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Econometrics Beat's Blog

April Reading

April 25, 2018 Comments (0)

Very belatedly, here is my list of suggested reading for April:Biørn, E., 2017. Identification, instruments, omitted variables, and rudimentary models: Fallacies in the "experimental approach" to econometrics. Memorandum No. 13/2017, Department of Economics, Oslo University.Chambers, M. J., and M. Kyriacou, 2018. Jackknife bias reduction in the presence of a near-unit root. Econometrics, 6, 11.Derryberry, D., K. Aho, J. Edwards, and T. Peterson, 2018. Model selection and regression...

The (Undergraduate) (Econo) Metrics Game

March 20, 2018 Comments (0)

In a comment on my recent post about the long-running Econometrics Game for graduate student teams, "BJH" kindly pointed out the existence of a counterpart for undergraduate econometrics students. The "Metrics Game" is a two-day competition organised by OEconomica in association with the University of Chicago’s of Department of Economics and the Becker Friedman Institute.  The 2018 competition is the fourth in the series, and gets underway on 7 April at the University of Chicago....

The Econometric Game, 2018

March 18, 2018 Comments (0)

Readers of this blog will be familiar with The Econometric Game. You'll find my posts about the 2016 and 2017 Games here, and here the first of those posts links to ones about the Games from previous years. The Econometric Game is a competition between teams of graduate students in econometrics. It's organised by the study association for Actuarial Science, Econometrics & Operational Research (VSAE) of the University of Amsterdam, and it has been a terrific success. The Econometric Game...

March Reading List

March 5, 2018 Comments (0)

Annen, K. & S. Kosempel, 2018. Why aid-to-GDP ratios? Discussion Paper 2018-01, Department of Economics and Finance, University of Guelph.Conover, W. J., A. J. Guerrero-Serrano, & V. G. Tercero-Gomez, 2018. An update on 'a comparative study of tests for homogeneity of variance'. Journal of Statistical Computation and Simulation, online.Foroni, C., M. Marcellino, & D. Stevanović, 2018. Mixed frequency models with MA components. Discussion Paper  No. 02/2018, Deutsche...

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...