Econometrics Beat: Dave Giles' Blog

This is the second in a sequence of three posts that deal with large-sample asymptotics - especially in the context of the linear regres...

Learning the basics about the (large sample) asymptotic behaviour of estimators and test statistics is always a challenge. Teaching this...

October already! Chauvel, C. and J. O'Quigley , 2014. Tests for comparing estimated survival functions. Biometrika , 101, 535-552.  ...

One of the most widely used tests in econometrics is the (augmented) Dickey-Fuller (DF) test. We use it in the context of time series ...

This post is essentially an extension of another recent post on this blog. I'll assume that you've read that post, where I discus...

You can only invert a matrix if that matrix is non-singular. Right? Actually, that's wrong. You see, there are various sorts of in...

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...