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Home Page of Jonathan B. Hill

Associate Professor of Economics

University of North Carolina – Chapel Hill

CV (pdf)

Published Papers

Working Papers

Papers on SSRN

Software

Courses Taught

 

LINKS

 

SOFTWARE (for research papers)

 

Multi-Step Ahead Rolling Window Causality Tests

 

Gauss code for Hill, J.B. (2007). Efficient Tests of Long-Run Causation in Trivariate VAR Processes with a Rolling Window Study of the Money-Income Relationship, Journal of Applied Econometrics 22, 747-765.

 

 

Rolling Window Bivariate Causality Tests

 

This program is a simplified version of the above program, designed for a bivariate process W = [X,Y]’ where X and Y may have any dimension.

 

 

Robust Non-Parametric Tail Dependence Estimation and Inference

 

Gauss code for Hill, J.B. (2009). Robust Estimation and Inference for Extremal Dependence in Time Series, Working Paper, UNC.

 

 

Tail Index Estimation with Robust Nonparametric Inference

 

Gauss code for Hill, J.B. (2010). On Tail Index Estimation for Dependent, Heterogeneous Data, Econometric Theory 26, 1398-1436.

 

 

Least Tail-Trimmed Squares

 

Gauss code for Hill, J.B. (2012). Least Tail-Trimmed Squares for Infinite Variance Autoregresions, Journal of Time Series Analysis 34, 168-186.

 

 

Quasi-Maximum Tail-Trimmed Likelihood

 

Gauss code for Hill, J.B. (2014). Robust Estimation and Inference for Heavy Tailed GARCH, Bernoulli: forthcoming

 

 

 

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Econometrics Workshops

 UNC/Triangle

 Duke/NCSU

 

Software

Gauss Code List

Gauss Links

 

Econometrics Links

Econometrics Links

Econometrics Books

Resources for Students

Resources on the Net

Texts and Notes

Resources E'metrics and Fin.

Econometrics Texts

Econometricians

 

Data Sources

Data Links

 

Research Resources

Web of Science

JSTOR

EconLit, MathSciNet

NBER Working Papers

CEPR Discussion Papers

EconWPA, EconPapers

Econbase, Authors

CiteSeer, RePEc, IDEAS

Eco5.com

 

Journals

J. Amer. Stat. Assoc.

J. Royal Stat. Soc. B

Annals of Statistics

Annals of Probability

Bernoulli

Econometric Theory

Econometrica

 

Statistics Links

General Links

Liens Statisitique

Journals

American Statistical Association

Joint Statistical Meetings

Statistical Society of Canada

 

Miscellaneous Links

Academic

Economics Dept.'s

American Universities

Canadian Universities

European Universities

 

Personal (places I’ve lived)

Nicaragua

Madrid

Beijing

Tilburg

Boulder

San Fran.

San Diego

Miami

Seattle

Nürmberg

 

Personal (favorite places)

Montreal

Quebec City

Bergen

Tromso

Eureka

Cape Anne

The Giddings

Heidelberg

Delft

Cat Ba

Edinburg

Amsterdam

Point Reyes

Big Sur

Toledo Spain

Connemara

Boulder

Telluride

 

Photos

Boulder in Snow

Point Reyes

Telluride Bridge

Craig na Managh

North Carolina Fall

Colorado Rockies

Cibola National Forest

Rain in Rockies

Telluride Aspen

Woods near NC home

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

      

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