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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 43 blog posts referring to 61 distinct items or authors.

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

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• What Have You Been Reading? by Dave Giles, 2013-06-11 19:47:00
  • Chang, Chia-Lin & Franses, Philip Hans & McAleer, Michael, 2013. "Are Forecast Updates Progressive?," MPRA Paper 46387, University Library of Munich, Germany.
    
    • Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2011. "Are Forecast Updates Progressive?," KIER Working Papers 762, Kyoto University, Institute of Economic Research.
    • Chang, C-L. & Franses, Ph.H.B.F. & McAleer, M.J., 2010. "Are Forecast Updates Progressive?," Econometric Institute Report EI 2010-24, Erasmus University Rotterdam, Econometric Institute.
    • Chia-Lin Chang & Philip Hans Franses & Michael McAleer, 2013. "Are Forecast Updates Progressive?," Tinbergen Institute Discussion Papers 13-049/III, Tinbergen 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 del Instituto Complutense de Análisis Económico 2011-03, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
    • 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, 2013-06-03 19:35:00
  • Jean-Marie Dufour & Joachim Wilde, 2013. "Weak Identification in Probit Models with Endogenous Covariates," Working Papers 95, Institute of Empirical Economic Research, revised 28 Feb 2013.
  • 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.
• My Recent Reading by Dave Giles, 2013-05-06 23:10:00
  • 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, 2013-05-06 21:32:00
  • Anthony Landry, 2011. "Borders and Big Macs," Globalization and Monetary Policy Institute Working Paper 95, Federal Reserve Bank of Dallas.
• Mark Thoma on "Replication" by Dave Giles, 2013-05-03 17:25:00
  • Journal of International Trade & Economic Development, Taylor and Francis Journals.
• More on the Quality of Economic Data by Dave Giles, 2013-04-29 22:28:00
  • F. Thomas Juster & James P. Smith, 2004. "Improving the Quality of Economic Data: Lessons from the HRS and AHEAD," Labor and Demography 0402010, EconWPA.
• Star Wars by Dave Giles, 2013-04-17 20:49:00
  • Ryan Macdonald
  • Abel Brodeur & Mathias Lé & Marc Sangnier & Yanos Zylberberg, 2012. "Star wars: The empirics strike back," PSE Working Papers halshs-00710122, HAL.
    
    • Brodeur, Abel & Lé, Mathias & Sangnier, Marc & Zylberberg, Yanos, 2013. "Star Wars: The Empirics Strike Back," IZA Discussion Papers 7268, Institute for the Study of Labor (IZA).
• This Week's Reading by Dave Giles, 2013-04-12 22:35:00
  • Tomasz Wozniak, 2012. "Testing Causality Between Two Vectors in Multivariate GARCH Models," Department of Economics - Working Papers Series 1139, The University of Melbourne.
    
    • 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, 2013-03-15 22:10:00
  • 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 16:51:00
  • Kellogg, Ryan & Wolff, Hendrik, 2007. "Does Extending Daylight Saving Time Save Energy? Evidence from an Australian Experiment," IZA Discussion Papers 2704, Institute for the Study of Labor (IZA).
• ARDL Models - Part I by Dave Giles, 2013-03-06 19:54:00
  • Franses, Ph.H.B.F. & Oest, R.D. van, 2004. "On the econometrics of the Koyck model," Econometric Institute Report EI 2004-07, Erasmus University Rotterdam, Econometric Institute.
• Measuring the Quality of an Estimator by Dave Giles, 2013-03-05 00:41:00
  • 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, 2013-02-26 21:17:00
  • 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, Centre de Recherche en Economie et Statistique.
    • 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 03:09:00
  • 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 17:22:00
  • 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 17:59:00
  • 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, 2012-12-02 18:30:00
  • 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.
  • 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.
  • 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 04:19:00
  • Eric Hillebrand & Tae-Hwy Lee, 2012. "Stein-Rule Estimation and Generalized Shrinkage Methods for Forecasting Using Many Predictors," CREATES Research Papers 2012-18, School of Economics and Management, University of Aarhus.
  • Christian Gouriéroux & Jean-Michel Zakoian, 2012. "Estimation Adjusted VaR," Working Papers 2012-16, Centre de Recherche en Economie et Statistique.
  • Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2012. "Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments," Documentos del Instituto Complutense de Análisis Económico 2012-14, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales.
    
    • 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 for the Study of Labor (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.
  • Doko Tchatoka, Firmin Sabro, 2012. "Specification Tests with Weak and Invalid Instruments," MPRA Paper 40185, University Library of Munich, Germany.
    
    • Doko Tchatoka, Firmin, 2012. "Specification tests with weak and invalid instruments," Working Papers 15063, University of Tasmania, School of Economics and Finance, revised 26 Jun 2012.
• Mathematics, Economics, & the Nobel Prize by Dave Giles, 2012-10-09 18:55:00
  • 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 01:33:00
  • Pierre Perron & Gabriel Rodriguez, 2012. "Residual test for cointegration with GLS detrended data," Documentos de Trabajo 2012-327, Departamento de Economía - Pontificia Universidad Católica del Perú.
  • Russell Davidson & James G. MacKinnon, 2012. "Bootstrap Confidence Sets with Weak Instruments," Working Papers 1278, Queen's University, Department of Economics.
  • 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.
  • 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.
  • 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.
• Dummy Variables - Again! by Dave Giles, 2012-09-14 18:34:00
  • 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.
• Granger Causality Testing With Panel Data by Dave Giles, 2012-09-13 17:53:00
  • 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.
• "The Rise of Econometrics" by Dave Giles, 2012-08-26 16:36:00
  • Duo Qin
• Analysing Olympic Medal Data by Dave Giles, 2012-08-24 17:35:00
  • 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 18:32:00
  • 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 and Francis Journals, vol. 20(5), pages 480-484, March.
• Local vs. Global Approximations by Dave Giles, 2012-07-08 16:56:00
  • 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 15:08:00
  • 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.
• Fixed-Effects Vector Decomposition by Dave Giles, 2012-06-12 18:36:00
  • 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.
• Another Gripe About the Linear Probability Model by Dave Giles, 2012-06-01 16:11:00
  • William C. Horrace & Ronald L. Oaxaca, 2002. "New Wine in Old Bottles: A Sequential Estimation Technique for the LPM," Econometrics 0206002, EconWPA, 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 for the Study of Labor (IZA).
• Log Transformations & Forecasting by Dave Giles, 2012-05-22 19:20:00
  • 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, 2012-05-18 19:14:00
  • 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 17:20:00
  • Klein, Ingo & Grottke, Michael, 2008. "On J.M. Keynes' The principal averages and the laws of error which lead to them: refinement and generalisation," IWQW Discussion Paper Series 07/2008, Friedrich-Alexander-Universität Erlangen-Nürnberg, Institut für Wirtschaftspolitik und Quantitative Wirtschaftsforschung (IWQW).
  • 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 16:03:00
  • 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 15:25:00
  • 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 and Francis Journals, vol. 20(5), pages 480-484, March.
• More on Confidence Bands for the HP Filter by Dave Giles, 2012-04-20 15:25:00
  • 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 and Francis Journals, vol. 20(5), pages 480-484, March.
• Extremes, the Generalized Pareto Distribution, and MLE by Dave Giles, 2012-04-19 22:03:00
  • 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 16:13:00
  • Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics.
• Surplus-Lag Granger Causality Testing by Dave Giles, 2012-04-18 16:13:00
  • Dietmar Bauer & Alex Maynard, 2010. "Persistence-robust Granger causality testing," Working Papers 1011, University of Guelph, Department of Economics.
• Modelling Extremes by Dave Giles, 2012-04-16 18:29:00
  • 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 and 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 and 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, 2012-04-13 20:54:00
  • 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, 2012-04-01 20:13:00
  • 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 03:48:00
  • 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, 2012-03-15 22:27:00
  • 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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