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Econometrics Beat's Blog

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...

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...