econometrics

A practical Journal of Econometrics submission guide for econometricians evaluating their work against the journal's econometric-theory bar.

A practical Econometrica submission guide for economists evaluating whether their work meets the journal's top-five methodological bar.

The Missing Intercept: A Demand Equivalence Approach Wolf, Christian K I give conditions under which changes in private spending are accommodated in general equilibrium exactly like changes in aggregate fiscal expenditure. Under such demand equivalence, researchers can use time series evidence on fiscal multipliers to recover the general equilibrium “missing intercept” of shocks to private spendi…

This paper considers linear rational expectations models in the frequency domain. The paper characterizes existence and uniqueness of solutions to particular as well as generic systems. The set of all solutions to a given system is shown to be a finite-dimensional affine space in the frequency domain. It is demonstrated that solutions can be discontinuous with respect to the parameters of the mod…

Mildly explosive autoregressions have been extensively employed in recent theoretical and applied econometric work to model the phenomenon of asset market bubbles. An important issue in this context concerns the construction of confidence intervals for the autoregressive parameter that represents the degree of explosiveness. Existing studies rely on intervals that are justified only under conditi…

Francesco Bianchi, Marco Del Negro, Giorgio Primiceri and Frank Schorfheide pay tribute to Prof Christopher Sims: Chris Sims, who passed away in March 2026, reshaped modern macroeconomics by insisting that theory and data speak together. A pioneer of vector autoregressions, Bayesian methods, and policy relevant modelling, he transformed how scholars and practitioners analyse economic dynamics and…

I was saddened to hear of Chris Sims’s passing yesterday. Although I’m not a macroeconometrician, his work has strongly influenced the way I think about econometrics. I covered his famous helicopter tour paper on this blog a while back. Some of my other favorites are unpublished notes or slides from his website , many of them with a philosophical bent. Thinking about instrumental variables is a p…

A recent study co-led by Julian Martinez-Iriarte tests a new statistical method for estimating unconditional quantile partial effects. Published in the Journal of Econometrics, the paper develops a semi-parametric estimation procedure that connects unconditional quantile effects to conditional quantile regression results. The authors show that, for continuous variables, unconditional effects can …

Introduction Wheat (Triticum aestivum) occupies the second position among cereal crops that are important to India, following rice, absorbing considerable space in the food security machinery and the agricultural economy in India. Uttar Pradesh is the single most significant contributor of more than 30% of the total wheat production of India.1 The state’s great spatial […]

In 2024, the San Francisco Fed and the Federal Reserve System Innovation Office launched the EmergingTech Economic Research Network (EERN) to support a better understanding of how new technologies like GenAI are shaping the economies of today and the future. As part of the EERN initiative, we often hold roundtable discussions to hear from industries […]

During a COVID-19 vaccine trial Joshua D. Angrist found inspiration to rethink clinical research design. At Lindau 2025, he and Guido Imbens revisited core econometric tools—while a new generation explored fresh data sources like LinkedIn and AI. Der Beitrag Measuring What Works: The New Frontier of Econometrics erschien zuerst auf Lindau Nobel Laureate Meetings .

The result that I prefer to call Yule’s Rule , more commonly known as the “Frisch-Waugh-Lovell (FWL) theorem”, shows how to calculate the regression slope coefficient for one predictor by carrying out additional “auxiliary” regressions that adjust for all other predictors . You’ve probably encountered this result if you’ve studied introductory econometrics. But it may surprise you to learn that t…

Suppose I run a simple linear regression of an outcome variable on a predictor variable. If I save the fitted values from this regression and then run a second regression of the outcome variable on the fitted values, what will I get? For extra credit: how will the R-squared from the second regression compare to that from the first regression? Example: Height and Handspan Here’s a simple example: …

Welcome to the first installment of the Econometrics Puzzler , a new series of shorter posts that will test and strengthen your econometric intuition. Here’s the format: I’ll pose a question that requires only introductory econometrics knowledge, but has an unexpected answer. The idea is for you to ponder the question before reading my solution. Many of these questions are based on common misconc…

Abstract The period 1895–1925 saw the origins and establishment of the fields that came to be called econometrics and psychometrics. I consider what these fields owed to biometry—the statistical approach to the biological problems of evolution—and make some comparisons between all three. I emphasize developments in biology and psychology, for these are less familiar to historians of econometrics.…

By José Carlos Gonzáles Tanaka The basic Vector Autoregression (VAR) model is heavily used in macro-econometrics for explanatory purposes and forecasting purposes in trading. In recent years, a VAR model with time-varying parameters has been used to understand the interrelationships between macroeconomic variables. Since Primiceri (2005), econometricians have been applying these models using macr…

If you study enough econometrics or statistics, you’ll eventually hear someone mention “Stein’s Paradox” or the “James-Stein Estimator” . You’ve probably learned in your introductory econometrics course that ordinary least squares (OLS) is the best linear unbiased estimator (BLUE) in a linear regression model under the Gauss-Markov assumptions. The stipulations “linear” and “unbiased” are crucial…

Reading and understanding econometrics papers can be hard work. Most published articles, even review articles, are written by specialists for specialists. Unless you’re already familiar with the literature, it can be a real uphill battle to make it through a recent paper. In grad school I remember our professors repeatedly admonishing me and the rest of the cohort to “read the papers!” But when I…

As a teaser for our upcoming (2024-07-23) virtual reading group session on Bayesian macro / time series econometrics, this post replicates a classic paper by Sims & Uhlig (1991) contrasting Bayesian and Frequentist inferences for a unit root. In the post I’ll focus on explaining and implementing the authors’ simulation design. In the reading group session (and possibly a future post) we’ll talk m…

After a year-long hiatus, I’m excited to return to regular blogging about econometrics! I have a long list of posts that I’m eager to write, and I hope you’ll find them interesting. To whet your appetite, here’s a preview of some of the topics I plan to cover in the coming weeks: Bayesian versus Frequentist Approaches to Unit Roots How Not To Do Regression Adjustment Understanding the James-Stein…