Econometrics Beat: Dave Giles' Blog

My previous post on aggregating time series data over time dealt with some of the consequences for unit roots. The next logical thing to ...

We all know why it's common to "seasonally adjust" economic time series data that are recorded on a monthly, quarterly, etc ...

In my last post ( here ) I discussed "Add-ins" for the EViews econometrics package. In particular, I concentrated on an Add-in ...

I've sung the praises of Quandl before - e.g. , see here . What's not to like about millions of free time series data - especiall...

In North America, Labo(u)r Day weekend is upon us. The end of summer. Back to school. Last chance to get some pre-class reading done! ...

Thanks to Peter Phillips, the New Zealand Econometric Study Group has been going strong for a quarter of  a century. I last mentioned the ...

"Rockets and Feathers" is a term that is often used to describe the (apparent) asymmetric responses of downstream price changes ...

In two previous posts, I've talked a bit about the effect that aggregating time series data can have on some standard econometric r...

Qinlu (Louisa) Chen and I have recently completed a paper titled, "Risk Analysis for Three Precious Metals: An Application of Extreme...

The Bracken Bower Prize is a new initiative that's intended to motivate younger authors to identify and analyse future business trend...