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Econometrics Beat's Blog

Seasonal Unit Roots - Background Information

July 6, 2019 Comments (0)

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...

July Reading

July 1, 2019 Comments (0)

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...

Consulting Can be Fun!

June 21, 2019 Comments (0)

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...

2019 Edition of the INOMICS Handbook

June 20, 2019 Comments (0)

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...

More Tributes to Clive Granger

June 11, 2019 Comments (0)

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...

Clive Granger Special Issue

June 7, 2019 Comments (0)

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...

Reading Suggestions for June

May 31, 2019 Comments (0)

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....

Update on the "Series of Unsurprising Results in Economics"

May 19, 2019 Comments (0)

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...

May Reading List

May 1, 2019 Comments (0)

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...

Recursions for the Moments of Some Continuous Distributions

April 29, 2019 Comments (0)

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...