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Econometrics Beat wrote a new blog post titled Seasonal Unit Roots - Background Information
A recent email query about the language that we use in the context of non-stationary seasonal data, and how we should respond to the presence of "seasonal nit roots", suggested to me that a short background post about some of this might be in order. To get the most from what follows, I suggest that you take a quick look at this earlier post of mine - especially to make sure that you understand the distinction between "deterministic" seasonality" and "stochastic seasonality" in...
13 days ago
Econometrics Beat wrote a new blog post titled July Reading
This month my reading list is a bit different from the usual one. I've taken a look back at past issues of Econometrica and Journal of Econometrics, and selected some important and interesting papers that happened to be published in July issues of those journals. Here's what I came up with for you:Aigner, D., C. A. K. Lovell, & P. Schmidt, 1977. Formulation and estimation of stochastic frontier production function models. Journal of Econometrics, 6, 21-37.Chow, G. C., 1960. Tests of...
18 days ago
Econometrics Beat wrote a new blog post titled Consulting Can be Fun!
Over the years, I've done a modest amount of paid econometrics consulting work - in the U.S., New Zealand, Australia, the U.K., and here in Canada. Each job has been interesting, and rewarding, and I've always learned a great deal form the briefs that I've undertaken. The other day, a friend asked me, "Which consulting job was the most fun?" Actually, the answer was easy! A few years ago I consulted for the Office of the Auditor General of Canada, in Ottawa. I was brought in because I had...
27 days ago
Econometrics Beat wrote a new blog post titled 2019 Edition of the INOMICS Handbook
I'm sure that all readers will be familiar with INOMICS, and the multitude of resources that they make available to economists. The INOMICS Handbook, 2019 is now available, and I commend it to you. This year's edition of the Handbook includes material relating to: The gender bias in the field of economicsThe soft skills you need to succeed as an economistClimate change and how economics can help solve itWhat makes a successful economistAn exclusive interview with Princeton...
29 days ago
Econometrics Beat wrote a new blog post titled More Tributes to Clive Granger
As a follow-up to my recent post, "Clive Granger Special Issue", I received an email from Eyüp Çetin (Editor of the European Journal of Pure and Applied Mathematics). Eyüp kindly pointed out that "......... actually, we published the first special issue dedicated to his memory exactly on 27 May 2010, the first anniversary of his passing at https://www.ejpam.com/index.php/ejpam/issue/view/11  We think this was the first special issue dedicated to his memory in the...
38 days ago
Econometrics Beat wrote a new blog post titled Clive Granger Special Issue
The recently published Volume 10, No. 1 issue of the European Journal of Pure and Applied Mathematics takes the form of a memorial issue for Clive Granger. You can find the Table of Contents here, and all of the articles can be downloaded freely. This memorial issue is co-edited by Jennifer Castle and David Hendry. The contributed papers include ones that deal with Forecasting, Cointegration, Nonlinear Time Series, and Model Selection. This is a fantastic collection of important...
42 days ago
Econometrics Beat wrote a new blog post titled Reading Suggestions for June
Well, here we are - it's June already. Here are my reading suggestions:Abadie, A., S. Athey, G. Imbens, & J. Wooldridge, 2017. When should you adjust standard errors for clustering? Mimeo.Berk, R., A. Buja, L. Brown, E. George, A. K. Kuchibhotla, W. Su, & L, Shazo, 2019. Assumption lean regression. American Statistician, in press.Ghosh, T., M. Ghosh, & T. Kubokawa, 2019. On the loss robustness of least-square estimators, American Statistician, in press.Gustafsson, O. & P....
49 days ago
Econometrics Beat wrote a new blog post titled Update on the "Series of Unsurprising Results in Economics"
In June of last year I had a post about a new journal, Series of Unsurprising Results in Economics (SURE). If you didn't get to read that post, I urge you to do so.  More importantly, you should definitely take a look at this piece by Kelsey Piper, from a couple of days ago, and titled, "This economics journal only publishes results that are no big deal - Here’s how that might save science". Kelsey really understands the rationale for SURE, and the important role that it can...
61 days ago
Econometrics Beat wrote a new blog post titled May Reading List
Here's a selection of suggested reading for this month:Athey, S. & G. W. Imbens, 2019. Machine learning methods economists should know about. Mimeo.Bhagwat, P. & E. Marchand, 2019. On a proper Bayes but inadmissible estimator. American Statistician, online.Canals, C. & A. Canals, 2019. When is n large enough? Looking for the right sample size to estimate proportions. Journal of Statistical Computation and Simulation, 89, 1887-1898.Cavaliere, G. & A. Rahbek, 2019. A primer on...
79 days ago
Econometrics Beat wrote a new blog post titled Recursions for the Moments of Some Continuous Distributions
This post follows on from my recent one, Recursions for the Moments of Some Discrete Distributions. I'm going to assume that you've read the previous post, so this one will be shorter.  What I'll be discussing here are some useful recursion formulae for computing the moments of a number of continuous distributions that are widely used in econometrics. The coverage won't be exhaustive, by any means. I provide some motivation for looking at formulae such as these in the previous post, so I...
80 days ago
Econometrics Beat wrote a new blog post titled Recursions for the Moments of Some Discrete Distributions
You could say, "Moments maketh the distribution". While that's not quite true, it's pretty darn close. The moments of a probability distribution provide key information about the underlying random variable's behaviour, and we use these moments for a multitude of purposes. Before proceeding, let's be sure that we're on the same page here. Some background Suppose that we have a random variable, X, whose distribution function is F(x), where x is some value of X. The following quote comes...
80 days ago
Econometrics Beat wrote a new blog post titled What is a Permutation Test?
Permutation tests, which I'll be discussing in this post, aren't that widely used by econometricians. However, they shouldn't be overlooked. Let's begin with some background discussion to set the scene. This might seem a bit redundant, but it will help us to see how permutation tests differ from the sort of tests that we usually use in econometrics. Background Motivation When you took your first course in economic statistics, or econometrics, no doubt you encountered some of the basic...
80 days ago
Econometrics Beat wrote a new blog post titled A Permutation Test Regression Example
In a post last week I talked a bit about Permutation (Randomization) tests, and how they differ from the (classical parametric) testing procedure that we generally use in econometrics. I'm going to assume that you've read that post. (There may be a snap quiz at some point!) I promised that I'd provide a regression-based example. After all, the two examples that I went through in that previous post were designed to expose the fundamentals of permutation/randomization testing. They really didn't...
80 days ago
Econometrics Beat wrote a new blog post titled SHAZAM!
This past weekend the new movie, Shazam, topped the box-office revenue list with over US$53million - and this is it's first weekend since being released. Not bad! Of course, in the Econometrics World, we associate the word, SHAZAM, with Ken White's famous computing package, which has been with us since 1977.  Ken and I go way back. A few years ago I had a post about the background to the SHAZAM package. In that post I explained what the acronym "SHAZAM" stands for. If you check it out...
80 days ago
Econometrics Beat wrote a new blog post titled EViews 11 Now Available
As you'll know already, I'm a big fan of the EViews econometrics package. I always found it to be a terrific, user-friendly, resource when teaching economic statistics and econometrics, and I use it extensively in my own research. Along with a lot of other EViews users, I recently had the opportunity to "test drive" the beta release of the latest version of this package, EViews 11.  EViews 11 has now been officially released, and it has some great new features. (Click on the links...
80 days ago
Econometrics Beat wrote a new blog post titled 2019 Econometric Game Results
The Econometric Game is over for another year. The winning team for 2019 was from the University of Melbourne. The second and third placed teams were from the Maastricht University and Aarhus University, respectively. Congratulations to the winning teams, and to all who competed this year! © 2019, David E. Giles
80 days ago
Econometrics Beat wrote a new blog post titled The 2019 Econometric Game
The annual World Championship of Econometrics, The Econometric Game, is nearly upon us again! Readers of this blog will be familiar with "The Game" from posts relating to this event in previous years. For example, see here for some 2018 coverage. This year The Econometric Game will be held from 10 to 12 April. As usual, it is being organized by the study association for Actuarial Science, Econometrics & Operational Research (VSAE) of the University of Amsterdam.  Teams of graduate...
80 days ago
Econometrics Beat wrote a new blog post titled A World Beyond p < 0.05
The American Statistical Association has just published a special supplementary issue of The American Statistician, titled Statistical Inference in the 21st. Century: A World Beyond p < 0.05. This entire issue is open-access. In addition to an excellent editorial, Moving to a World Beyond "p < 0.05" (by Ronald Wasserstein, Allen Schirm, and Nicole Lazar) it comprises 43 articles with such titles as:The p-Value Requires Context, Not a Threshold (by Rebecca Betensky)The False...
80 days ago
Econometrics Beat wrote a new blog post titled Infographics Parades
When I saw Myko Clelland's tweet this morning, my reaction was "Wow! Just, wow!" Myko (@DapperHistorian) kindly pointed me to the source of this photo that he tweeted about: It appears on page 343 of Willard Cope Brinton's book, Graphic Methods for Presenting Facts (McGraw-Hill, 1914). Myko included a brief description in his tweet, but let me elaborate by quoting from pp.342-343 of Brinton's book, and you'll see why I liked the photo so much:"Educational material shown in parades gives...
80 days ago
Econometrics Beat wrote a new blog post titled Some April Reading for Econometricians
Here are my suggestions for this month:Hyndman, R. J., 2019. A brief history of forecasting competitions. Working Paper 03/19, Department of Econometrics and Business Statistics, Monash University.Kuffner, T. A. & S. G. Walker, 2019. Why are p-values controversial?. American Statistician, 73, 1-3.Sargan, J. D.,, 1958. The estimation of economic relationships using instrumental variables. Econometrica, 26, 393-415. (Read for free online.)  Sokal, A. D., 1996. Transgressing the...
80 days ago