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Econometrics Beat's Blog

Recommended Reading for February

February 11, 2018 Comments (0)

Here are some reading suggestions:Bruns, S. B., Z. Csereklyei, & D. I. Stern, 2018. A multicointegration model of global climate change. Discussion Paper No. 336, Center for European, Governance and Economic Development Research, University of Goettingen.Catania, L. & S. Grassi, 2017. Modelling crypto-currencies financial time-series. CEIS Tor Vegata, Research Paper Series, Vol. 15, Issue 8, No. 417.Farbmacher, H., R. Guber, & J. Vikström, 2018. Increasing the credibility of...

Economic Goodness-of-Fit

February 10, 2018 Comments (0)

What do we mean by a "significant result" in econometrics? The distinction between "statistical significance" and "economic significance" has received a good deal of attention in the literature. And rightly so. Think about the estimated coefficients in a regression model, for example. Putting aside the important issue of the choice of a significance level when considering statistical significance, we all know that results that are significant in the latter sense may or may not be...

ASA Symposium on Statistical Inference - Recorded Sessions

February 8, 2018 Comments (0)

In October of last year, the American Statistical Association held a two-day Symposium on Statistical Inference in Bethesda, MD. The symposium was sub-titled, Scientific Method for the 21st. Century: A World Beyond p < 0.05. That gives you some idea of what it was about. The ASA has now released video recordings of several of the sessions at the symposium, and you can find them here. The video sessions include: "Why Is Eliminating P-Values So Hard? Reflections on Science and...

Bayesian Econometrics Slides

February 3, 2018 Comments (0)

Over the years, I included material on Bayesian Econometrics in various courses that I taught - especially at the grad. level. I retired from teaching last year, and I thought that some of you might be interested in the slides that I used when I taught a Bayesian Econometrics topic for the last time. I hope that you find them useful. 1. General Background2. Constructing Prior Distributions 3. Properties of Bayes Estimators and Tests 4. Bayesian Inference for the Linear Regression...

Econometrics Readng for the New Year

January 2, 2018 Comments (0)

Another year, and lots of exciting reading! Davidson, R. & V. Zinde-Walsh, 2017. Advances in specification testing. Canadian Journal of Economics, online.Dias, G. F. & G. Kapetanios, 2018. Estimation and forecasting in vector autoregressive moving average models for rich datasets. Journal of Econometrics, 202, 75-91.  González-Estrada, E. & J. A. Villaseñor, 2017. An R package for testing goodness of fit: goft. Journal of Statistical Computation and Simulation,...

Interpolating Statistical Tables

January 1, 2018 Comments (0)

We've all experienced it. You go to use a statistical table - Standard Normal, Student-t, F, Chi Square - and the line that you need simply isn't there in the table. That's to say the table simply isn't detailed enough for our purposes. One question that always comes up when students are first being introduced to such tables is: "Do I just interpolate linearly between the nearest entries on either side of the desired value?"Not that these exact words are used, typically. For...

Reading for the Holidays

December 15, 2017 Comments (0)

Here are some suggestions for your Holiday reading:Athey, S. and G. Imbens, 2016. The state of econometrics - Causality and policy evaluation. Mimeo., Graduate School of Business, Stanford University.Cook, J. D., 2010. Testing a random number generator. Chapter 10, in T. Rily and A. Goucher (eds.), Beautiful Testing, O' Reilly Media, Sebastol, CA. Ivanov, V. and L. Kilian, 2005. A practitioner's guide to lag order selection for VAR impulse response analysis. Studies in Nonlinear...

Econometrics Reading List for November

November 5, 2017 Comments (0)

Some suggestions........ Garcia, J. and D. E. Ramirez, 2017. The successive raising estimator and its relation with the ridge estimator. Communications in Statistics - Theory and Methods, 46, 11123-11142.Silva, I. R., 2017. On the correspondence between frequentist and Bayesian tests. Communications in Statistics - Theory and Methods, online.Steel, M. F. J., 2017. Model averaging and its use in economics. MPRA Paper No. 81568.Teräsvirta, T., 2017. Nonlinear models in macroeconometrics....

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...