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Econometrics Beat's Blog

A Terrific New Book on the Linear Model

Recently, it was my distinct pleasure to review a first-class book by David Harville, titled Linear Models and the Relevant Distributions and Matrix Algebra. Here is what I had to say: Linear Models and the Relevant Distributions and Matrix Algebra. David A. Harville, 2018. (Chapman & Hall/CRC, Boca Raton, FL, 2018; ISBN 978-1-138-57833-3; pp. xiii-524) Sometimes you read a book, and you think: ‘Why didn’t someone write this before now?’ This is one of those books. The linear model...

Misinterpreting Tests, P-Values, Confidence Intervals & Power

There are so many things in statistics (and hence in econometrics) that are easily, and frequently, misinterpreted. Two really obvious examples are p-values and confidence intervals. I've devoted some space in earlier posts to each of these concepts, and their mis-use. For instance, in the case of p-values, see the posts here and here; and for confidence intervals, see here and here. Today I was reading a great paper by Greenland et al. (2016) that deals with some common misconceptions and...

Now that Groundhog Day is behind us, perhaps we can focus on catching up on our reading?Deboulets, L. D. D., 2018. A review on variable selection in regression. Econometrics, 6(4), 45.Efron, B. & C. Morris, 1977. Stein's paradox in statistics. Scientific American, 236(5), 119-127.Khan, W. M. & A. u I. Khan, 2018. Most stringent test of independence for time series. Communications in Statistics - Simulation and Computation, online.Pedroni, P., 2018. Panel cointegration techniques and...

Econometricians make extensive use of various forms of "The Bootstrap", thanks to Bradley (Brad) Efron's pioneering work. I've posted about the history of the bootstrap previously - e.g., here, and here. You probably know by now that Brad was awarded The International Prize in Statistics last November - this was only the second time that this prize has been awarded. It's difficult to think of a more deserving recipient. If you want to read an excellent account of Brad's work, and how the...

Shout-out for Mischa Fisher

One of my former grad. students, Mischa Fisher, is currently Chief Economist and Advisor to the Governor of the State of Illinois. In this role he has oversight of a number of State agencies dealing with economics and data science. This week, he had a really nice post on the Datascience.com blog. It's titled "10 Data Science Pitfalls to Avoid". Mischa is very knowledgeable, and he writes extremely well. I strongly recommend that you take a look at his piece. © 2019, David E. Giles

Machine Learning & Econometrics

What is Machine Learning (ML), and how does it differ from Statistics (and hence, implicitly, from Econometrics)? Those are big questions, but I think that they're ones that econometricians should be thinking about. And if I were starting out in Econometrics today, I'd take a long, hard look at what's going on in ML. Here's a very rough answer - it comes from a post by Larry Wasserman on his (now defunct) blog, Normal Deviate:"The short answer is: None. They are both concerned with the same...

New Year Reading Suggestions for 2019

With a new year upon us, it's time to keep up with new developments - Basu, D., 2018. Can we determine the direction of omitted variable bias of OLS estimators? Working Paper 2018-16, Department of Economics, University of Massachusetts, Amherst.Jiang, B., Y. Lu, & J. Y. Park, 2018. Testing for stationarity at high frequency. Working Paper 2018-9, Department of Economics, University of Sydney. Psaradakis, Z. & M. Vavra, 2018. Normality tests for dependent data: Large-sample and...

My suggestions for papers to read during December: Askanazi, R., F. X. Diebold, F. Schorfheide, & M. Shin, 2018. On the comparison of interval forecasts. PIER Working Paper 18-013, Penn. Institute for Economic Research, University of Pennsylvania.Meintanis, S. G., J. Ngatchou-Wandji, & J. Allison, 2018. Testing for serial independence in vector autoregressive models, Statistical Papers, 59, 1379-1410.Milas, C., T. Panagiotidis, & T. Dergiades, 2018. Twitter versus traditional news...