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Econometrics Beat's Blog

An Overly Confident (Future) Nobel Laureate

August 30, 2011 Comments (0)

For some reason, students often have trouble interpreting confidence intervals correctly. Suppose they're presented with an OLS estimate of 1.1 for a regression coefficient, and an associated 95% confidence interval of [0.9,1.3]. Unfortunately, you sometimes see interpretations along the following lines: There's a 95% probability that the true value of the regression coefficient lies in the interval [0.9,1.3]. This interval includes the true value of the...

Missing Keys and Econometrics

August 29, 2011 Comments (0)

There couldn't possibly be any connection between conducting econometric analysis and looking for your lost keys, could there? Or, maybe there could! Jeff Racine (McMaster U.) put a nice little piece up on his web page at the start of this month. It's titled Find Your Keys Yet?, and has the sub-title "Some Thoughts on Parametric Model Misspecification". Jeff rightly points out some of the difficulties associated with the concept of "the true model" in econometrics, and the importance of...

Levelling the Learning Paying Field

August 27, 2011 Comments (0)

Whenever it comes time to assign a textbook for a course, I get the jitters. It's the price tag that always gets to me! And if it gets to me, then surely it must result in gasps of disbelief from the students (and parents) who are affected by my choices. Often, I can (and do) make sure that the one text I assign can be used for two back-to-back courses. Hopefully, that helps a bit. However, the cost of textbooks can still be a sizeable burden. Then, when students go to...

Reproducible Econometric Research

August 25, 2011 Comments (0)

I doubt if anyone would deny the importance of being able to reproduce one's econometric results. More importantly, other researchers should be able to reproduce our results to verify (a) that we've done what we said we did; (b) to investigate the sensitivity of our results to the various choices we made (e.g., functional form of our model, choice of sample period, etc.); and (c) to satisfy themselves that they understand our analysis. However, if you've ever tried to literally reproduce...

MoneyScience

August 24, 2011 Comments (0)

MoneyScience - which describes itself as "the community resource for Quantitative Finance, Risk Management and Technology Practitioners, Vendors and Academics" - has recently released version 3 of its site. There's a great deal of interesting work going on in "Financial Econometrics", and this is one site that provides really good content and excellent networking facilities that will help keep econometricians up to speed with what is going on in the finance community at large. I'm...

Innovations in Editing

August 24, 2011 Comments (0)

I've posted in the past (here and here about some of my experiences as an academic journal Editor. It has its ups and downs, for sure, but ultimately it's a rewarding job. Preston McAfee (Yahoo! & Caltech) is currently the Editor of Economic Inquiry, where he's introduced some important innovations into the editorial process. He was formerly Co-Editor of American Economic Review. As well as being a highly respected economist, Preston has a wonderful way with words. His thoughts...

Visualizing Random p-Values

August 21, 2011 Comments (0)

Here's a follow-up to yesterday's post on Wolfram's CDF file format. In an earlier post (here) I discussed the fact the p-values are random variables, with their own sampling distribution. A great way of visualizing a number of the points that I made in that post is to use the CDF file for the Mathematica app. written by Ian McLeod (University of Western Ontario). You can run it/download it from here, using Wolfram's free CDF Player (here). You'll recall that a p-value id uniformly...

Interactive Statistics - Wolfram's CDF format

August 21, 2011 Comments (0)

Many of you will be familiar with Wolfram Research, the company that delivers Mathematica, among other things. Last month, they launched their new Computable Document Format (CDF) - it's something I'm going to be using a lot in my undergraduate Economic Statistics course. Here are a few words taken from their press release of July 21: 'Wolfram Research today announced the Computable Document Format (CDF), a new standard to put interactivity at the core of everyday documents and empower...

Themes in Econometrics

August 21, 2011 Comments (0)

There are several things that I recall about the first course in econometrics that I took. I'd already completed a degree in pure math. and mathematical statistics, and along with a number of other students I did a one-year transition program before embarking on a Masters degree in economics. The transition program comprised all of the final-year undergrad. courses offered in economics. As you'd guess, the learning curve was pretty steep in macro. and micro, but I had a comparative advantage...

That Darned Debt!

August 21, 2011 Comments (0)

What with the recent S&P downgrading of the U.S., and the turmoil in the markets, it's difficult to watch the T.V. or read a newspaper without being bombarded with the dreaded "D-word". I was even moved to pitch in myself recently by posting a piece about the issue of units of measurement when comparing debt (a stock) with GDP (a flow). Yesterday, Lisa Evans had nice post titled 20 Outlandish and Informative Ways to Illustrate the U.S. National Debt. I think you'd enjoy...