I’m Gray Calhoun, an Assistant Professor in the Economics Department at Iowa State. I work on Econometric theory, especially time series and applications to forecasting and forecast evaluation. I graduated with a PhD from UC San Diego in 2009, where I worked with Graham Elliott and Allan Timmermann.
Email: «gcalhoun at iastate dot edu» (university) and «gray at clhn dot org» (personal email and IM)
Office: 467 Heady Hall, (515) 294-6271.
Schedule for 2015–2016: I'm teaching Tuesdays and Thursdays both Fall and Spring semesters, 9–11 in the Fall and 2–3:30 in the Spring. Office hours are held in my office for 45 minutes or so after the lecture.
This website was last updated on 2015-08-13.
Out-of-sample comparisons of overfit models (2014-03-30, revise and resubmit at Quantitative Economics) with supplemental appendix and source code archive. Iowa State University Economics Department Working Paper #11002.
Block bootstrap consistency under weak assumptions (2014-10-06, revise and resubmit at Econometric Theory) with supplemental appendix. Iowa State University Economics Department Working Paper #11017.
Improved stepdown methods for asymptotic control of generalized error rates (2015-04-27, revise and resubmit at Journal of Econometrics) with source code archive.
An asymptotically normal out-of-sample test based on mixed estimation windows (2015-01-09, revise and resubmit at Econometrica) with appendix and source code archive.
A graphical analysis of causality in the Reinhart-Rogoff dataset (2015-07-19) with source code archive. Iowa State University Economics Department Working Paper #15014. (This is a more formal version of a blog post I had written earlier.)
Graphing better Impulse Response Functions for discrete-time linear models, joint with Seth Pruitt (2015-03-27) with source code archive.
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