Saturday, July 1, 2017

Canada Day Reading List

I was tempted to offer you a list of 150 items, but I thought better of it!

  • Hamilton, J. D., 2017. Why you should never use the Hodrick-Prescott filter. Mimeo., Department of Economics, UC San Diego.
  • Jin, H. and S. Zhang, 2017. Spurious regression between long memory series due to mis-specified structural breaks. Communications in Statistics - Simulation and Computation, in press.
  • Kiviet, J. F., 2016. Testing the impossible: Identifying exclusion restrictions.Discussion Paper 2016/03, Amsterdam School of Economics, University of Economics.
  • Lenz, G. and A. Sahn, 2017. Achieving statistical significance with covariates. BITSS Preprint (H/T  Arthur Charpentier)
  • Sephton, P., 2017. Finite sample critical values of the generalized KPSS test. Computational Economics, 50, 161-172.
© 2017, David E. Giles

1 comment:

  1. Hamilton's paper fantastic. The alternative approach he proposes is very neat too!