Econometrics Beat: Dave Giles' Blog

Recently, a reader asked about generating forecasts from an estimated Error Correction Model (ECM). Really, the issues that arise are no...

The statistical and econometric literature on the properties of "preliminary-test" (or "pre-test") estimation strateg...

Occasionally readers ask about the exams that I set in my graduate econometrics courses. The elective graduate econometrics course tha...

I received an email from Michael Belongia , who said: "I wrote earlier in response to your post about Almon lags but forgot to incl...

Here's my reading list for May: Hayakawa, K. , 2016. Unit root tests for short panels with serially correlated errors.  Communicat...

Over the years I've posted a number of times about various aspects of using dummy variables in regression models. You can use the ...

Ryan Godwin and I have a new paper - "Improved Analytic Bias Correction for Maximum Likelihood Estimators". You can download it...

The results of the 2016 edition of The Econometric Game are now out: 1st. Place: Harvard University 2nd. Place: Warsaw School of Econom...

The Econometric Game is drawing to a close for 2016. With just hours to go the teams that are completing the final round of the competitio...

From the website of The Econometric Game Revealing of the Econometric Game Case. Today at the grand opening of the Econometric Game: ...