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Econometrics Beat's Blog

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 World Beyond p < 0.05

April 29, 2019 Comments (0)

The American Statistical Association has just published a special supplementary issue of The American Statistician, titled Statistical Inference in the 21st. Century: A World Beyond p < 0.05. This entire issue is open-access. In addition to an excellent editorial, Moving to a World Beyond "p < 0.05" (by Ronald Wasserstein, Allen Schirm, and Nicole Lazar) it comprises 43 articles with such titles as:The p-Value Requires Context, Not a Threshold (by Rebecca Betensky)The...

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...

Some April Reading for Econometricians

April 29, 2019 Comments (0)

Here are my suggestions for this month:Hyndman, R. J., 2019. A brief history of forecasting competitions. Working Paper 03/19, Department of Econometrics and Business Statistics, Monash University.Kuffner, T. A. & S. G. Walker, 2019. Why are p-values controversial?. American Statistician, 73, 1-3.Sargan, J. D.,, 1958. The estimation of economic relationships using instrumental variables. Econometrica, 26, 393-415. (Read for free online.)  Sokal, A. D., 1996. Transgressing the...

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...

Forecasting After an Inverse Hyperbolic Sine Transformation

April 29, 2019 Comments (0)

There are all sorts of good reasons why we sometimes transform the dependent variable (y) in a regression model before we start estimating. One example would be where we want to be able to reasonably assume that the model's error term is normally distributed. (This may be helpful for subsequent finite-sample inference.) If the model has non-random regressors, and the error term is additive, then a normal error term implies that the dependent variable is also normally distributed. But it may...

The 2019 Econometric Game

April 29, 2019 Comments (0)

The annual World Championship of Econometrics, The Econometric Game, is nearly upon us again! Readers of this blog will be familiar with "The Game" from posts relating to this event in previous years. For example, see here for some 2018 coverage. This year The Econometric Game will be held from 10 to 12 April. As usual, it is being organized by the study association for Actuarial Science, Econometrics & Operational Research (VSAE) of the University of Amsterdam.  Teams of...

Update for A New Canadian Macroeconomic Database

April 29, 2019 Comments (0)

In a post last November I discussed "A New Canadian Macroeconomic Database". The long-term, monthly, database in question was made available by Olivier Fortin-Gagnon, Maxime Leroux, Dalibor Stevanovic, &and Stéphane Suprenant. Their 2018 working paper, "A Large Canadian Database for Macroeconomic Analysis", provides details and some applications of the new data. Dailbor wrote to me yesterday to say that the database has now been updated. This is great news! Regular updates are...

Some Recommended Econometrics Reading for March

April 29, 2019 Comments (0)

This month I am suggesting some overview/survey papers relating to a variety of important topics in econometrics:Bruns, S. B. & D. I. Stern, 2019. Lag length selection and p-hacking in Granger causality testing: prevalence and performance of meta-regression models. Empirical Economics, 56, 797-830.Casini, A. & P. Perron, 2018. Structural breaks in time series. Forthcoming in Oxford Research Encyclopedia in Economics and Finance. Hendry, D. F. & K. Juselius, 1999. Explaining...

Forecasting From a Regression with a Square Root Dependent Variable

April 29, 2019 Comments (0)

Back in 2013 I wrote a post that was titled, "Forecasting From Log-Linear Regressions". The basis for that post was the well-known result that if you estimate a linear regression model with the (natural) logarithm of y as the dependent variable, but you're actually interested in forecasting y itself, you don't just report the exponentials of the original forecasts. You need to add an adjustment that takes account of the connection between a Normal random variable and a log-Normal random...