It's interesting to dwell on the popularity of different estimators that econometricians use. Some estimators are "in vogue" for a period, and then give way to others as new developments come along. Different topics have captured the attention of theoreticians and practitioners alike at different times in history. Here's a Google Ngram showing the extent to which some familiar estimators for simultaneous equations models have been mentioned in books since 1960: Not too...

Today being Mothers' Day in many parts of the world, I thought that flowers would be appropriate. Well, a price index for (Gardens, Plants, and) Flowers. Specifically, a harmonized price index for these goods for 27 European Union countries. I retrieved the monthly data for the period January 2006 to March 2013 from Quandl.com - a really nice resource that I posted about recently.  As well as downloading the data in various formats, reading the data from R, etc., you can also...

A paper of mine appears in the latest issue of the Chilean Journal of Statistics. The paper is titled, "Exact asymptotic goodness-of-fit testing for discrete circular data with applications. I've posted previously about this general topic, here, here and here. © 2013, David E. Giles

Marcus Beck has a nice (& relatively new) blog called R is My Friend. You can guess that his posts relate to the use of R. I particularly liked his piece on the use of the XML package in R to mine data from the internet; and his post on using the integrate function in R, even when the anti derivative has no closed-form solution. Grad. student readers will also like his post, How Long is the Average Dissertation. My own take on a related question can be found here. ©...

André Richter wrote to me from Germany, commenting on the reporting of robust standard errors in the context of nonlinear models such as Logit and Probit. He said he 'd been led to believe that this doesn't make much sense. I told him that I agree, and that this is another of my "pet peeves"! Yes, I do get grumpy about some of the things I see so-called "applied econometricians" doing all of the time. For instance, see my Gripe of the Day post back in 2011. Sometimes I feel as if I...

"Turn on the economy". That's one of the invitations issued to (web) visitors to the museum of New Zealand's central bank - The Reserve Bank of New Zealand. Accepting this invitation will allow you to see a virtual version of Bill Phillips' famous MONIAC computer at work, and to "play" with the economy yourself. Doesn't that appeal to you? Bill Phillips - "the Indiana Jones of Economics" - gave us "the Phillips Curve", of course. However, the MONIAC computer was a revolutionary...

All students of economics have heard about The Phillips Curve in one of its forms or another. The Phillips Curve is named after A. W. H. (Bill) Phillips, a remarkable New Zealander who made a number of fundamental contributions. His work, undertaken largely at the London School of Economics, dealt with stabilization policy, and modelling in continuous time, to name just two topics. Bill Phillips was quite a character, and his varied life has been amply documented in various places. His...

Here are some of the papers I;ve been reading in the past few days: Majid M. Al-Sadoon, 2013. Geometric and long run aspects of Granger causality. Discussion Paper, Barcelona Graduate School of Economics. David Ardia & Lennart Hoogerheide, 2013. GARCH models for daily stock returns: Impact of estimation frequency on value-at-risk and expected shortfall forecasts. Tinbergen Institute Discussion Paper.  Kazuhito Higa, 2013. Estimating upward bias in the Japanese CPI using Engel's law....

I'm always keeping my eyes open for new or different resources that I can integrate into my Economic Statistics and Econometrics courses. For example, as I've mentioned before in previous posts (here and here), I've been really pleased with what I've been able to achieve with Wolfram's cdf files. In my undergrad. Statistical Inference course I also refer the students to some of the excellent mini-lectures by Keith Bower. I find his presentations to be clear and (very importantly)...

Looking through the papers that are "in press" at Economics Letters today, I came across a paper by Anthony Landry, titled "Borders and Big Macs". (The link is to the working paper version.) Here's the abstract: "I provide new estimates of border frictions for 14 countries using local, national, and international Big Mac prices. I find that borders generally introduce only small price wedges, far smaller than those observed across New York City neighboring locations." This led me to wonder...