

This is post is for you grad. students in econometrics. In most parts of the world you'll be working in an economics department, so ...

Here are some of the papers that I was reading last week: Arel-Bundock, V ., 2013. A solution to the weak instrument bias in 2SLS estimati...

To give it its full name,  The Ultimate Univariate Probability Distribution Explorer  is one of the (**free**) tools released recently by W...

This post comes at the request of Francesca, in a comment on an earlier post on Monte Carlo simulation. The request was for some examp...

There are some great econometrics papers out there, just waiting to be read. I need more hours in the day! Some of the papers I enjoyed...