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Econometrics Beat's Blog

Another Shout-Out for The Replication Network

October 22, 2017 Comments (0)

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...

Recommended Reading for October

October 4, 2017 Comments (0)

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....

How Good is That Random Number Generator?

September 28, 2017 Comments (0)

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...

Misclassification in Binary Choice Models

September 22, 2017 Comments (0)

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...

Monte Carlo Simulations & the "SimDesign" Package in R

September 20, 2017 Comments (0)

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,...

Econometrics Reading List for September

September 10, 2017 Comments (0)

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...

My August Reading List

July 31, 2017 Comments (0)

Here are some suggestions for you:Calzolari, G., 2017. Econometrics exams and round numbers: Use or misuse of indirect estimation methods? Communications in Statistics - Simulation and Computation, in press.Chakraborti, S., F. Jardim, & E. Epprecht, 2017. Higher order moments using the survival function: The alternative expectation formula. American Statistician, in press.Clarke, J. A., 2017. Model averaging OLS and 2SLS: An application of the WALS procedure. Econometrics Working Paper...

The Bandwidth for the KPSS Test

July 12, 2017 Comments (0)

Recently, I received an email from a follower of this blog, who asked: "May I know what is the difference between the bandwidth of Newey-West and Andrews for the KPSS test. It is because when I test the variable with Newey-West, it is I(2), but then I switch the bandwidth to Andrews, it becomes I(1)."First of all, it's worth noting that the unit root and stationarity tests that we commonly use can be very sensitive to the way in which they're constructed and applied. An obvious example arises...

Canada Day Reading List

July 1, 2017 Comments (0)

I was tempted to offer you a list of 150 items, but I thought better of it! Hamilton, J. D., 2017. Why you should never use the Hodrick-Prescott filter. Mimeo., Department of Economics, UC San Diego.Jin, H. and S. Zhang, 2017. Spurious regression between long memory series due to mis-specified structural breaks. Communications in Statistics - Simulation and Computation, in press.Kiviet, J. F., 2016. Testing the impossible: Identifying exclusion restrictions.Discussion Paper 2016/03, Amsterdam...