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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...
18 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...
19 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...
20 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...
20 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...
20 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...
20 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...
20 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
20 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...
20 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...
20 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...
20 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...
20 days ago
Econometrics Beat wrote a new blog post titled Forecasting From a Regression with a Square Root Dependent Variable
Back in 2013 I wrote a post that was titled, "Forecasting From Log-Linear Regressions". The basis for that post was the well-known result that if you estimate a linear regression model with the (natural) logarithm of y as the dependent variable, but you're actually interested in forecasting y itself, you don't just report the exponentials of the original forecasts. You need to add an adjustment that takes account of the connection between a Normal random variable and a log-Normal random...
20 days ago
Econometrics Beat wrote a new blog post titled Update for A New Canadian Macroeconomic Database
In a post last November I discussed "A New Canadian Macroeconomic Database". The long-term, monthly, database in question was made available by Olivier Fortin-Gagnon, Maxime Leroux, Dalibor Stevanovic, &and Stéphane Suprenant. Their 2018 working paper, "A Large Canadian Database for Macroeconomic Analysis", provides details and some applications of the new data. Dailbor wrote to me yesterday to say that the database has now been updated. This is great news! Regular updates are crucial...
20 days ago
Econometrics Beat wrote a new blog post titled Forecasting After an Inverse Hyperbolic Sine Transformation
There are all sorts of good reasons why we sometimes transform the dependent variable (y) in a regression model before we start estimating. One example would be where we want to be able to reasonably assume that the model's error term is normally distributed. (This may be helpful for subsequent finite-sample inference.) If the model has non-random regressors, and the error term is additive, then a normal error term implies that the dependent variable is also normally distributed. But it may be...
20 days ago
Econometrics Beat wrote a new blog post titled Some Recommended Econometrics Reading for March
This month I am suggesting some overview/survey papers relating to a variety of important topics in econometrics:Bruns, S. B. & D. I. Stern, 2019. Lag length selection and p-hacking in Granger causality testing: prevalence and performance of meta-regression models. Empirical Economics, 56, 797-830.Casini, A. & P. Perron, 2018. Structural breaks in time series. Forthcoming in Oxford Research Encyclopedia in Economics and Finance. Hendry, D. F. & K. Juselius, 1999. Explaining...
20 days ago
Econometrics Beat wrote a new blog post titled A Terrific New Book on the Linear Model
Recently, it was my distinct pleasure to review a first-class book by David Harville, titled Linear Models and the Relevant Distributions and Matrix Algebra. Here is what I had to say: Linear Models and the Relevant Distributions and Matrix Algebra. David A. Harville, 2018. (Chapman & Hall/CRC, Boca Raton, FL, 2018; ISBN 978-1-138-57833-3; pp. xiii-524) Sometimes you read a book, and you think: ‘Why didn’t someone write this before now?’ This is one of those books. The linear model is...
87 days ago
Econometrics Beat wrote a new blog post titled Misinterpreting Tests, P-Values, Confidence Intervals & Power
There are so many things in statistics (and hence in econometrics) that are easily, and frequently, misinterpreted. Two really obvious examples are p-values and confidence intervals. I've devoted some space in earlier posts to each of these concepts, and their mis-use. For instance, in the case of p-values, see the posts here and here; and for confidence intervals, see here and here. Today I was reading a great paper by Greenland et al. (2016) that deals with some common misconceptions and...
87 days ago
Econometrics Beat wrote a new blog post titled Machine Learning & Econometrics
What is Machine Learning (ML), and how does it differ from Statistics (and hence, implicitly, from Econometrics)? Those are big questions, but I think that they're ones that econometricians should be thinking about. And if I were starting out in Econometrics today, I'd take a long, hard look at what's going on in ML. Here's a very rough answer - it comes from a post by Larry Wasserman on his (now defunct) blog, Normal Deviate:"The short answer is: None. They are both concerned with the same...
87 days ago
Econometrics Beat wrote a new blog post titled February Reading
Now that Groundhog Day is behind us, perhaps we can focus on catching up on our reading?Deboulets, L. D. D., 2018. A review on variable selection in regression. Econometrics, 6(4), 45.Efron, B. & C. Morris, 1977. Stein's paradox in statistics. Scientific American, 236(5), 119-127.Khan, W. M. & A. u I. Khan, 2018. Most stringent test of independence for time series. Communications in Statistics - Simulation and Computation, online.Pedroni, P., 2018. Panel cointegration techniques and...
87 days ago