[Read more...]

[Read more...]

[Read more...]

My suggestions for papers to read during December:Askanazi, R., F. X. Diebold, F. Schorfheide, & M. Shin, 2018. On the comparison of interval forecasts. PIER Working Paper 18-013, Penn. Institute for Economic Research, University of Pennsylvania.Me... [Read more...]

Consider this my Good Deed for the Day!A re-tweet from a colleague whom I follow on Twitter brought an important paper to my attention. I thought I'd share it more widely.The paper is titled, "Small-sample methods for cluster-robust variance estimation and hypothesis testing in fixed effect models", by ... [Read more...]

Another year, and lots of exciting reading! Davidson, R. & V. Zinde-Walsh, 2017. Advances in specification testing. Canadian Journal of Economics, online. Dias, G. F. & G. Kapetanios, 2018. Estimation and forecasting in vector autoregressive moving average models for rich datasets. Journal of Econometrics, 202, 75-91.   González-Estrada, E. & J. A. Villaseñor, 2017. An R ... [Read more...]

We've all experienced it. You go to use a statistical table - Standard Normal, Student-t, F, Chi Square - and the line that you need simply isn't there in the table. That's to say the table simply isn't detailed enough for our purposes. One question that always comes up when ... [Read more...]

[Read more...]

Past posts on this blog have included several relating to Monte Carlo simulation - e.g., see here, here, and here.Recently I came across a great article by Matthew Sigal and Philip Chalmers in the Journal of Statistics Education. It's titled, "Play it Again: Teaching Statistics With Monte Carlo ... [Read more...]

Yesterday, I received an email from Robert Hillman.Robert wrote:"I’ve thoroughly enjoyed your recent posts and associated links on distributed lags. I’d like to throw in a slightly different perspective. To give you some brief background on myself: I did a PhD in econometrics 1993-1998 at Southampton ... [Read more...]

In an earlier post I discussed Shirley Almon's contribution to the estimation of Distributed Lag (DL) models, with her seminal paper in 1965.That post drew quite a number of email requests for more information about the Almon estimator, and how it fits into the overall scheme of things. In addition, ... [Read more...]

Some time ago I wrote a post about orthogonal regression. This is where we fit a regression line so that we minimize the sum of the squares of the orthogonal (rather than vertical) distances from the data points to the regression line.Subsequently, I received the following email comment:"Thanks ... [Read more...]

Five years ago I wrote a post titled, "Beware of Econometricians Bearing Spreadsheets". The take-away message from that post was simple: there's considerable, well-documented, evidence that spreadsheets are very, very, dangerous when it comes to statistical calculations. That is, if you care about getting the right answers!Read that post, ... [Read more...]

Occasionally readers ask about the exams that I set in my graduate econometrics courses.The elective graduate econometrics course that I taught this past semester was one titled "Themes in Econometrics". The topics that are covered vary from year to year. However, as the title suggests, the course focuses on ... [Read more...]

Occasionally readers ask about the exams that I set in my graduate econometrics courses.The elective graduate econometrics course that I taught this past semester was one titled "Themes in Econometrics". The topics that are covered vary from year to ye... [Read more...]

Recently, I received an email from Florian Heiss, Professor and Chair of Statistics and Econometrics at the Henrich Heine University of Dusseldorf.He wrote:"I'd like to introduce you to a new book I just published that might be of interest to you: Using R for Introductory Econometrics.The goal: ... [Read more...]

Recently, I received an email from Florian Heiss, Professor and Chair of Statistics and Econometrics at the Henrich Heine University of Dusseldorf.He wrote: "I'd like to introduce you to a new book I just published that might be of interest to you: Using R for Introductory Econometrics. The goal: ... [Read more...]

"Count" data occur frequently in economics. These are simply data where the observations are integer-valued - usually 0, 1, 2, ....... . However, the range of values may be truncated (e.g., 1, 2, 3, ....).To model data of this form we typically resort to distributions such as the Poisson, negative binomial, or variations of these. These variations ... [Read more...]

"Count" data occur frequently in economics. These are simply data where the observations are integer-valued - usually 0, 1, 2, ....... . However, the range of values may be truncated (e.g., 1, 2, 3, ....). To model data of this form we typically resort to distributions such as the Poisson, negative binomial, or variations of these. These variations ... [Read more...]

I was delighted by yesterday's announcement that Angus Deaton has been awarded the Nobel Prize in Economic Science this year. His contributions have have been many, fundamental, and varied, and I certainly won't attempt to summarize them here. Suffice to say that the official citation says that the award is "... [Read more...]