Sunday, March 26, 2017

In Praise of Two Giants of Econometrics

Two giants in our field, now deceased, are celebrated in recent Working Papers by Peter Phillips and Timo Teräsvirta.

Peter's paper is titled, "Tribute to T. W. Anderson", is in an issue of Econometric Theory that also includes ted's last published research paper.

Timo's paper, which will be appearing in The Journal of Pure and Applied Mathematics, "Sir Clive Granger's contributions to nonlinear time series and econometrics".

Both papers are essential reading, whether you have a particular interest in the history of econometrics; of if you are a younger researcher who wants to understand the building blocks of our discipline.

© 2017, David E. Giles

Saturday, March 25, 2017

A "Journal of Insignificant (Economic) Results"?

The Replication Network carried a guest blog post by Andrea Menclova this week. The post was titled, "Is it Time for a Journal of Insignificant Results?"

I was previously unaware of the existence of such journals in Psychology, Biomedicine, and Ecology and Evolutionary Biology.

Andrea calls for the introduction of such a journal in Economics, and she makes a really good point.

Take a look at what she has to say!

© 2017, David E. Giles

Sunday, March 19, 2017

The Econometric Game, 2017

This year's edition of The Econometric Game is scheduled to take place next month in Amsterdam.

Specifically, between 5 and 7 April the University of Amsterdam will once again host visiting teams of econometrics students from around the world to compete to become "World Champions of Econometrics". It's a great initiative that's now in its 19th. year.

This year, the competing teams come from:

Aarhus University
Corvinus University of Budapest
Erasmus University Rotterdam
Harvard University
KU Leuven
London School of Economics
Lund University
Maastricht University
McGill University
New Economic School
Oxford University
Stellenbosch University
Tilburg University
Toulouse School of Economics
Universidad Carlos III de Madrid
Universidad del Rosario
University College London
University of Amsterdam
University of Antwerp
University of Copenhagen
University of Economics, Prague
University of Illinois at Urbana-Champaign
University of Lausanne
University of Rome Tor Vergata
University of São Paulo
University of Toronto
University of Warwick
Vrije Universiteit Amsterdam
Warsaw School of Economics

The team from Harvard took first place in 2016. Let's see if they do it again this year!

© 2017, David E. Giles

Wednesday, March 8, 2017

March Reading List

Here are some suggestions for your reading this month:

  • Coble, D. & P. Picheira, 2017. Nowcasting building permits with Google trends. MPRA Paper No. 76514.
  • Mullahy, J., 2017. Marginal effects in multivariate probit models. Empirical Economics, 52, 447-461.
  • Pagan, A., 2017. Some consequences of using "measurement error shocks" when estimating time series models. CAMA Working Paper 12.2017, Cantre for Macroeconomic Analysis, Australian National University.
  • Reed, W. R. & A. Smith, 2017.A time series paradox: Unit root tests perform poorly when data are cointegrated. Economics Letters, 151, 71-74.
  • Zhang, L., 2017. Partial unit root and surplus-lag Granger causality testing: A Monte Carlo simulation study. Communications in Statistics - Theory and Methods, online.
© 2017, David E. Giles