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Econometrics Beat wrote a new blog post titled Results of the Econometric Game, 2018
In a recent post I mentioned the 2018 "edition" of The Econometric Game, which was held in Amsterdam earlier this month. In random order, the finalists, after the first two days' of competition, were the teams representing: Aarhus University Erasmus Universiteit Rotterdam Harvard University Lund University McGill University Universiteit van Tilburg Universiteit van Amsterdam University Carlos III Madrid University of Bristol University of Toronto These teams then competed in a further one-day...
30 days ago
Econometrics Beat wrote a new blog post titled April Reading
Very belatedly, here is my list of suggested reading for April:Biørn, E., 2017. Identification, instruments, omitted variables, and rudimentary models: Fallacies in the "experimental approach" to econometrics. Memorandum No. 13/2017, Department of Economics, Oslo University.Chambers, M. J., and M. Kyriacou, 2018. Jackknife bias reduction in the presence of a near-unit root. Econometrics, 6, 11.Derryberry, D., K. Aho, J. Edwards, and T. Peterson, 2018. Model selection and regression...
31 days ago
Econometrics Beat wrote a new blog post titled The (Undergraduate) (Econo) Metrics Game
In a comment on my recent post about the long-running Econometrics Game for graduate student teams, "BJH" kindly pointed out the existence of a counterpart for undergraduate econometrics students. The "Metrics Game" is a two-day competition organised by OEconomica in association with the University of Chicago’s of Department of Economics and the Becker Friedman Institute.  The 2018 competition is the fourth in the series, and gets underway on 7 April at the University of Chicago. It's...
67 days ago
Econometrics Beat wrote a new blog post titled The Econometric Game, 2018
Readers of this blog will be familiar with The Econometric Game. You'll find my posts about the 2016 and 2017 Games here, and here the first of those posts links to ones about the Games from previous years. The Econometric Game is a competition between teams of graduate students in econometrics. It's organised by the study association for Actuarial Science, Econometrics & Operational Research (VSAE) of the University of Amsterdam, and it has been a terrific success. The Econometric Game has...
68 days ago
Econometrics Beat wrote a new blog post titled March Reading List
Annen, K. & S. Kosempel, 2018. Why aid-to-GDP ratios? Discussion Paper 2018-01, Department of Economics and Finance, University of Guelph.Conover, W. J., A. J. Guerrero-Serrano, & V. G. Tercero-Gomez, 2018. An update on 'a comparative study of tests for homogeneity of variance'. Journal of Statistical Computation and Simulation, online.Foroni, C., M. Marcellino, & D. Stevanović, 2018. Mixed frequency models with MA components. Discussion Paper  No. 02/2018, Deutsche...
81 days ago
Econometrics Beat wrote a new blog post titled Recommended Reading for February
Here are some reading suggestions:Bruns, S. B., Z. Csereklyei, & D. I. Stern, 2018. A multicointegration model of global climate change. Discussion Paper No. 336, Center for European, Governance and Economic Development Research, University of Goettingen.Catania, L. & S. Grassi, 2017. Modelling crypto-currencies financial time-series. CEIS Tor Vegata, Research Paper Series, Vol. 15, Issue 8, No. 417.Farbmacher, H., R. Guber, & J. Vikström, 2018. Increasing the credibility of...
104 days ago
Econometrics Beat wrote a new blog post titled Economic Goodness-of-Fit
What do we mean by a "significant result" in econometrics? The distinction between "statistical significance" and "economic significance" has received a good deal of attention in the literature. And rightly so. Think about the estimated coefficients in a regression model, for example. Putting aside the important issue of the choice of a significance level when considering statistical significance, we all know that results that are significant in the latter sense may or may not be...
104 days ago
Econometrics Beat wrote a new blog post titled ASA Symposium on Statistical Inference - Recorded Sessions
In October of last year, the American Statistical Association held a two-day Symposium on Statistical Inference in Bethesda, MD. The symposium was sub-titled, Scientific Method for the 21st. Century: A World Beyond p < 0.05. That gives you some idea of what it was about. The ASA has now released video recordings of several of the sessions at the symposium, and you can find them here. The video sessions include: "Why Is Eliminating P-Values So Hard? Reflections on Science and...
107 days ago
Econometrics Beat wrote a new blog post titled Bayesian Econometrics Slides
Over the years, I included material on Bayesian Econometrics in various courses that I taught - especially at the grad. level. I retired from teaching last year, and I thought that some of you might be interested in the slides that I used when I taught a Bayesian Econometrics topic for the last time. I hope that you find them useful. 1. General Background2. Constructing Prior Distributions 3. Properties of Bayes Estimators and Tests 4. Bayesian Inference for the Linear Regression...
112 days ago
Econometrics Beat wrote a new blog post titled Econometrics Readng for the New Year
Another year, and lots of exciting reading! Davidson, R. & V. Zinde-Walsh, 2017. Advances in specification testing. Canadian Journal of Economics, online.Dias, G. F. & G. Kapetanios, 2018. Estimation and forecasting in vector autoregressive moving average models for rich datasets. Journal of Econometrics, 202, 75-91.  González-Estrada, E. & J. A. Villaseñor, 2017. An R package for testing goodness of fit: goft. Journal of Statistical Computation and Simulation,...
143 days ago
Econometrics Beat wrote a new blog post titled Interpolating Statistical Tables
We've all experienced it. You go to use a statistical table - Standard Normal, Student-t, F, Chi Square - and the line that you need simply isn't there in the table. That's to say the table simply isn't detailed enough for our purposes. One question that always comes up when students are first being introduced to such tables is: "Do I just interpolate linearly between the nearest entries on either side of the desired value?"Not that these exact words are used, typically. For instance,...
145 days ago
Econometrics Beat wrote a new blog post titled Reading for the Holidays
Here are some suggestions for your Holiday reading:Athey, S. and G. Imbens, 2016. The state of econometrics - Causality and policy evaluation. Mimeo., Graduate School of Business, Stanford University.Cook, J. D., 2010. Testing a random number generator. Chapter 10, in T. Rily and A. Goucher (eds.), Beautiful Testing, O' Reilly Media, Sebastol, CA. Ivanov, V. and L. Kilian, 2005. A practitioner's guide to lag order selection for VAR impulse response analysis. Studies in Nonlinear...
162 days ago
Econometrics Beat wrote a new blog post titled Econometrics Reading List for November
Some suggestions........ Garcia, J. and D. E. Ramirez, 2017. The successive raising estimator and its relation with the ridge estimator. Communications in Statistics - Theory and Methods, 46, 11123-11142.Silva, I. R., 2017. On the correspondence between frequentist and Bayesian tests. Communications in Statistics - Theory and Methods, online.Steel, M. F. J., 2017. Model averaging and its use in economics. MPRA Paper No. 81568.Teräsvirta, T., 2017. Nonlinear models in macroeconometrics....
202 days ago
Econometrics Beat wrote a new blog post titled Another Shout-Out for The Replication Network
Replication in empirical economics is vitally important, and I'm delighted to be a member of The Replication Network. I've mentioned this group in previous blog posts - for instance, here and here. The list of members of TRN continues to grow - why not consider becoming a member your self? Here's the link that you need to do so.  The TRN website includes some excellent guest blog posts, the latest of which is about a new journal dedicated to the replication of economic research. The post...
216 days ago
Econometrics Beat wrote a new blog post titled November Reading
ftp://ftp.econ.au.dk/creates/rp/17/rp17_32.pdf http://www.tandfonline.com/doi/full/10.1080/03610926.2016.1260738 © 2017, David E. Giles
228 days ago
Econometrics Beat wrote a new blog post titled Recommended Reading for October
Andor, N. & C. Parmeter, 2017. Pseudolikelihood estimation of the stochastic frontier model. Ruhr Economic Papers #693.Chalak, K., 2017. Instrumental variables methods with heterogeneity and mismeasured instruments. Econometric Theory, 33, 69-104.Kim, J. H. & I. Choi, 2017. Unit roots in economic and financial time series: A re-evaluation at the decision-based significance levels. Econometrics, 56 (3), 41.Owen, A. B., 2017. Statistically efficient thinning of a Markov chain sampler....
234 days ago
Econometrics Beat wrote a new blog post titled How Good is That Random Number Generator?
Recently, I saw a reference to an interesting piece from 2013 by Peter Grogono, a computer scientist now retired from Concordia University. It's to do with checking the "quality" of a (pseudo-) random number generator. Specifically, Peter discusses what he calls "The Pickover Test". This refers to the following suggestion that he attributes to Clifford Pickover (1995, Chap. 31):"Pickover describes a simple but quite effective technique for testing RNGs visually. The idea is to generate random...
240 days ago
Econometrics Beat wrote a new blog post titled Misclassification in Binary Choice Models
Several years ago I wrote a number of posts about Logit and Probit models, and the Linear Probability Model LPM). One of those posts (also, see here) dealt with the problems that arise if you mis-classify the dependent variable in such models.  That is, in the binary case, if some of your "zeroes" should be "ones", and/or vice versa. In a conventional linear regression model, measurement errors in the dependent variable are not a biog deal. However, the situation is quite...
246 days ago
Econometrics Beat wrote a new blog post titled Monte Carlo Simulations & the "SimDesign" Package in R
Past posts on this blog have included several relating to Monte Carlo simulation - e.g., see here, here, and here. Recently I came across a great article by Matthew Sigal and Philip Chalmers in the Journal of Statistics Education. It's titled, "Play it Again: Teaching Statistics With Monte Carlo Simulation", and the full reference appears below. The authors provide a really nice introduction to basic Monte Carlo simulation, using R. In particular, they contrast using a "for loop" approach,...
248 days ago
Econometrics Beat wrote a new blog post titled Econometrics Reading List for September
A little belatedly, here is my September reading list: Benjamin, D. J. et al., 2017. Redefine statistical significance. Pre-print.Jiang, B., G. Athanasopoulos, R. J. Hyndman, A. Panagiotelis, and F. Vahid, 2017. Macroeconomic forecasting for Australia using a large number of predictors. Working Paper 2/17, Department of Econometrics and Business Statistics, Monash University.Knaeble, D. and S. Dutter, 2017. Reversals of least-square estimates and model-invariant estimations for directions of...
258 days ago