Econometrics: bibliography - page 2

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The second link (provided to me) is much more interesting. It turns out that there are fundamental works on prognosis, written by very respected people. Unfortunately only the first chapters are on the link, but the accessible table of contents of this book is respectable and you can pick up literature from the table of contents.
 

You are working with time series, it is not correct to build a histogram, better through probability paper, shapiro criterion, etc . The histogram technique assumes that you break the relationship between the levels of the series (relative frequency density, break the intervals, then rank, etc.), and from our subject area it is obvious that they are correlated.

I would in this thread, share the results of testing the GSB (random walk hypothesis). Tikhomirov's book, I forget the name.

 

I wanted to write a big post, stopped myself. Honestly, to get me interested so try to build the model for which the last Nobel Prize in economics was awarded.

 
orb:

I would, in this thread, share the results of testing the GSB (random walk hypothesis).

share
 
orb:

I wanted to write a big post, stopped myself. Honestly, to get me interested so try to build the model for which the last Nobel Prize in economics was awarded.


The last Nobel Prize in economics wasn't awarded for a model, but for developing a vector autoregressive method
 
I will wait for the moment when I need to check the GSB for my term paper, and then I will bring the results here. I have done this check before, but after half a year I realise that it deserves a lot of adjustments.
 
orb:


I would, in this thread, share the results of testing the GSB (random walk hypothesis). The book is by Tikhomirov, I forget the title.

There is its own branch for SB. For me, it's an empty theory
 
Demi:

The last Nobel Prize in economics was awarded not for the model, but for the development of the vector autoregressive method

And Nobel Prizes in economics have long been nothing to give for, all worthwhile research is commercial, if not even state secrets, published mostly what has not found demand among potential buyers. That is why they choose essentially from the rubbish of a hundred years ago, which is of little use in practice.


By the way, Sims didn't develop the method, he applied it to macroeconomic data. VAR had been known for decades before him.

 
alsu:

Incidentally, Sims did not develop the method, but applied it to macroeconomic data. VAR had been known for decades before him.


What is the actual point of his Nobel Prize? Like "a new look at VaR", or "what if VaR was calculated for a population of African cockroaches"?
 
C-4:

What exactly is the point of his Nobel Prize? Like "a new look at VaR", or "what if VaR was calculated for a population of African cockroaches"?
Sort of. Actually he wrote an article that "...why do you use ordinary autoregression, it doesn't work". Let's use vectorial! You know, like we do in this forum.
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