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Econometrics Beat wrote a new blog post titled Book Series on "Statistical Reasoning in Science & Society"
Back in early 2016, the American Statistical Association (ASA) made an announcement in its newsletter, Amstat News, about the introduction of an important new series of books. In part, that announcement said:"The American Statistical Association recently partnered with Chapman & Hall/CRC Press to launch a book series called the ASA-CRC Series on Statistical Reasoning in Science and Society. 'The ASA is very enthusiastic about this new series,' said 2015 ASA President David Morganstein,...
5 days ago
Econometrics Beat wrote a new blog post titled Check out What Happened at the 2019 Joint Statistical Meetings
Each year, the Joint Statistical Meetings (JSM) bring together thousands (6,500 this year) of statisticians at what's the largest gathering of its type in the world. The JSM represent eleven international statistics organisations, including the four founding organisations - The American Statistical Association (ASA), The International Biometric Society, The Institute of Mathematical Statistical, and The Statistical Society of Canada. As a member of the ASA since 1973 I've attended a few of...
10 days ago
Econometrics Beat wrote a new blog post titled Including More History in Your Econometrics Teaching
If you follow this blog (or if you look at the "History of Econometrics" label in the word cloud in the right side-bar), you'll know that I have more than a passing interest in the history of our discipline. There's so much to be learned from this history. Among other things, we can gain insights into why certain methods became popular, and we can reduce the risk of repeating earlier mistakes! When I was teaching I liked to inject a few historical facts/anecdotes/curiosities into my classes. I...
19 days ago
Econometrics Beat wrote a new blog post titled Suggested Reading for August
Here are my reading suggestions for this month:Bun, M. J. G. & T. D. Harrison, 2109. OLS and IV estimation of regression models including endogenous interaction terms. Econometric Reviews, 38, 814-827.Dufour, J-M., E. Flachaire, & L. Khalaf, 2019. Permutation tests for comparing inequality measures. Journal of Business and Economic Statistics, 37, 457-470.Jiao, X. & F. Pretis, 2018. Testing the presence of outliers in regression models. Available at...
23 days ago
Econometrics Beat wrote a new blog post titled AAEA Meeting, 2019
The Agricultural and Applied Economics Association (AAEA) recently held its annual meeting in Atlanta, GA. You can find the extensive program here. This year, I was fortunate enough to be able to attend and participate. This was thanks to the kind invitation of Marc Bellemare, a member of the Executive Board of the AAEA, and (of course) a blogger whom many of you no doubt follow. (If you don't, then you should!)  Marc arranged a session in which he and I talked about the pros and cons of...
28 days ago
Econometrics Beat wrote a new blog post titled Seasonal Unit Roots - Background Information
A recent email query about the language that we use in the context of non-stationary seasonal data, and how we should respond to the presence of "seasonal nit roots", suggested to me that a short background post about some of this might be in order. To get the most from what follows, I suggest that you take a quick look at this earlier post of mine - especially to make sure that you understand the distinction between "deterministic" seasonality" and "stochastic seasonality" in...
50 days ago
Econometrics Beat wrote a new blog post titled July Reading
This month my reading list is a bit different from the usual one. I've taken a look back at past issues of Econometrica and Journal of Econometrics, and selected some important and interesting papers that happened to be published in July issues of those journals. Here's what I came up with for you:Aigner, D., C. A. K. Lovell, & P. Schmidt, 1977. Formulation and estimation of stochastic frontier production function models. Journal of Econometrics, 6, 21-37.Chow, G. C., 1960. Tests of...
55 days ago
Econometrics Beat wrote a new blog post titled Consulting Can be Fun!
Over the years, I've done a modest amount of paid econometrics consulting work - in the U.S., New Zealand, Australia, the U.K., and here in Canada. Each job has been interesting, and rewarding, and I've always learned a great deal form the briefs that I've undertaken. The other day, a friend asked me, "Which consulting job was the most fun?" Actually, the answer was easy! A few years ago I consulted for the Office of the Auditor General of Canada, in Ottawa. I was brought in because I had...
64 days ago
Econometrics Beat wrote a new blog post titled 2019 Edition of the INOMICS Handbook
I'm sure that all readers will be familiar with INOMICS, and the multitude of resources that they make available to economists. The INOMICS Handbook, 2019 is now available, and I commend it to you. This year's edition of the Handbook includes material relating to: The gender bias in the field of economicsThe soft skills you need to succeed as an economistClimate change and how economics can help solve itWhat makes a successful economistAn exclusive interview with Princeton...
66 days ago
Econometrics Beat wrote a new blog post titled More Tributes to Clive Granger
As a follow-up to my recent post, "Clive Granger Special Issue", I received an email from Eyüp Çetin (Editor of the European Journal of Pure and Applied Mathematics). Eyüp kindly pointed out that "......... actually, we published the first special issue dedicated to his memory exactly on 27 May 2010, the first anniversary of his passing at https://www.ejpam.com/index.php/ejpam/issue/view/11  We think this was the first special issue dedicated to his memory in the...
75 days ago
Econometrics Beat wrote a new blog post titled Clive Granger Special Issue
The recently published Volume 10, No. 1 issue of the European Journal of Pure and Applied Mathematics takes the form of a memorial issue for Clive Granger. You can find the Table of Contents here, and all of the articles can be downloaded freely. This memorial issue is co-edited by Jennifer Castle and David Hendry. The contributed papers include ones that deal with Forecasting, Cointegration, Nonlinear Time Series, and Model Selection. This is a fantastic collection of important...
79 days ago
Econometrics Beat wrote a new blog post titled Reading Suggestions for June
Well, here we are - it's June already. Here are my reading suggestions:Abadie, A., S. Athey, G. Imbens, & J. Wooldridge, 2017. When should you adjust standard errors for clustering? Mimeo.Berk, R., A. Buja, L. Brown, E. George, A. K. Kuchibhotla, W. Su, & L, Shazo, 2019. Assumption lean regression. American Statistician, in press.Ghosh, T., M. Ghosh, & T. Kubokawa, 2019. On the loss robustness of least-square estimators, American Statistician, in press.Gustafsson, O. & P....
86 days ago
Econometrics Beat wrote a new blog post titled Update on the "Series of Unsurprising Results in Economics"
In June of last year I had a post about a new journal, Series of Unsurprising Results in Economics (SURE). If you didn't get to read that post, I urge you to do so.  More importantly, you should definitely take a look at this piece by Kelsey Piper, from a couple of days ago, and titled, "This economics journal only publishes results that are no big deal - Here’s how that might save science". Kelsey really understands the rationale for SURE, and the important role that it can...
98 days ago
Econometrics Beat wrote a new blog post titled May Reading List
Here's a selection of suggested reading for this month:Athey, S. & G. W. Imbens, 2019. Machine learning methods economists should know about. Mimeo.Bhagwat, P. & E. Marchand, 2019. On a proper Bayes but inadmissible estimator. American Statistician, online.Canals, C. & A. Canals, 2019. When is n large enough? Looking for the right sample size to estimate proportions. Journal of Statistical Computation and Simulation, 89, 1887-1898.Cavaliere, G. & A. Rahbek, 2019. A primer on...
116 days ago
Econometrics Beat wrote a new blog post titled Recursions for the Moments of Some Continuous Distributions
This post follows on from my recent one, Recursions for the Moments of Some Discrete Distributions. I'm going to assume that you've read the previous post, so this one will be shorter.  What I'll be discussing here are some useful recursion formulae for computing the moments of a number of continuous distributions that are widely used in econometrics. The coverage won't be exhaustive, by any means. I provide some motivation for looking at formulae such as these in the previous post, so I...
117 days ago
Econometrics Beat wrote a new blog post titled Recursions for the Moments of Some Discrete Distributions
You could say, "Moments maketh the distribution". While that's not quite true, it's pretty darn close. The moments of a probability distribution provide key information about the underlying random variable's behaviour, and we use these moments for a multitude of purposes. Before proceeding, let's be sure that we're on the same page here. Some background Suppose that we have a random variable, X, whose distribution function is F(x), where x is some value of X. The following quote comes...
117 days ago
Econometrics Beat wrote a new blog post titled What is a Permutation Test?
Permutation tests, which I'll be discussing in this post, aren't that widely used by econometricians. However, they shouldn't be overlooked. Let's begin with some background discussion to set the scene. This might seem a bit redundant, but it will help us to see how permutation tests differ from the sort of tests that we usually use in econometrics. Background Motivation When you took your first course in economic statistics, or econometrics, no doubt you encountered some of the basic...
117 days ago
Econometrics Beat wrote a new blog post titled A Permutation Test Regression Example
In a post last week I talked a bit about Permutation (Randomization) tests, and how they differ from the (classical parametric) testing procedure that we generally use in econometrics. I'm going to assume that you've read that post. (There may be a snap quiz at some point!) I promised that I'd provide a regression-based example. After all, the two examples that I went through in that previous post were designed to expose the fundamentals of permutation/randomization testing. They really didn't...
117 days ago
Econometrics Beat wrote a new blog post titled SHAZAM!
This past weekend the new movie, Shazam, topped the box-office revenue list with over US$53million - and this is it's first weekend since being released. Not bad! Of course, in the Econometrics World, we associate the word, SHAZAM, with Ken White's famous computing package, which has been with us since 1977.  Ken and I go way back. A few years ago I had a post about the background to the SHAZAM package. In that post I explained what the acronym "SHAZAM" stands for. If you check it out...
117 days ago
Econometrics Beat wrote a new blog post titled EViews 11 Now Available
As you'll know already, I'm a big fan of the EViews econometrics package. I always found it to be a terrific, user-friendly, resource when teaching economic statistics and econometrics, and I use it extensively in my own research. Along with a lot of other EViews users, I recently had the opportunity to "test drive" the beta release of the latest version of this package, EViews 11.  EViews 11 has now been officially released, and it has some great new features. (Click on the links...
117 days ago