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Econometrics Beat's Blog

Check out What Happened at the 2019 Joint Statistical Meetings

August 14, 2019 Comments (0)

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...

Including More History in Your Econometrics Teaching

August 6, 2019 Comments (0)

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....

Suggested Reading for August

August 1, 2019 Comments (0)

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...

AAEA Meeting, 2019

July 28, 2019 Comments (0)

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...

Seasonal Unit Roots - Background Information

July 6, 2019 Comments (0)

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...

July Reading

July 1, 2019 Comments (0)

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...

Consulting Can be Fun!

June 21, 2019 Comments (0)

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...

2019 Edition of the INOMICS Handbook

June 20, 2019 Comments (0)

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...

More Tributes to Clive Granger

June 11, 2019 Comments (0)

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...

Clive Granger Special Issue

June 7, 2019 Comments (0)

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...