Econometrics Beat: Dave Giles' Blog

One of the great figures of econometrics passed away yesterday.  Lawrence Klein was the father of whole-economy macroeconometric modelling...

Here's a little exercise for the students among you. Suppose that we want to fit a least squares regression model that allows for a...

The waiting is over - the 2013 Nobel in Economics was announced this morning! Most deservedly, it has been awarded to Eugene F. Fama (U. ...

The U.K.   Economics Network is supported by, and housed at, the University of Bristol. It provides a wealth of resources for those teachi...

Earlier this month I had a post drawing attention to a short video by David Hendry . Here's another one - this time titled, " Do B...

Xiao-Li Meng has an interesting piece in the September 2013 issue of the IMS Bulletin . ( IMS = Institute of Mathematical Statistics). Y...

In a recent post I discussed the fact that there is no linear minimum MSE estimator for the coefficients of a linear regression model. S...

Nice to see that we're now listed on the list of Economics blogs on Resources for Economists . Thanks! © 2013, David E. Giles

Here are my latest reading suggestions: Choi, I. , 2013. Panel Cointegration. Working Paper, Department of Economics, Sogang University, K...

You've probably gathered already that I like to incorporate material relating to the history of econometrics, and the history of statis...