Econometrics Beat: Dave Giles' Blog

Recently, it was my distinct pleasure to review a first-class book by David Harville, titled  Linear Models and the Relevant Distributions...

There are so many things in statistics (and hence in econometrics) that are easily, and frequently, misinterpreted. Two really obvious exa...

Now that Groundhog Day is behind us, perhaps we can focus on catching up on our reading? Deboulets, L. D. D ., 2018. A review on var...

What is Machine Learning (ML), and how does it differ from Statistics (and hence, implicitly, from Econometrics)? Those are big questi...

One of my former grad. students, Mischa Fisher, is currently Chief Economist and Advisor to the Governor of the State of Illinois. In this...

Econometricians make extensive use of various forms of "The Bootstrap", thanks to Bradley (Brad) Efron's pioneering work. ...

With a new year upon us, it's time to keep up with new developments - Basu, D. , 2018. Can we determine the direction of omitted vari...

My suggestions for papers to read during December: Askanazi, R., F. X. Diebold, F. Schorfheide, & M. Shin , 2018. On the comparison...

I was delighted to hear recently from former grad. student, Ryan Macdonald , who has worked at Statistics Canada for some years now. Ryan...

Anyone who's undertaken empirical macroeconomic research relating to Canada will know that there are some serious data challenges that...