We propose and evaluate a technique for instrumental variables estimation of linear models with conditional heteroskedasticity. The technique uses approximating parametric models for the projection of right-hand side variables onto the instrument space, and for conditional heteroskedasticity and...

This is a survey of some popular econometric texts written in English. The essay reflects the author's opinion, as well as opinions of notable econometricians expressed in published book reviews.

We give thematically arranged lists of useful websites where an empirical economist can find data for research.

This essay is an introduction to principles and methodology of the bootstrap. The basics of bootstrap inference, resampling and asymptotic refinement are given. The narration is accompanied with clarifying examples. There is also a brief description of other methodological essays of the current...

This essay contains a short survey of existing simple tests for predictability of various characteristics of stationary time series.

This essay discusses the structure of an econometric report, format of tables and diagrams, as well as precision of numerical results.

To predict a return characteristic, one may construct models of different complexity describing the dynamics of different objects. The most complex object is the entire predictive density, while the least complex is the characteristic whose forecast is of interest. This paper investigates, using...