Friday, November 8, 2013

The Econometric Game, 2014

Doesn't time fly. We must be having fun! It's time to start thinking about The Econometric Game once again - this time, the 2014 edition.

April  15 to 17 2014 are the dates to keep in mind, and once again Amsterdam will be the place to be. Apparently entries are rolling in!

More on this in due course.

© 2013, David E. Giles

The Stock Market Crash - VECM's & Structural Breaks

A few weeks ago, Roger Farmer kindly drew my attention to a recent paper of his - "The Stock Market Crash Really Did Cause the Great Recession" (here). To whet your appetites, here's the abstract:
"This note shows that a big stock market crash, in the absence of central bank intervention, will be followed by a major recession one to four quarters later. I establish this fact by studying the forecasting ability of three models of the unemployment rate. I show that the connection between changes in the stock market and changes in the unemployment rate has remained structurally stable for seventy years. My findings demonstrate that the stock market contains significant information about future unemployment."