Associações
- American Economic Association
- ANPEC
- Banco Central do Brasil
- Banco Central Europeu
- BIS
- BM&F-Bovespa
- COPOM – Banco Central do Brasil
- Econometric Society
- Econometric Links
- IBGE
- National Bureau of Economic Research
- Sociedade Brasileira de Econometria
- Sociedade Brasieira de Finanças
- UNIDO
Base de Dados
- Center for Research in Security Prices
- Dow Jones Indexes
- Economic DATA - FRED
- IBGE – Estatísticas Históricas
- IFS-IMF
- IPEADATA
- Penn World Table
- Volatility Lab - Robert Engle
- WDI-World Bank
- Yahoo Finance
Blogs em Econometria, Estatística e Previsão
- Society for Financial Econometrics (SoFiE)
- Econometrics Beat: Dave Giles
- Econometric Sense
- No Hesitations: Francis X. Diebold
- Hyndsight: A blog by Rob J Hyndman
- Stata Blog
- Mostly Harmless Econometrics
- Eran Raviv - Statistics and Econometrics
- Cambridge Econometrics
- Climate Econometrics
Centro de Estudos e Escolas
- Centro de Macroeconomia Aplicada - FGV
- Comitê de Datação de Ciclos Americano
- Comitê de Datação de Ciclos Brasileiro
- Comitê de Datação de Ciclos Europeu
- Datação de Ciclos no Brasil e nos Estados Unidos
- Escola de Economia de São Paulo - FGV
- National Centre for Econometric Research (NCER)
- Oxford-Man Institute of Quantitative Finance
Livros e Textos de Interesse
- Artigos em Finanças - Research-Finance.com
- Introductory Macro-Econometrics: A new approach - Hendry (2017) (book) (data) (slides)
- An Overview of Forecasting Facing Breaks - Castle, Clements & Hendry (2016)
- Robust Approaches to Forecasting - Castle, Clements & Hendry (2014)
- An Unintended Consequence of Using "Errors in Variables Shocks" in DSGE Models? Pagan (2016)
- Improving the teaching of econometrics - Hendry & Mizon 2016
- Livro de Previsão do Diebod
- Livro de Econometria do Bruce Hansen versão 1/2017 (pdf - kindle)
- Time Series for the 21th Century Bruce Hansen - what topics should be taught to undergraduated students in econometrics time series? (Paper - Slides - Programs)
-
Stock, J. H. & Watson, M.W. (2017) Twenty Years of Time Series Econometrics in Ten Pictures. Journal of Economic Perspectives, 31 (2), pp. 59–86 (paper)
-
Jennifer L. Castle and David F. Hendry. Sir Clive W.J. Granger Memorial Special Issue on Econometrics: An Introduction. European Journal of Pure and Applied Mathematics, v.10, n.1, 1-11, 2017. (link)
- David F. Hendry. Granger Causality - Sir Clive W.J Granger Memorial Special Issue on Econometrics. European Journal of Pure and Applied Mathematics, v.10, n.1, 12-29, 2017. (link)
- Michael P. Clements. Sir Clive W.J. Granger's Contributions to Forecasting. European Journal of Pure and Applied Mathematics, v.10, n.1, 30-57, 2017. (link)
- Jennifer L. Castle and David F. Hendry. Clive W.J Granger and Cointegration. European Journal of Pure and Applied Mathematics, v.10, n.1, 58-81, 2017. (link)
- Ryoko Ito. Long Memory and Fractional Differencing: Revisiting Clive W.J. Granger's Contributions and Further Developments. European Journal of Pure and Applied Mathematics, v.10, n.1, 82-103, 2017. (link)
- Timo Terasvirta. Sir Clive Granger's Contributions to Nonlinear Time Series and Econometrics. European Journal of Pure and Applied Mathematics, v.10, n.1, 104-132, 2017. (link)
- Jennifer L. Castle. Sir Clive W.J Granger Model Selection. European Journal of Pure and Applied Mathematics, v.10, n.1, 133-156, 2017. (link)
Repositório de Programas
- Econometric software
- Página do Doornik - Ox
- Página do Generalized Autoregressive Score Models - GAS
- Programas de Fractional Cointegration do Morten Nielsen
- Programas em Matlab, GAUSS etc do Bruce Hansen
- Pyton for Econometrics - Kevin Sheppard
- Matlab Notes do Kevin Sheppard
- Programas em Matlab e R do livro Econometric Modelling with Time Series
- Resources for Economists on the Internet
- Quantitative Macroeconomic Modeling with Structural Vector Autoregressions - An Eviews Implementation
- Quantitative Economics - Thomas Sargent page
- Timberlake Analytics
Revistas de Econometria e Finanças Brasileiras
Videos