With data availability at its historical peak, time series panel econometrics is in the limelight. Unlike traditional panel data in w...

Professor James D. Hamilton requires no introduction, having been one of the most important researchers in time series econometrics ...

In Part 1 and Part 2 of this series, we discussed the theory behind ARDL and the Bounds Test for cointegration. Here, we demonstrate ...

This is the second part of our AutoRegressive Distributed Lag (ARDL) post. For Part 1, please go here , and for Part 3, please visit he...

One of the current buzz topics in macro-econometrics is that of dynamic factor models.  Factor models allow researchers to work with a lar...

One of our favorite bloggers, Dave Giles  often writes about current trends in econometric theory and practice. One of his most popu...

Background The frenchdata add-in is designed to make it easier and faster to download data from Ken French's data library. The data ...