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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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  • $\begingroup$ 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. $\endgroup$
    – mark leeds
    Commented Dec 7, 2022 at 15:46
  • $\begingroup$ @markleeds, econbrowser.com? Looks like the blog does not really focus on econometrics. $\endgroup$ Commented Dec 7, 2022 at 15:59
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    $\begingroup$ No. It doesn't. I just thought you might be interested. I can't think of other ones like Dave's. That was a gem. $\endgroup$
    – mark leeds
    Commented Dec 9, 2022 at 5:14

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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.

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Matt Bogard has interesting econometrics blog. I think it could be a possible substitute.

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  • $\begingroup$ 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! $\endgroup$ Commented Dec 11, 2022 at 18:47

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