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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...
29 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...
29 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...
29 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...
29 days ago
Econometrics Beat wrote a new blog post titled Bradley Efron and the Bootstrap
Econometricians make extensive use of various forms of "The Bootstrap", thanks to Bradley (Brad) Efron's pioneering work. I've posted about the history of the bootstrap previously - e.g., here, and here. You probably know by now that Brad was awarded The International Prize in Statistics last November - this was only the second time that this prize has been awarded. It's difficult to think of a more deserving recipient. If you want to read an excellent account of Brad's work, and how the...
29 days ago
Econometrics Beat wrote a new blog post titled Shout-out for Mischa Fisher
One of my former grad. students, Mischa Fisher, is currently Chief Economist and Advisor to the Governor of the State of Illinois. In this role he has oversight of a number of State agencies dealing with economics and data science. This week, he had a really nice post on the Datascience.com blog. It's titled "10 Data Science Pitfalls to Avoid". Mischa is very knowledgeable, and he writes extremely well. I strongly recommend that you take a look at his piece. © 2019, David E. Giles
29 days ago
Econometrics Beat wrote a new blog post titled New Year Reading Suggestions for 2019
With a new year upon us, it's time to keep up with new developments - Basu, D., 2018. Can we determine the direction of omitted variable bias of OLS estimators? Working Paper 2018-16, Department of Economics, University of Massachusetts, Amherst.Jiang, B., Y. Lu, & J. Y. Park, 2018. Testing for stationarity at high frequency. Working Paper 2018-9, Department of Economics, University of Sydney. Psaradakis, Z. & M. Vavra, 2018. Normality tests for dependent data: Large-sample and...
29 days ago
Econometrics Beat wrote a new blog post titled December Reading for Econometricians
My suggestions for papers to read during December: Askanazi, R., F. X. Diebold, F. Schorfheide, & M. Shin, 2018. On the comparison of interval forecasts. PIER Working Paper 18-013, Penn. Institute for Economic Research, University of Pennsylvania.Meintanis, S. G., J. Ngatchou-Wandji, & J. Allison, 2018. Testing for serial independence in vector autoregressive models, Statistical Papers, 59, 1379-1410.Milas, C., T. Panagiotidis, & T. Dergiades, 2018. Twitter versus traditional news...
110 days ago
Econometrics Beat wrote a new blog post titled More Long-Run Canadian Economic Data
I was delighted to hear recently from former grad. student, Ryan Macdonald, who has worked at Statistics Canada for some years now. Ryan has been kind enough to draw my attention to all sorts of interesting items from time to time (e.g., see my earlier posts, here and here). I always appreciate hearing from him. His latest email was prompted by my post, A New Canadian macroeconomic Database. Ryan wrote:"I saw your post on long run data and thought you might be interested in a couple of other...
114 days ago
Econometrics Beat wrote a new blog post titled A New Canadian Macroeconomic Database
Anyone who's undertaken empirical macroeconomic research relating to Canada will know that there are some serious data challenges that have to be surmounted. In particular, getting access to long-term, continuous, time series isn't as easy as you might expect. Statistics Canada has been criticized frequently over the years by researchers who find that crucial economic series are suddenly "discontinued", or are re-defined in ways that make it extremely difficult to splice the pieces together...
119 days ago
Econometrics Beat wrote a new blog post titled More Sandwiches, Anyone?
Consider this my Good Deed for the Day! A re-tweet from a colleague whom I follow on Twitter brought an important paper to my attention. I thought I'd share it more widely. The paper is titled, "Small-sample methods for cluster-robust variance estimation and hypothesis testing in fixed effect models", by James Pustejovski (@jepusto) and Beth Tipton (@stats-tipton). It appears in The Journal of Business and Economic Statistics.   You can tell right away, from...
128 days ago
Econometrics Beat wrote a new blog post titled Econometrics Reading for November
In between raking leaves and dealing with some early snow, I've put together this list of suggested reading for you:Beckert, W., 2018. A note on specification testing in some structural regression models. Mimeo., Department of Economics, Mathematics and Statistics, Birkbeck College, University of London.Clarke, D., 2018. A convenient omitted bias formula for treatment effect models. Economics Letters, in press.Liu, Y. & Y. Rho, 2018. On the choice of instruments in mixed frequency...
137 days ago
Econometrics Beat wrote a new blog post titled The Refereeing Process in Economics Journals
The peer-review process is an essential part of academic publishing. We use it in the hope of ensuring the honesty, novelty, importance, and timeliness of published research. The selection of (usually anonymous) referees by a representative of the journal to which a research paper has been submitted for consideration, and the preparation of the reports/reviews by those referees, are key steps in the overall process of the dissemination of research results. There are several different "models"...
163 days ago
Econometrics Beat wrote a new blog post titled A Shout-Out for The Replication Network
In May 2015 I posted about the newly-formed The Replication Network (TRN). Since then, their team has been extremely busy promoting and fostering their objectives to serve "...... as a channel of communication to (i) update scholars about the state of replications in economics, and (ii) establish a network for the sharing  of information and ideas." TRN's "..... goal is to encourage economists and their journals to publish replications." And they're doing a great job! As a...
170 days ago
Econometrics Beat wrote a new blog post titled Essential Fall Reading
Buono, D., G. Kapetanios, M. Marcellino, G. Mazzi, & F. Papailias, 2018. Big data econometrics - Now casting and early estimates. Working paper N. 82, Baffi Carefin Centre for Applied Research on International Markets, Banking, Finance, and Regulation, Bocconi University.Fair, R. C., 2018. Information content of DSGE forecasts. MimeoLewbel, A., 2018. The identification zoo - Meanings of Identification. Forthcoming, Journal of Economic Literature.Pretis, F., J. J. Reade, & G. Sucarrat,...
171 days ago
Econometrics Beat wrote a new blog post titled Controlling My Heating Bill Using Bayesian Model Averaging
Where we live, in rural Ontario, we're not connected to "natural gas". Our home furnace runs on propane, and a local supplier sends a tanker to refill our propane tanks on a regular basis during the colder months. Earlier this month we had to make a decision regarding our contract with the propane retailer. Should we opt for a delivery price that can vary, up or down, throughout the coming fall and winter; or should we "lock in" at a fixed delivery price for the period from October to May of...
182 days ago
Econometrics Beat wrote a new blog post titled September Reading List
This month's list of recommended reading includes an old piece by Milton Friedman that you may find interesting: Broman, K. W. & K. H. Woo, 2017. Data organization in spreadsheets. American Statistician, 72, 2-10.Friedman, M., 1937. The use of ranks to avoid the assumption of normality implicit in the analysis of variance. Journal of the American Statistical Association, 32, 675-701.Goetz, T. & A. Hecq, 2018. Granger causality testing in mixed-frequency VARs with (possibly)...
201 days ago
Econometrics Beat wrote a new blog post titled An Archival History of the Econometric Society
For those of you who have an interest in the history of Econometrics as a discipline - that's all of you, right (?) - there's a fascinating collection of material available at The Econometric Society: An Archival History. As the name suggests, this repository relates to the Econometric Society and the journal Econometrica. It contains all sorts of fascinating facts, correspondence, and the like. © 2018, David E. Giles
229 days ago
Econometrics Beat wrote a new blog post titled Recommended Reading
Here's my reading list for August: Ardia, D., K. Bluteau, & L. F. Hoogerheide, 2018. Methods for computing numerical standard errors: Review and application to value-at-risk estimation. Journal of Time Series Econometrics. Available online.Bauer, D. & A. Maynard, 2012. Persistence-robust surplus-lag Granger causality testing. Journal of Econometrics, 169. 293-300.David, H. A., 2009. A historical note on zero correlation and independence. American Statistician, 63, 185-186.Fisher, T. J....
233 days ago
Econometrics Beat wrote a new blog post titled Handbook of Quantile Regression
Quantile regression is a powerful and flexible technique that is widely used by econometricians and other applied statisticians. In modern terms we tend to date it back to the classic paper by Koenker and Bassett (1978). Recently, I reviewed the Handbook of Quantile Regression. This edited volume comprises a number of important, original, contributions to the quantile regression literature. The various chapters cover a wide range of topics that extend the basic quantile regression set-up. You...
250 days ago