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Introduction to QuantLib Development - Intensive 3-day Training Course - September 10-12th, 2018 - Download Registration Form Here

 

Econometrics Beat's Blog

Controlling My Heating Bill Using Bayesian Model Averaging

September 20, 2018 Comments (0)

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...

September Reading List

September 2, 2018 Comments (0)

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)...

An Archival History of the Econometric Society

August 5, 2018 Comments (0)

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

Recommended Reading

August 1, 2018 Comments (0)

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....

Handbook of Quantile Regression

July 15, 2018 Comments (0)

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...

What's in a Journal Name?

July 14, 2018 Comments (0)

Back in 2011 I put together a very light-hearted working paper titled, What's in a (Journal) Name? Here's the associated link. That paper addressed the (obviously) important question: "Is there a a correlation between the ranking of an economics journal and the length of the journal's title?" I analyzed a sample of 159 academic economics journals. Although there was no significant association between journal quality and journal title length for the full sample of data, I did find that...

More on Regression Coefficient Interpretation

July 13, 2018 Comments (0)

I get a lot of direct email requests from people wanting help/guidance/advice of various sorts about some aspect of econometrics or other. I like being able to help when I can, but these requests can lead to some pitfalls -  for both of us. More on that in a moment. Meantime, today I got a question from a Ph.D student, "J", which was essentially the following: " Suppose I have the following regression model              log(yi) = α + βXi + εi ...

Interpreting Dummy Variable Coefficients After Non-Linear Transformations

July 6, 2018 Comments (0)

Dummy variables - ones that take only the values zero and one - are commonly used as regressors in regression models. I've devoted several posts to discussing various aspects of such variables, notably here, but also here, here, and here. When the regression model in question is linear, in both the variables and the parameters, the interpretation of coefficient of such a dummy variable is simple. Suppose that the model takes the form:     yi = α + β Di + Σj γj Xji + εi ...

Some Reading Suggestions for July

July 5, 2018 Comments (0)

Some summertime reading:Chen, T., DeJuan, J., & R. Tian, 2018. Distributions of GDP across versions of  the Penn World Tables: A functional data analysis approach. Economics Letters, in press. Clements, K.W., H. Liu, & Y. Tarverdi, 2018. Alcohol consumption, censorship and misjudgment. Applied Economics, onlineJin, H., S. Zhang, J. Zhang,& H. Hao, 2018. Modified tests for change points in variance in the possible presence of mean breaks. Journal of Statistical...

Shout-Out for Marc Bellemare

July 5, 2018 Comments (0)

If you don't follow Marc Bellemare's blog (shame on you - you should!), then you may not have caught up with his recent posts relating to his series of lectures on "Advanced Econometrics - Causal Inference With Observational Data" at the University of Copenhagen in May of this year. Marc is keeping us all on tenterhooks by "releasing" the slides for these lectures progressively - smart move! So far, the first five of the eight lectures in the series are now available for downloading:Lecture...