Econometrics Beat: Dave Giles' Blog

Here's some suggested reading for the coming month: Backhouse, R. and B. Cherrier, 2016 . 'It's  computerization, stupid!...

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...