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Francis Diebold
259 followers -
Father, Blogger, Professor
Father, Blogger, Professor

259 followers
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NBER w.p.'s Hit 25,000
A few weeks ago the NBER released  WP25000, What a great NBER service -- t here have been 7.6 million downloads of NBER  WP's in the last year alone. This is  of both current and historical interest. On the historical side, as Jim Poterba notes in a recent ...
NBER w.p.'s Hit 25,000
NBER w.p.'s Hit 25,000
fxdiebold.blogspot.com
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Banque de France’s Open Data Room
See below for announcement of a useful new product from the Bank of France and its Representative Office in New York.  Banque de France has been for many years at the forefront of disseminating statistical data to academics and other interested parties. Thr...
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An Open Letter to Tren Griffin
[I tried quite hard to email this privately. I post it here only because Griffin has, as far as I can tell, been very successful in scrubbing his email address from the web. Please forward it to him if you can figure out how.] Mr. Griffin: An incredulous co...
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Machine Learning for Forecast Combination
How could I have forgotten to announce my latest paper, "Machine Learning for  R egularized Survey Forecast Combination: Partially-Egalitarian Lasso and its Derivatives" ? (Actually a heavily-revised version of an earlier paper, including a new title.) Came...
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Interesting Papers of the Moment
Missing Events in Event Studies: Identifying the Effects of Partially-Measured News Surprises by Refet S. Guerkaynak, Burcin Kisacikoglu, Jonathan H. Wright #25016 (AP ME) http://papers.nber.org/papers/w25016?utm_campaign=ntw&utm_medium=email&utm_source=ntw...
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Discovering Datasets
Check out Goolgle's new  Datset Search . Here's the description they issued today: Making it easier to discover datasets Natasha Noy Research Scientist, Google AI Published Sep 5, 2018 In today's world, scientists in many disciplines and a growing number of...
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The Coming Storm
The role of time-series statistics / econometrics in climate analyses is expanding (e.g., here ).  Related -- albeit focusing on shorter-term meteorological aspects rather than longer-term climatological aspects -- it's worth listening to Michael Lewis' lat...
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Long Memory / Scaling Laws in Asset-Return Volatility
The 25-year accumulation of evidence for long memory / fractional integration / self-similarity / scaling laws in financial asset return volatility continues unabated.  For the latest see this nice new paper from Bank of Portugal , in particular its key Tab...
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More on the New U.S. GDP Seies
BEA's new publishing of NSA GDP is a massive step forward. Now it should take one more step, if it insists on continuing to publish SA GDP. Publishing only indirect SA GDP ("adjust the components and add them up) lends it an  undeserved  "official" stamp of...
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