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EconAcademics.org

Blog aggregator for economics research

Econometrics Beat: Dave Giles' Blog

This page list the blog posts that were indexed on EconAcademics.Org, along with the mentioned research items or authors linked to IDEAS. In all, these are 73 blog posts referring to 96 distinct items or authors.

The complete blog can be found here: Econometrics Beat: Dave Giles' Blog

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• Back to School Reading by Dave Giles, 2019-09-01 13:40:00
  • James G. MacKinnon, 2019. "How cluster-robust inference is changing applied econometrics," Working Paper 1413, Economics Department, Queen's University.
  • Franses, Ph.H.B.F., 2019. "Professional Forecasters and January," Econometric Institute Research Papers EI2019-25, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• Suggested Reading for June by Dave Giles, 2018-06-01 12:49:00
  • Shangwei Zhao & Aman Ullah & Xinyu Zhang, 2018. "A Class of Model Averaging Estimators," Working Paper series 18-11, Rimini Centre for Economic Analysis.
• Economic Goodness-of-Fit by Dave Giles, 2018-02-11 00:53:00
  • Cochrane, John H, 1989. "The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives," American Economic Review, American Economic Association, vol. 79(3), pages 319-337, June.
    
    • John H. Cochrane, 1988. "The Sensitivity of Tests of the Intertemporal Allocation of Consumption to Near-Rational Alternatives," NBER Working Papers 2730, National Bureau of Economic Research, Inc.
• Econometrics Reading List for November by Dave Giles, 2017-11-05 23:25:00
  • Zimmermann, Christian, 2015. "On the Need for a Replication Journal," Working Papers 2015-16, Federal Reserve Bank of St. Louis.
• Recommended Reading for October by Dave Giles, 2017-10-04 23:08:00
  • Andor, Mark & Parmeter, Christopher, 2017. "Pseudolikelihood estimation of the stochastic frontier model," Ruhr Economic Papers 693, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    
    • Mark Andor & Christopher Parmeter, 2017. "Pseudolikelihood estimation of the stochastic frontier model," Applied Economics, Taylor & Francis Journals, vol. 49(55), pages 5651-5661, November.
• Econometrics Reading List for September by Dave Giles, 2017-09-10 18:54:00
  • Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics.
• Canada Day Reading List by Dave Giles, 2017-07-01 20:13:00
  • Jan F. Kiviet, 2016. "Testing the impossible: identifying exclusion restrictions," UvA-Econometrics Working Papers 16-03, Universiteit van Amsterdam, Dept. of Econometrics.
• June Reading List by Dave Giles, 2017-06-03 19:16:00
  • Knotek, Edward S. & Zaman, Saeed, 2017. "Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting," Working Papers (Old Series) 1702, Federal Reserve Bank of Cleveland.
• Here's What I've Been Reading by Dave Giles, 2017-05-05 18:37:00
  • Georgios Bampinas & Konstantinos Ladopoulos & Theodore Panagiotidis, 2017. "A note on the estimated GARCH coefficients from the S&P1500 universe," Working Paper series 17-09, Rimini Centre for Economic Analysis.
    
    • Georgios Bampinas & Konstantinos Ladopoulos & Theodore Panagiotidis, 2018. "A note on the estimated GARCH coefficients from the S&P1500 universe," Applied Economics, Taylor & Francis Journals, vol. 50(34-35), pages 3647-3653, July.
    • Georgios Bampinas & Konstantinos Ladopoulos & Theodore Panagiotidis, 2017. "A note on the estimated GARCH coefficients from the S&P1500 universe," Discussion Paper Series 2017_04, Department of Economics, University of Macedonia, revised May 2017.
• New Year's Reading by Dave Giles, 2016-12-31 20:20:00
  • Phillip, Garry & Xu, Yongdeng, 2016. "Almost Unbiased Variance Estimation in Simultaneous Equation Models," Cardiff Economics Working Papers E2016/10, Cardiff University, Cardiff Business School, Economics Section.
• More on the History of Distributed Lag Models by Dave Giles, 2016-12-28 19:41:00
  • Michael T. Belongia & Peter N. Ireland, 2016. "A Classical View of the Business Cycle," Boston College Working Papers in Economics 921, Boston College Department of Economics.
    
    • Michael T. Belongia & Peter N. Ireland, 2019. "A Classical View of the Business Cycle," NBER Working Papers 26056, National Bureau of Economic Research, Inc.
• November Reading by Dave Giles, 2016-11-04 20:28:00
  • Zacharias Psaradakis & Marian Vavra, 2016. "Portmanteau Tests for Linearity of Stationary Time Series," Working and Discussion Papers WP 1/2016, Research Department, National Bank of Slovakia.
    
    • Zacharias Psaradakis & Marián Vávra, 2019. "Portmanteau tests for linearity of stationary time series," Econometric Reviews, Taylor & Francis Journals, vol. 38(2), pages 248-262, February.
    • Zacharias Psaradakis & Marián Vávra, 2015. "Portmanteau Tests for Linearity of Stationary Time Series," Birkbeck Working Papers in Economics and Finance 1514, Birkbeck, Department of Economics, Mathematics & Statistics.
  • Acharya, Avidit & Blackwell, Matthew & Sen, Maya, 2015. "Explaining Causal Findings without Bias: Detecting and Assessing Direct Effects," Working Paper Series 15-064, Harvard University, John F. Kennedy School of Government.
    
    • Acharya, Avidit & Blackwell, Matthew & Sen, Maya, 2016. "Explaining Causal Findings Without Bias: Detecting and Assessing Direct Effects," American Political Science Review, Cambridge University Press, vol. 110(03), pages 512-529, August.
• Some Suggested Reading for October by Dave Giles, 2016-10-02 23:53:00
  • Franses, Ph.H.B.F., 2016. "Yet another look at MIDAS regression," Econometric Institute Research Papers EI2016-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• MIDAS Regression is Now in EViews by Dave Giles, 2016-03-26 00:30:00
  • C. Emre Alper & Salih Fendoglu & Burak Saltoglu, 2009. "MIDAS Volatility Forecast Performance Under Market Stress: Evidence from Emerging and Developed Stock Markets," Working Papers 2009/04, Bogazici University, Department of Economics.
• End-of-Year Reading by Dave Giles, 2015-12-23 01:57:00
  • David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2015. "Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies," Tinbergen Institute Discussion Papers 15-125/III, Tinbergen Institute.
    
    • David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2016. "Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies," Risks, MDPI, Open Access Journal, vol. 4(1), pages 1-14, March.
    • Allen, D.E. & McAleer, M.J. & Peiris, S. & Singh, A.K., 2015. "Nonlinear time series and neural-network models of exchange rates between the US dollar and major currencies," Econometric Institute Research Papers EI2015-33, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
• April Reading by Dave Giles, 2015-04-02 01:53:00
  • YAE IN BAEK & Jin Seo Cho & PETER C.B. PHILLIPS, 2015. "Testing Linearity Using Power Transforms of Regressors," Working papers 2015rwp-79, Yonsei University, Yonsei Economics Research Institute.
    
    • Baek, Yae In & Cho, Jin Seo & Phillips, Peter C.B., 2015. "Testing linearity using power transforms of regressors," Journal of Econometrics, Elsevier, vol. 187(1), pages 376-384.
    • Yae In Baek & Jin Seo Cho & Peter C.B. Phillips, 2013. "Testing Linearity Using Power Transforms of Regressors," Cowles Foundation Discussion Papers 1917, Cowles Foundation for Research in Economics, Yale University.
• Extreme Value Modelling in Stata by Dave Giles, 2015-01-25 06:01:00
  • David Roodman, 2015. "EXTREME: Stata module to fit models used in univariate extreme value theory," Statistical Software Components S457953, Boston College Department of Economics, revised 18 Dec 2017.
• The Demise of A "Great Ratio" by Dave Giles, 2014-12-27 23:58:00
  • Cliff L. F. Attfield & Jonathan R. W. Temple, 2006. "Balanced growth and the great ratios: new evidence for the US and UK," Centre for Growth and Business Cycle Research Discussion Paper Series 75, Economics, The Univeristy of Manchester.
    
    • Attfield, Cliff & Temple, Jonathan R.W., 2010. "Balanced growth and the great ratios: New evidence for the US and UK," Journal of Macroeconomics, Elsevier, vol. 32(4), pages 937-956, December.
• Here's Your Reading List! by Dave Giles, 2014-12-02 00:12:00
  • Joseph P. Romano & Michael Wolf, 2014. "Resurrecting weighted least squares," ECON - Working Papers 172, Department of Economics - University of Zurich, revised Oct 2016.
    
    • Romano, Joseph P. & Wolf, Michael, 2017. "Resurrecting weighted least squares," Journal of Econometrics, Elsevier, vol. 197(1), pages 1-19.
  • Geraci, A. & Fabbri, D. & Monfardini, C., 2014. "Testing exogeneity of multinomial regressors in count data models: does two stage residual inclusion work?," Health, Econometrics and Data Group (HEDG) Working Papers 14/03, HEDG, c/o Department of Economics, University of York.
    
    • Geraci Andrea & Fabbri Daniele & Monfardini Chiara, 2018. "Testing Exogeneity of Multinomial Regressors in Count Data Models: Does Two-stage Residual Inclusion Work?," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-19, January.
    • A. Geraci & D. Fabbri & C. Monfardini, 2014. "Testing exogeneity of multinomial regressors in count data models: does two stage residual inclusion work?," Working Papers wp921, Dipartimento Scienze Economiche, Universita' di Bologna.
• The Rise of Bayesian Econometrics by Dave Giles, 2014-11-20 03:57:00
  • Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
• Unit Root Tests and Seasonally Adjusted Data by Dave Giles, 2014-09-13 01:03:00
  • Tomás del Barrio Castro & Paulo M.M. Rodrigues & A.M. Robert Taylor, 2013. "On the Behaviour of Phillips-Perron Tests in the Presence of Persistent Cycles," CEFAGE-UE Working Papers 2013_11, University of Evora, CEFAGE-UE (Portugal).
    
    • Tomás Del Barrio Castro & Paulo M. M. Rodrigues & A. M. Robert Taylor, 2015. "On the Behaviour of Phillips–Perron Tests in the Presence of Persistent Cycles," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(4), pages 495-511, August.
• More On the Limitations of the Jarque-Bera Test by Dave Giles, 2014-04-22 03:43:00
  • Panagiotis Mantalos, 2011. "Three different measures of sample skewness and kurtosis and their effects on the Jarque–Bera test for normality," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 2(1), pages 47-62.
• April Reading List by Dave Giles, 2014-04-01 20:43:00
  • Richard A. Ashley & Kwok Ping Tsang, 2014. "Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach," Econometrics, MDPI, Open Access Journal, vol. 2(1), pages 1-20, March.
    
    • Richard A. Ashley & Kwok Ping Tsang, 2013. "Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach," Working Papers e07-41, Virginia Polytechnic Institute and State University, Department of Economics.
• March Madness in the Reading Department by Dave Giles, 2014-03-02 06:55:00
  • Felicitas Nowak-Lehmann D. & Dierk Herzer & Sebastian Vollmer & Inmaculada Martínez-Zarzoso, 2006. "Problems in Applying Dynamic Panel Data Models: Theoretical and Empirical Findings," Ibero America Institute for Econ. Research (IAI) Discussion Papers 140, Ibero-America Institute for Economic Research.
• More on Student-t Regression Models by Dave Giles, 2013-12-23 00:04:00
  • repec:dgr:kubcen:199708 is not listed on IDEAS
• Some Weekend Reading by Dave Giles, 2013-11-01 22:41:00
  • Majid M. Al-Sadoon, 2013. "Geometric and long run aspects of Granger causality," Economics Working Papers 1356, Department of Economics and Business, Universitat Pompeu Fabra.
    
    • Al-Sadoon, Majid M., 2014. "Geometric and long run aspects of Granger causality," Journal of Econometrics, Elsevier, vol. 178(P3), pages 558-568.
    • Majid M. Al-Sadoon, 2013. "Geometric and Long Run Aspects of Granger Causality," Working Papers 682, Barcelona Graduate School of Economics.
  • Doko Tchatoka, Firmin, 2013. "On bootstrap validity for specification tests with weak instruments," Working Papers 16875, University of Tasmania, Tasmanian School of Business and Economics, revised 05 Aug 2013.
    
    • Firmin Doko Tchatoka, 2015. "On bootstrap validity for specification tests with weak instruments," Econometrics Journal, Royal Economic Society, vol. 18(1), pages 137-146, February.
    • Doko Tchatoka, Firmin, 2013. "On bootstrap validity for specification tests with weak instruments," MPRA Paper 47485, University Library of Munich, Germany.
    • Firmin Doko Tchatoka, 2014. "On Bootstrap Validity for Specification Tests with Weak Instruments," School of Economics Working Papers 2014-06, University of Adelaide, School of Economics.
• So Much Good Reading........ by Dave Giles, 2013-10-09 04:21:00
  • James G. MacKinnon & Russell Davidson, 2014. "Bootstrap Tests For Overidentification In Linear Regression Models," Working Paper 1318, Economics Department, Queen's University.
    
    • Russell Davidson & James G. MacKinnon, 2015. "Bootstrap Tests for Overidentification in Linear Regression Models," Econometrics, MDPI, Open Access Journal, vol. 3(4), pages 1-39, December.
    • Russell Davidson & James G. Mackinnon, 2015. "Bootstrap Tests for Overidentification in Linear Regression Models," Post-Print hal-01456100, HAL.
  • In Choi, 2013. "Panel Cointegration," Working Papers 1208, Research Institute for Market Economy, Sogang University.
• From My Reading List........... by Dave Giles, 2013-08-27 02:03:00
  • Søren Johansen & Bent Nielsen, 2013. "Outlier Detection in Regression Using an Iterated One-Step Approximation to the Huber-Skip Estimator," Econometrics, MDPI, Open Access Journal, vol. 1(1), pages 1-18, May.
• Summer Reading by Dave Giles, 2013-07-03 03:16:00
  • Rachida Ouysse, 2013. "Forecasting using a large number of predictors: Bayesian model averaging versus principal components regression," Discussion Papers 2013-04, School of Economics, The University of New South Wales.
• Can You Actually TEST for Multicollinearity? by Dave Giles, 2013-06-25 00:03:00
  • Emad Abd Elmessih Shehata, 2012. "FGTEST: Stata module to Compute Farrar-Glauber Multicollinearity Chi2, F, t Tests," Statistical Software Components S457417, Boston College Department of Economics.
• What Have You Been Reading? by Dave Giles, 2013-06-12 00:47:00
  • Chang, Chia-Lin & Franses, Philip Hans & McAleer, Michael, 2013. "Are Forecast Updates Progressive?," MPRA Paper 46387, University Library of Munich, Germany.
    
    • Chang, Chia-Lin & Franses, Philip Hans & McAleer, Michael, 2013. "Are forecast updates progressive?," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 9-18.
    • Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011. "Are Forecast Updates Progressive?," KIER Working Papers 762, Kyoto University, Institute of Economic Research.
    • Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2013. "Are Forecast Updates Progressive?," Tinbergen Institute Discussion Papers 13-049/III, Tinbergen Institute.
    • Chang, C-L. & Franses, Ph.H.B.F. & McAleer, M.J., 2010. "Are Forecast Updates Progressive?," Econometric Institute Research Papers EI 2010-24, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    • Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010. "Are Forecast Updates Progressive?," CIRJE F-Series CIRJE-F-736, CIRJE, Faculty of Economics, University of Tokyo.
    • Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011. "Are Forecast Updates Progressive?," Documentos de Trabajo del ICAE 2011-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    • Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2010. "Are Forecast Updates Progressive?," Working Papers in Economics 10/12, University of Canterbury, Department of Economics and Finance.
• Last Week's Reading by Dave Giles, 2013-06-04 00:35:00
  • Jean-Marie Dufour & Joachim Wilde, 2013. "Weak Identification in Probit Models with Endogenous Covariates," Working Papers 95, Institute of Empirical Economic Research, Osnabrueck University, revised 28 Feb 2013.
    
    • Jean-Marie Dufour & Joachim Wilde, 2018. "Weak identification in probit models with endogenous covariates," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 102(4), pages 611-631, October.
  • Fady Barsoum & Sandra Stankiewicz, 2013. "Forecasting GDP Growth Using Mixed-Frequency Models With Switching Regimes," Working Paper Series of the Department of Economics, University of Konstanz 2013-10, Department of Economics, University of Konstanz.
    
    • Barsoum, Fady & Stankiewicz, Sandra, 2015. "Forecasting GDP growth using mixed-frequency models with switching regimes," International Journal of Forecasting, Elsevier, vol. 31(1), pages 33-50.
• My Recent Reading by Dave Giles, 2013-05-07 04:10:00
  • Kazuhito Higa, 2013. "Estimating Upward Bias in the Japanese CPI Using Engel's Law," Global COE Hi-Stat Discussion Paper Series gd12-295, Institute of Economic Research, Hitotsubashi University.
• Burgernomics by Dave Giles, 2013-05-07 02:32:00
  • Landry, Anthony E., 2011. "Borders and Big Macs," Globalization Institute Working Papers 95, Federal Reserve Bank of Dallas.
    
    • Landry, Anthony, 2013. "Borders and Big Macs," Economics Letters, Elsevier, vol. 120(2), pages 318-322.
• Mark Thoma on "Replication" by Dave Giles, 2013-05-03 22:25:00
  • The Journal of International Trade & Economic Development, Taylor & Francis Journals.
• More on the Quality of Economic Data by Dave Giles, 2013-04-30 03:28:00
  • F. Thomas Juster & James P. Smith, 2004. "Improving the Quality of Economic Data: Lessons from the HRS and AHEAD," Labor and Demography 0402010, University Library of Munich, Germany.
• Star Wars by Dave Giles, 2013-04-18 01:49:00
  • Ryan Macdonald
  • Abel Brodeur & Mathias Lé & Marc Sangnier & Yanos Zylberberg, 2012. "Star wars: The empirics strike back," PSE Working Papers halshs-00710122, HAL.
    
    • Abel Brodeur & Mathias Lé & Marc Sangnier & Yanos Zylberberg, 2016. "Star Wars: The Empirics Strike Back," American Economic Journal: Applied Economics, American Economic Association, vol. 8(1), pages 1-32, January.
    • Abel Brodeur & Mathias Lé & Marc Sangnier & Yanos Zylberberg, 2015. "Star Wars: The Empirics Strike Back," Working Papers 1505E, University of Ottawa, Department of Economics.
    • Abel Brodeur & Mathias Lé & Marc Sangnier & Yanos Zylberberg, 2015. "Star Wars: The Empirics Strike Back," PSE Working Papers halshs-01158500, HAL.
    • Abel Brodeur & Mathias Lé & Marc Sangnier & Yanos Zylberberg, 2016. "Star Wars: The Empirics Strike Back," Post-Print hal-01447851, HAL.
    • Brodeur, Abel & Lé, Mathias & Sangnier, Marc & Zylberberg, Yanos, 2013. "Star Wars: The Empirics Strike Back," IZA Discussion Papers 7268, Institute of Labor Economics (IZA).
    • Abel Brodeur & Mathias Lé & Marc Sangnier & Yanos Zylberberg, 2015. "Star Wars: The Empirics Strike Back," AMSE Working Papers 1523, Aix-Marseille School of Economics, France, revised May 2015.
• This Week's Reading by Dave Giles, 2013-04-13 03:35:00
  • Tomasz Wozniak, 2012. "Testing Causality Between Two Vectors in Multivariate GARCH Models," Department of Economics - Working Papers Series 1139, The University of Melbourne.
    
    • Woźniak, Tomasz, 2015. "Testing causality between two vectors in multivariate GARCH models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 876-894.
    • Tomasz Wozniak, 2012. "Testing Causality Between Two Vectors in Multivariate GARCH Models," Economics Working Papers ECO2012/20, European University Institute.
• Papers I've Been Reading by Dave Giles, 2013-03-16 03:10:00
  • David Hendry & Felix Pretis, 2013. "Some Fallacies in Econometric Modelling of Climate Change," Economics Series Working Papers 643, University of Oxford, Department of Economics.
• Daylight Saving Time - A Natural Experiment by Dave Giles, 2013-03-10 21:51:00
  • Kellogg, Ryan & Wolff, Hendrik, 2007. "Does Extending Daylight Saving Time Save Energy? Evidence from an Australian Experiment," IZA Discussion Papers 2704, Institute of Labor Economics (IZA).
• ARDL Models - Part I by Dave Giles, 2013-03-07 01:54:00
  • repec:ems:eureir:1765001190 is not listed on IDEAS
• Measuring the Quality of an Estimator by Dave Giles, 2013-03-05 06:41:00
  • Jacob Schwartz & David E. Giles, 2011. "Biased-Reduced Maximum Likelihood Estimation for the Zero-Inflated Poisson Distribution," Econometrics Working Papers 1102, Department of Economics, University of Victoria.
• Non-linear Functions of Non-Stationary Data Can be Stationary by Dave Giles, 2013-02-27 03:17:00
  • Gourieroux, Christian & Josiak, Joann, 1999. "Nonlinear persistence and copersistence," CEPREMAP Working Papers (Couverture Orange) 9920, CEPREMAP.
    
    • Christian Gourieroux & Joanna Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 99-63, Center for Research in Economics and Statistics.
    • Christian Gourieroux & Joann Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 2000_1, York University, Department of Economics.
• N.Z. Econometrics Study Group by Dave Giles, 2013-02-06 09:09:00
  • David E. Giles & Hui Feng & Ryan T. Godwin, 2011. "Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution," Econometrics Working Papers 1105, Department of Economics, University of Victoria.
    
    • David E. Giles & Hui Feng, 2009. "Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution," Econometrics Working Papers 0902, Department of Economics, University of Victoria.
• Sums of Random Variables by Dave Giles, 2013-01-19 23:22:00
  • S. Sadooghi-Alvandi & A. Nematollahi & R. Habibi, 2009. "On the distribution of the sum of independent uniform random variables," Statistical Papers, Springer, vol. 50(1), pages 171-175, January.
• Eggnog With an Econometrics Flavour by Dave Giles, 2012-12-22 23:59:00
  • Giles, David E., 2005. "Testing for a Santa Claus effect in growth cycles," Economics Letters, Elsevier, vol. 87(3), pages 421-426, June.
• Some Recent Papers on Granger Causality by Dave Giles, 2012-12-03 00:30:00
  • Christophe Hurlin & Elena Dumitrescu, 2012. "Testing for Granger Non-causality in Heterogeneous Panels," Working Papers halshs-00224434, HAL.
    
    • Dumitrescu, Elena-Ivona & Hurlin, Christophe, 2012. "Testing for Granger non-causality in heterogeneous panels," Economic Modelling, Elsevier, vol. 29(4), pages 1450-1460.
    • Elena Ivona Dumitrescu & Christophe Hurlin, 2012. "Testing for Granger Non-causality in Heterogeneous Panels," Post-Print hal-01385899, HAL.
  • Li, Yushu, 2012. "Estimating Long Memory Causality Relationships by a Wavelet Method," Working Papers 2012:15, Lund University, Department of Economics.
  • Joachim Wilde, 2012. "Effects of simultaneity on testing Granger-causality – a cautionary note about statistical problems and economic misinterpretations," Working Papers 93, Institute of Empirical Economic Research, Osnabrueck University.
  • Tomasz Wozniak, 2012. "Granger-causal analysis of VARMA-GARCH models," Economics Working Papers ECO2012/19, European University Institute.
• What I Learned Last Week by Dave Giles, 2012-10-13 09:19:00
  • Eric Hillebrand & Tae-Hwy Lee, 2012. "Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors," CREATES Research Papers 2012-18, Department of Economics and Business Economics, Aarhus University.
  • Christian Gouriéroux & Jean-Michel Zakoian, 2012. "Estimation Adjusted VaR," Working Papers 2012-16, Center for Research in Economics and Statistics.
    
    • Gourieroux, Christian & Zakoïan, Jean-Michel, 2013. "Estimation-Adjusted Var," Econometric Theory, Cambridge University Press, vol. 29(04), pages 735-770, August.
  • Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2012. "Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments," Documentos de Trabajo del ICAE 2012-14, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    
    • Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2014. "Evaluating Macroeconomic Forecasts: A Concise Review Of Some Recent Developments," Journal of Economic Surveys, Wiley Blackwell, vol. 28(2), pages 195-208, April.
    • Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2012. "Evaluating Macroeconomic Forecasts:A Concise Review of Some Recent Developments," KIER Working Papers 821, Kyoto University, Institute of Economic Research.
    • Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2012. "Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments," Working Papers in Economics 12/12, University of Canterbury, Department of Economics and Finance.
  • David E. Giles & Hui Feng & Ryan T. Godwin, 2011. "Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution," Econometrics Working Papers 1105, Department of Economics, University of Victoria.
    
    • David E. Giles & Hui Feng, 2009. "Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution," Econometrics Working Papers 0902, Department of Economics, University of Victoria.
  • Henderson, Daniel J. & Kumbhakar, Subal C. & Parmeter, Christopher F., 2012. "A Simple Method to Visualize Results in Nonlinear Regression Models," IZA Discussion Papers 6781, Institute of Labor Economics (IZA).
    
    • Henderson, Daniel J. & Kumbhakar, Subal C. & Parmeter, Christopher F., 2012. "A simple method to visualize results in nonlinear regression models," Economics Letters, Elsevier, vol. 117(3), pages 578-581.
    • Daniel J. Henderson & Subal C. Kumbhakar & Christopher F. Parmeter, 2012. "A simple method to visualize results in nonlinear regression models," Working Papers 2012-4, University of Miami, Department of Economics.
  • John H. Cochrane, 2012. "Continuous-Time Linear Models," NBER Working Papers 18181, National Bureau of Economic Research, Inc.
    
    • Cochrane, John H., 2012. "Continuous-Time Linear Models," Foundations and Trends(R) in Finance, now publishers, vol. 6(3), pages 165-219, November.
  • Doko Tchatoka, Firmin Sabro, 2012. "Specification Tests with Weak and Invalid Instruments," MPRA Paper 40185, University Library of Munich, Germany.
    
    • Firmin Doko Tchatoka, 2014. "Specification Tests with Weak and Invalid Instruments," School of Economics Working Papers 2014-05, University of Adelaide, School of Economics.
    • Doko Tchatoka, Firmin, 2012. "Specification tests with weak and invalid instruments," Working Papers 15063, University of Tasmania, Tasmanian School of Business and Economics, revised 26 Jun 2012.
• Mathematics, Economics, & the Nobel Prize by Dave Giles, 2012-10-09 23:55:00
  • Espinosa, Miguel & Rondon, Carlos & Romero, Mauricio, 2012. "The use of mathematics in economics and its effect on a scholar's academic career," MPRA Paper 41341, University Library of Munich, Germany.
• My "Must Read" List by Dave Giles, 2012-09-27 06:33:00
  • Pierre Perron & Gabriel Rodriguez, 2012. "Residual test for cointegration with GLS detrended data," Documentos de Trabajo / Working Papers 2012-327, Departamento de Economía - Pontificia Universidad Católica del Perú.
  • James G. MacKinnon & Russell Davidson, 2012. "Bootstrap Confidence Sets With Weak Instruments," Working Paper 1278, Economics Department, Queen's University.
    
    • Russell Davidson & James G. MacKinnon, 2014. "Bootstrap Confidence Sets with Weak Instruments," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 651-675, August.
    • Russell Davidson & James G. Mackinnon, 2014. "Bootstrap Confidence Sets with Weak Instruments," Post-Print hal-01463109, HAL.
  • Michael W. McCracken, 2012. "Consistent testing for structural change at the ends of the sample," Working Papers 2012-029, Federal Reserve Bank of St. Louis.
  • Zhipeng Liao & Peter C.B. Phillips, 2012. "Automated Estimation of Vector Error Correction Models," Cowles Foundation Discussion Papers 1873, Cowles Foundation for Research in Economics, Yale University.
    
    • Liao, Zhipeng & Phillips, Peter C. B., 2015. "Automated Estimation Of Vector Error Correction Models," Econometric Theory, Cambridge University Press, vol. 31(03), pages 581-646, June.
  • Alastair R. Hall & Denise R. Osborn & Nikolaos D. Sakkas, 2012. "Inference on Structural Breaks using Information Criteria," Centre for Growth and Business Cycle Research Discussion Paper Series 173, Economics, The Univeristy of Manchester.
    
    • Alastair R. Hall & Denise R. Osborn & Nikolaos Sakkas, 2013. "Inference on Structural Breaks using Information Criteria," Manchester School, University of Manchester, vol. 81, pages 54-81, October.
  • repec:cep:stiecm:em/2012/559 is not listed on IDEAS
  • Francis X. Diebold, 2012. "Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests," PIER Working Paper Archive 12-035, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    
    • Francis X. Diebold, 2015. "Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(1), pages 1-1, January.
    • Francis X. Diebold, 2012. "Comparing Predictive Accuracy, Twenty Years Later: A Personal Perspective on the Use and Abuse of Diebold-Mariano Tests," NBER Working Papers 18391, National Bureau of Economic Research, Inc.
• Dummy Variables - Again! by Dave Giles, 2012-09-14 23:34:00
  • David E. Giles, 2011. "On the Inconsistency of Instrumental Variables Estimators for the Coefficients of Certain Dummy Variables," Econometrics Working Papers 1106, Department of Economics, University of Victoria.
    
    • David E. Giles, 2017. "On the Inconsistency of Instrumental Variables Estimators for the Coefficients of Certain Dummy Variables," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 15(1), pages 15-26, March.
• Granger Causality Testing With Panel Data by Dave Giles, 2012-09-13 22:53:00
  • Judith A. Clarke & Nilanjana Roy & Weichun Chen, 2012. "Health and Wealth: Short Panel Granger Causality Tests for Developing Countries," Econometrics Working Papers 1204, Department of Economics, University of Victoria.
    
    • Weichun Chen & Judith A. Clarke & Nilanjana Roy, 2014. "Health and wealth: Short panel Granger causality tests for developing countries," The Journal of International Trade & Economic Development, Taylor & Francis Journals, vol. 23(6), pages 755-784, September.
• "The Rise of Econometrics" by Dave Giles, 2012-08-26 21:36:00
  • Duo Qin
• Analysing Olympic Medal Data by Dave Giles, 2012-08-24 22:35:00
  • Glen Roberts, 2006. "Accounting for Achievement in Athens: A Count Data Analysis of National Olympic Performance," Econometrics Working Papers 0602, Department of Economics, University of Victoria.
• Hodrick-Prescott Filter Paper by Dave Giles, 2012-07-16 23:32:00
  • David E. Giles, 2012. "Constructing Confidence Bands for the Hodrick-Prescott Filter," Econometrics Working Papers 1202, Department of Economics, University of Victoria.
    
    • David E. Giles, 2013. "Constructing confidence bands for the Hodrick--Prescott filter," Applied Economics Letters, Taylor & Francis Journals, vol. 20(5), pages 480-484, March.
• Local vs. Global Approximations by Dave Giles, 2012-07-08 21:56:00
  • Linda F. DeBenedictis, & David E. A. Giles, 1998. "Robust Specification Testing in Regression: The FRESET Test and Autocorrelated Disturbances," Econometrics Working Papers 9806, Department of Economics, University of Victoria.
• The Milliken-Graybill Theorem by Dave Giles, 2012-07-06 20:08:00
  • Kenneth G. Stewart, 1998. "Gauss-Newton, Milliken-Graybill, and Exact Misspecification Testing Using Artificial Regressions," Econometrics Working Papers 9811, Department of Economics, University of Victoria.
    
    • Kenneth Stewart & Kenneth Stewart, 2000. "GNR, MGR, and exact misspeclfication testing," Econometric Reviews, Taylor & Francis Journals, vol. 19(2), pages 233-240.
• Fixed-Effects Vector Decomposition by Dave Giles, 2012-06-12 23:36:00
  • Trevor Breusch & Michael B. Ward & Hoa Thi Minh Nguyen & Tom Kompas, 2011. "FEVD: Just IV or Just Mistaken?," Monash Economics Working Papers archive-17, Monash University, Department of Economics.
    
    • Breusch, Trevor & Ward, Michael B. & Nguyen, Hoa Thi Minh & Kompas, Tom, 2011. "FEVD: Just IV or Just Mistaken?," Political Analysis, Cambridge University Press, vol. 19(02), pages 165-169, March.
• Another Gripe About the Linear Probability Model by Dave Giles, 2012-06-01 21:11:00
  • William C. Horrace & Ronald L. Oaxaca, 2002. "New Wine in Old Bottles: A Sequential Estimation Technique for the LPM," Econometrics 0206002, University Library of Munich, Germany, revised 11 May 2003.
    
    • Horrace, William C. & Oaxaca, Ronald L., 2003. "New Wine in Old Bottles: A Sequential Estimation Technique for the LPM," IZA Discussion Papers 703, Institute of Labor Economics (IZA).
• Log Transformations & Forecasting by Dave Giles, 2012-05-23 00:20:00
  • Helmut Luetkepohl & Fang Xu, 2009. "The Role of the Log Transformation in Forecasting Economic Variables," CESifo Working Paper Series 2591, CESifo Group Munich.
    
    • Helmut Lütkepohl & Fang Xu, 2012. "The role of the log transformation in forecasting economic variables," Empirical Economics, Springer, vol. 42(3), pages 619-638, June.
• Complex Survey Data in Econometrics by Dave Giles, 2012-05-19 00:14:00
  • Judith A. Clarke & Nilanjana Roy, 2010. "On Statistical Inference for Inequality Measures Calculated from Complex Survey Data," Econometrics Working Papers 1002, Department of Economics, University of Victoria.
    
    • Judith Clarke & Nilanjana Roy, 2012. "On statistical inference for inequality measures calculated from complex survey data," Empirical Economics, Springer, vol. 43(2), pages 499-524, October.
    • Judith A. Clarke & Nilanjana Roy, 2009. "On Statistical Inference for Inequality Measures Calculated from Complex Survey Data," Econometrics Working Papers 0904, Department of Economics, University of Victoria.
• Bayes Estimators, Loss Functions, and J. M. Keynes by Dave Giles, 2012-05-11 22:20:00
  • Klein, Ingo & Grottke, Michael, 2008. "On J.M. Keynes' The principal averages and the laws of error which lead to them: refinement and generalisation," FAU Discussion Papers in Economics 07/2008, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  • David E. A. Giles, 2000. "Preliminary-Test and Bayes Estimation of a Location Parameter Under 'Reflected Normal' Loss," Econometrics Working Papers 0004, Department of Economics, University of Victoria.
• Bias-Corrected MLEs by Dave Giles, 2012-05-01 21:03:00
  • Jacob Schwartz & David E. Giles, 2011. "Biased-Reduced Maximum Likelihood Estimation for the Zero-Inflated Poisson Distribution," Econometrics Working Papers 1102, Department of Economics, University of Victoria.
  • David E. Giles & Hui Feng & Ryan T. Godwin, 2011. "Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution," Econometrics Working Papers 1105, Department of Economics, University of Victoria.
    
    • David E. Giles & Hui Feng, 2009. "Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution," Econometrics Working Papers 0902, Department of Economics, University of Victoria.
  • Jacob Schwartz & Ryan T. Godwin & David E. Giles, 2011. "Improved Maximum Likelihood Estimation of the Shape Parameter in the Nakagami Distribution," Econometrics Working Papers 1109, Department of Economics, University of Victoria.
  • David E. Giles, 2009. "Bias Reduction for the Maximum Likelihood Estimator of the Scale Parameter in the Half-Logistic Distribution," Econometrics Working Papers 0901, Department of Economics, University of Victoria.
  • David E. Giles & Xiao Ling, 2011. "Bias Reduction for the Maximum Likelihood Estimator of the Parameters of the Generalized Rayleigh Family of Distributions," Econometrics Working Papers 1111, Department of Economics, University of Victoria.
  • David E. Giles & Hui Feng & Ryan T. Godwin, 2011. "On the Bias of the Maximum Likelihood Estimator for the Two-Parameter Lomax Distribution," Econometrics Working Papers 1104, Department of Economics, University of Victoria.
  • David E. Giles & Hui Feng, 2009. "Almost Unbiased Estimation of the Poisson Regression Model," Econometrics Working Papers 0909, Department of Economics, University of Victoria.
• More on Confidence Bands for the HP Filter by Dave Giles, 2012-04-20 20:25:00
  • David E. Giles, 2012. "Constructing Confidence Bands for the Hodrick-Prescott Filter," Econometrics Working Papers 1202, Department of Economics, University of Victoria.
    
    • David E. Giles, 2013. "Constructing confidence bands for the Hodrick--Prescott filter," Applied Economics Letters, Taylor & Francis Journals, vol. 20(5), pages 480-484, March.
• More on Confidence Bands for the HP Filter by Dave Giles, 2012-04-20 20:25:00
  • David E. Giles, 2012. "Constructing Confidence Bands for the Hodrick-Prescott Filter," Econometrics Working Papers 1202, Department of Economics, University of Victoria.
    
    • David E. Giles, 2013. "Constructing confidence bands for the Hodrick--Prescott filter," Applied Economics Letters, Taylor & Francis Journals, vol. 20(5), pages 480-484, March.
• Extremes, the Generalized Pareto Distribution, and MLE by Dave Giles, 2012-04-20 03:03:00
  • David E. Giles & Hui Feng & Ryan T. Godwin, 2011. "Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution," Econometrics Working Papers 1105, Department of Economics, University of Victoria.
    
    • David E. Giles & Hui Feng, 2009. "Bias - Corrected Maximum Likelihood Estimation of the Parameters of the Generalized Pareto Distribution," Econometrics Working Papers 0902, Department of Economics, University of Victoria.
• Surplus-Lag Granger Causality Testing by Dave Giles, 2012-04-18 21:13:00
  • Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics and Finance.
• Surplus-Lag Granger Causality Testing by Dave Giles, 2012-04-18 21:13:00
  • Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics and Finance.
• Modelling Extremes by Dave Giles, 2012-04-16 23:29:00
  • Feng Ren & David E. Giles, 2007. "Extreme Value Analysis of Daily Canadian Crude Oil Prices," Econometrics Working Papers 0708, Department of Economics, University of Victoria.
    
    • Feng Ren & David Giles, 2010. "Extreme value analysis of daily Canadian crude oil prices," Applied Financial Economics, Taylor & Francis Journals, vol. 20(12), pages 941-954.
  • David E. Giles, 2010. "The Extreme-Value Dependence Between the Chinese and Other International Stock Markets," Econometrics Working Papers 1003, Department of Economics, University of Victoria.
    
    • Qian Chen & David E. Giles & Hui Feng, 2012. "The extreme-value dependence between the Chinese and other international stock markets," Applied Financial Economics, Taylor & Francis Journals, vol. 22(14), pages 1147-1160, July.
  • Guang Bi & David E. Giles, 2007. "An Application of Extreme Value Theory to U.S. Movie Box Office Returns," Econometrics Working Papers 0705, Department of Economics, University of Victoria.
• Count Data & the Hermite Distribution by Dave Giles, 2012-04-14 01:54:00
  • David E. Giles, 2010. "Hermite Regression Analysis of Multi-Modal Count Data," Econometrics Working Papers 1001, Department of Economics, University of Victoria.
    
    • David E Giles, 2010. "Hermite regression analysis of multi-modal count data," Economics Bulletin, AccessEcon, vol. 30(4), pages 2936-2945.
• Unit Root Tests With Missing Observations by Dave Giles, 2012-04-02 01:13:00
  • Kevin F. Ryan & David E. A. Giles, 1998. "Testing for Unit Roots With Missing Observations," Econometrics Working Papers 9802, Department of Economics, University of Victoria.
    
    • Kevin F. Ryan & David E. A. Giles, 1998. "Testing for Unit Roots With Missing Observations," Department Discussion Papers 9802, Department of Economics, University of Victoria.
• As Good as it Gets! by Dave Giles, 2012-03-18 08:48:00
  • David E. Giles & Ryan T. Godwin, 2011. "Testing for Multivariate Cointegration in the Presence of Structural Breaks: p-Values and Critical Values," Econometrics Working Papers 1110, Department of Economics, University of Victoria.
• Goodness-of-Fit Testing With Discrete, Circular, Data by Dave Giles, 2012-03-16 03:27:00
  • David E. Giles & Ryan T. Godwin, 2011. "Testing for Multivariate Cointegration in the Presence of Structural Breaks: p-Values and Critical Values," Econometrics Working Papers 1110, Department of Economics, University of Victoria.

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