Econometrics Beat: Dave Giles' Blog

When we're dealing with seasonal data - e.g ., quarterly data - we need to distinguish between "deterministic seasonality" a...

I received an email from Tymon Słoczyński (Warsaw School of Economics), about a recent paper of his, titled, "New Evidence on Linear...

Somewhat belatedly, here is some suggested reading for this month: Al-Sadoon, M. M ., 2015. Testing subspace Granger causality. Barcel...

Allan Gregory , at Queen's University (Canada) has just started a new blog that concentrates on economic forecasting. You can find it ...

I was delighted by yesterday's announcement that Angus Deaton has been awarded the Nobel Prize in Economic Science this ye...

My thanks to a colleague for bringing to my attention a recent discussion paper with the provocative title, " Why Most Published Resu...

Today, I had a query from a reader of this blog regarding cointegration and Granger causality.  Essentially, the email said: "I...

I've talked a bit about spurious regressions a bit in some earlier posts ( here and here ). I was updating an example for my time-ser...

Here's something that's very tempting, but it's not a good idea. Suppose that we want to estimate a regression model by OLS...

Some suggestions for the coming month: Franses, P. H. , 2016. A note on the mean absolute scaled error. International Journal of Foreca...