I used to follow Dave Giles' blog called Econometrics Beat. I enjoyed it very much and learned tons from it. Unfortunately, the professor retired and closed the blog three years ago. I would like to continue learning things like the ones Prof. Giles was writing about (general econometrics stuff, not too deep into the details, numerous basic but important points, quite a bit about time series). What could be the closest substitute for his blog?
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Hi: James Hamilton might have a blog. I haven't looked at in a long time so you'll have to check. It's not the same as Dave's but still could be helpful. – mark leeds Dec 07 '22 at 15:46
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@markleeds, https://econbrowser.com/? Looks like the blog does not really focus on econometrics. – Richard Hardy Dec 07 '22 at 15:59
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1No. It doesn't. I just thought you might be interested. I can't think of other ones like Dave's. That was a gem. – mark leeds Dec 09 '22 at 05:14
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Francis X. Diebold runs a blog called "No Hesitations". Compared to "Econometrics Beats" it tackles more advanced methods and contains less detail (so not that great for beginners), but it definitely has some gems* and brings the reader up to date on very recent developments in financial econometrics, macroeconometrics and climate econometrics (all based on time series). The presentation style is very clear.
*Such as "The HAC Emperor has no Clothes", "GMM, the 'Strange American Estimator'", "Comparing Predictive Accuracy, Twenty Years Later", "Causality and T-Consistency vs. Correlation and P-Consistency", "A Mind-Blowing Optimal Prediction Result", "All of Machine Learning in One Expression" and more.
Richard Hardy
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Matt Bogard has interesting econometrics blog. I think it could be a possible substitute.
csilvia
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Thanks! It seems it is not a pure econometrics blog but it does have quite a few posts about econometrics. The last one is from 2019, though. Still good know! – Richard Hardy Dec 11 '22 at 18:47