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Econometrics Beat's Blog

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...

Recursions for the Moments of Some Discrete Distributions

April 29, 2019 Comments (0)

You could say, "Moments maketh the distribution". While that's not quite true, it's pretty darn close. The moments of a probability distribution provide key information about the underlying random variable's behaviour, and we use these moments for a multitude of purposes. Before proceeding, let's be sure that we're on the same page here. Some background Suppose that we have a random variable, X, whose distribution function is F(x), where x is some value of X. The following quote comes...

2019 Econometric Game Results

April 29, 2019 Comments (0)

The Econometric Game is over for another year. The winning team for 2019 was from the University of Melbourne. The second and third placed teams were from the Maastricht University and Aarhus University, respectively. Congratulations to the winning teams, and to all who competed this year! © 2019, David E. Giles

A Permutation Test Regression Example

April 29, 2019 Comments (0)

In a post last week I talked a bit about Permutation (Randomization) tests, and how they differ from the (classical parametric) testing procedure that we generally use in econometrics. I'm going to assume that you've read that post. (There may be a snap quiz at some point!) I promised that I'd provide a regression-based example. After all, the two examples that I went through in that previous post were designed to expose the fundamentals of permutation/randomization testing. They really...

SHAZAM!

April 29, 2019 Comments (0)

This past weekend the new movie, Shazam, topped the box-office revenue list with over US$53million - and this is it's first weekend since being released. Not bad! Of course, in the Econometrics World, we associate the word, SHAZAM, with Ken White's famous computing package, which has been with us since 1977.  Ken and I go way back. A few years ago I had a post about the background to the SHAZAM package. In that post I explained what the acronym "SHAZAM" stands for. If you check it out...

EViews 11 Now Available

April 29, 2019 Comments (0)

As you'll know already, I'm a big fan of the EViews econometrics package. I always found it to be a terrific, user-friendly, resource when teaching economic statistics and econometrics, and I use it extensively in my own research. Along with a lot of other EViews users, I recently had the opportunity to "test drive" the beta release of the latest version of this package, EViews 11.  EViews 11 has now been officially released, and it has some great new features. (Click on the links...

Infographics Parades

April 29, 2019 Comments (0)

When I saw Myko Clelland's tweet this morning, my reaction was "Wow! Just, wow!" Myko (@DapperHistorian) kindly pointed me to the source of this photo that he tweeted about: It appears on page 343 of Willard Cope Brinton's book, Graphic Methods for Presenting Facts (McGraw-Hill, 1914). Myko included a brief description in his tweet, but let me elaborate by quoting from pp.342-343 of Brinton's book, and you'll see why I liked the photo so much:"Educational material shown in parades gives...

What is a Permutation Test?

April 29, 2019 Comments (0)

Permutation tests, which I'll be discussing in this post, aren't that widely used by econometricians. However, they shouldn't be overlooked. Let's begin with some background discussion to set the scene. This might seem a bit redundant, but it will help us to see how permutation tests differ from the sort of tests that we usually use in econometrics. Background Motivation When you took your first course in economic statistics, or econometrics, no doubt you encountered some of the basic...