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Econometrics Beat's Blog

If it Ain't Broke, Don't Fix It!

October 23, 2011 Comments (0)

For the most part I like engineers. In fact, some of my best friends are engineers. However, there's always the exception that "proves" the rule! Back in 1978 I was appointed to a chair (full professorship) in what was then the Department of Econometrics & Operations Research at Monash University, in Australia. It's now the Department of Econometrics & Business Statistics. It was, and still is, a terrific department to be associated with. My colleagues and our students were wonderful....

Sargent and Sims are Econometricians!

October 21, 2011 Comments (0)

It's official! This year's Economics Nobel laureates, Thomas Sargent and Christopher Sims, are Econometricians! The latest issue of the Royal Statistical Society's Newsletter makes that very point, clearly and repeatedly! So, back off you Empirical Macro. types! Chris Sims certainly teaches grad. courses in Econometric Theory and Time Series, and in his c.v. he describes his areas of research interest as: "econometric theory for dynamic models; macroeconomic theory and...

A Moniacal Economist

October 20, 2011 Comments (0)

"In 1958, A. W. H. Phillips published in Economica what was to become one of the most widely cited articles ever written in economics. To mark the 50th anniversary of the paper, the New Zealand Association of Economists and the Econometric Society hosted the conference “Markets and Models: Policy Frontiers in the A. W. H. Phillips Tradition” in July 2008."(Economica, 2011, Vol 78, p.1) The January  issue of the journal Economica this year was devoted to papers from the A. W. H....

Cook-Book Statistics

October 19, 2011 Comments (0)

In my post yesterday I wrote about a remark made by the well-known statistician, Michael Stephens. Here's another intersting comment from him, referring to his departure from post-World War II England for the U.S.: "Out of the blue came an offer from Case Institute of Technology (now Case-Western Reserve) and off I went to Cleveland. Case had a huge Univac computer, all whirling tapes and flashing lights, and I decided to learn programming. Next to computing was Statistics, so I thought I...

It's All in the Moments

October 18, 2011 Comments (0)

On Thursday afternoons I'm usually to be found at the seminars organized by the Statistics group in our Department of Mathematics and Statistics. It's almost always the highlight of my week. Last week the Thursday gathering was replaced by a very special half-day event on the Friday: a mini-conference to honour the recent retirement of senior UVic statistician, Bill Reed. Organized by Laura Cowen (UVic) and Charmaine Dean (SFU), under the auspices of the Pacific Institute of...

On the Importance of Knowing the Assumptions

October 11, 2011 Comments (0)

I've been pretty vocal in the past about the importance of understanding what conditions need to be satisfied before you start using some fancy new econometric or statistical "tool". Specifically, in my post, "Cookbook Econometrics", I grizzled about so-called "econometrics" courses that simply teach you do "do this", do that", without getting you to understand when these actions may be appropriate. My bottom line: you need to understand what assumptions lie behind such claims as "this...

Congratulations, To Thomas Sargent & Christopher Sims

October 10, 2011 Comments (0)

By now, you'll all know that the 2011 Nobel Prize in Economics has been awarded to Thomas Sargent (New York University) and Christopher Sims (Princeton University). To say that this is well deserved and overdue, is an under-statement. Congratulations! There's not much more that I can really add, except to say to the younger economists out there:Thomas Sargent = "rational expectations". There was a timewhen it seemed that every conference paper had these words in the...

The Rise & Fall of Multicollinearity

October 9, 2011 Comments (0)

Boris Kaiser in the Public Economics Working Group of the Department of Economics, University of Berne in Switzerland writes: "As a frequent reader of your blog, I consider it my honour as well as my duty to point your attention to the following graph: It shows the relative frequency of appearance of the word in the realm of the literature, contained in Google Books, over the last 50 years.  [1960-2011; DG]  Clicking on this link here, you can see how I...

Erratum!

October 7, 2011 Comments (0)

Back in May I posted a piece titled, "Gripe of the Day". With that post I provided some Eviews code to run homoskedasticity tests for Logit and Probit models. Unfortunately, there was a small error in the code. This has now been fixed, and there is a note to this effect on the Code page for this blog, and in the original post. The error affected the test results only at the second or third decimal places. HT to eagle-eyed Sven Steinkamp at Universität Osnabrück  for...

Predicting the 2011 Nobel Laureate in Economic Science

October 6, 2011 Comments (0)

" "This is the Oscars for nerds," says Paul Bracher, a chemist at the California Institute of Technology" (Daniel Strain, Science, 21 September, 2011) I swore I wouldn't do it, but in the end I couldn't stop myself! Everyone else is having their say about next Monday's award of the Economics Nobel Prize, so I couldn't sit on the sidelines any longer. I know it's proper name is "The Sveriges Riksbank Prize in Economic Sciences in Memory of Alfred Nobel", but I'm going to be lax here....