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Econometrics Beat's Blog

Flip a Coin - FIML or 3SLS ?

August 21, 2011 Comments (0)

When it comes to choosing an estimator or a test in our econometric modelling, sometimes there are pros and cons that have to weighted against each other. Occasionally we're left with the impression that the final decision may as well be based on computational convenience, or even the flip of a coin. In fact, there's usually some sound basis for selecting one potential estimator or test over an alternative one. Let's take the case where we're estimating a structural simultaneous...

Being Normal is Optional!

August 21, 2011 Comments (0)

One of the cardinal rules of teaching is that you should never provide information that you know you're going to have to renege on in a later course. When you're teaching econometrics, I know that you can't possibly cover all of the details and nuances associated with key results when you present them at an introductory level. One of the tricks, though, is to try and present results in a way that doesn't leave the student with something that subsequently has to be "unlearned",...

The Article of the Future

August 21, 2011 Comments (0)

The standard format for academic journal articles is pretty much "tried and true": Abstract; Introduction; Methodology; Data; Results; Conclusions. There are variations on this. of course, depending on the discipline in question. When it comes to journals that publish research in econometrics, it's difficult to think of innovations that have taken advantage of developments in technology in the past few years. O.K., so you can follow your favourite journal on Twitter or Facebook - but when you...

Galton Centenary

August 21, 2011 Comments (0)

The words "regression" and "correlation" trip off our tongues on a daily basis - if not more frequently. Both of them can be attributed to the British polymath, Sir Francis Galton (1822 - 1911). I've blogged a little bit about Galton rpreviously, in The Origin of Our Species. To commemorate the centenary of his death on 17 January 1911, statisticians are honouring Galton's impressive contributions this year. Putting aside Galton's promotion of eugenics, there is still much to...

Moving Average Errors

August 21, 2011 Comments (0)

"God made X (the data), man made all the rest (especially ε, the error term)." Emanuel Parzen A while back I was asked if I could provide some examples of situations where the errors of a regression model would be expected to follow a moving average process.  Introductory courses in econometrics always discuss the situation where the errors in a model are correlated, implying that the associated covariance matrix is non-scalar. Specifically, at least some of...

Maximum Likelihod Estimation is Invariably Good!

August 21, 2011 Comments (0)

In a recent post I talked a bit about some of the (large sample) asymptotic properties of Maximum Likelihood Estimators (MLEs). With some care in its construction, the MLE will be consistent, asymptotically efficient, and asymptotically normal.These are all desirable statistical properties. Most of you will be well aware that MLEs also enjoy an important, and very convenient, algebraic property - we usually call it "invariance". However, you may not know that this property...

National Debt & Regression Models - Units of Measurement Matter!

August 21, 2011 Comments (0)

In a recent post, titled "Debt and Delusion", Robert Shiller draws attention to a very important point amid the current bombardment of news about the debt crisis (crises?). Referring to the situation in Greece, he comments:  "Here in the US, it might seem like an image of our future, as public debt comes perilously close to 100% of annual GDP and continues to rise. But maybe this image is just a bit too vivid in our imaginations. Could it be that people think that a country becomes...

On the Importance of Going Global

August 21, 2011 Comments (0)

Since being proposed by Sir Ronald Fisher in a series of papers during the period 1912 to 1934 (Aldrich, 1977), Maximum Likelihood Estimation (MLE) has been one of the "workhorses" of statistical inference, and so it plays a central role in econometrics. It's not the only game in town, of course, especially if you're of the Bayesian persuasion, but even then the likelihood function (in the guise of the joint data density) is a key ingredient in the overall recipe. MLE provides...

So Much For My Bucket List!

August 21, 2011 Comments (0)

Forty two years ago today, on July 20, 1969 (20:17:40 UTC), Neil Armstrong stepped on to the surface of our moon. I've had an ongoing interest in the space program since the early 1960's. I kind of grew up with it all. Then, in the summer of 1980, while attending the Joint Statistical Meetings in Houston, my friend Keith McLaren and I went on a tour of the Johnson Space Center. Several things stand out when I think back to that visit. The Apollo 11 capsule was unbelievably small, and the...

Mapping the Flow of Scientific Knowledge

August 21, 2011 Comments (0)

If you have an interest in the flow of scientific knowledge, especially across different disciplines, then you'll enjoy the Eigenfactor.org site. It provides some terrific graphical analyses of the map ("graph") of the world of scientific citations. One thing that you'll get an insight into is the position of economics, as a discipline, relative to other sciences. You can also use the site to get a slightly different "take" on the rankings of economics and econometrics journals, based...