Just what you need - some more interesting reading! Al-Sadoon, M. M., 2013. Geometric and long run aspects of Granger causality. Mimeo., Universitat Pompeu Fabra. (Forthcoming in Journal of Econometrics.) Barnett, W. A. and I. Kalondo-Kanyama, 2013. Time-varying parameter in the almost ideal demand system and the Rotterdam model: Will the best ... [Read more...]

Most of us would acknowledge that getting up to speed with R involves a pretty steep learning curve - but it's worth every drop of sweat we shed in the process! If you're learning basic statistics/econometrics, and learning R at the same time, then the challenge is two-fold. So, ... [Read more...]

It's a "given" that your empirical results should be able to be replicated by others. That's why more and more journals are encouraging or requiring that authors of such papers "deposit" their data and code with the journal as a condition of acceptance for publication. That's all well and good. ... [Read more...]

I was in (yet another) session with my analyst, "Jane", the other day, and quite unintentionally the conversation turned, once again, to the subject of "semi-log" regression equations.After my previous rant to discussion with her about this matter, I've tried to stay on the straight and narrow. It's better ... [Read more...]

Recently, I've begun following the Stats Chat blog. Run by the Department of Statistics at the University of Auckland - the largest statistics department in New Zealand or Australia (and the birthplace of R) - this blog apparently started in April of this year.It's aim is:"to foster discussion ... [Read more...]

[This article was first published on Econometrics Beat: Dave Giles' Blog, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here) [Read more...]

Yesterday I had a short post reminding EViews users that their package (versions 7 or 8) will access all of the cores on a multi-core machine. I've been playing around with parallel processing in R on my desktop machine at work over the last few days. It's something I've been meaning to ... [Read more...]

Marcus Beck has a nice (& relatively new) blog called R is My Friend. You can guess that his posts relate to the use of R.I particularly liked his piece on the use of the XML package in R to mine data from the internet; and his post on using ... [Read more...]

This post is based on a handout that I use for one of my courses, and it relates to the usual linear regression model,                                   y = Xβ + ε In our list of standard assumptions about the error term in this linear multiple regression model, we include one that incorporates both homoskedasticity and ... [Read more...]

The other day I came across the Empirical Quotes page on Mark Byran's blog. Some of his quotes related specifically to econometrics, and I thought I'd share a few others. That certainly doesn't mean that I agree with them all! "It is the preparation skill of the econometric chef that ... [Read more...]

Data - the econometrician's life-blood! Can't function without it.So, when a new source of data becomes available - especially one that's sophisticated, reliable, and FREE - it's time to sit up and take notice. Quandl is a recent Canadian start-up that delivers economic and financial time-series data, and then ... [Read more...]

I'm currently teaching first-level course in statistical inference for  (mostly) economics students. They've taken a one-semester course in descriptive (economic) statistics, and now we're dealing with sampling distributions, estimation, hypothesis testing, and simple regression analysis.When dealing with the sampling distribution of the sample mean, based on simple random sampling, ... [Read more...]

Today just gets better and better!I had an email this morning from Christoph Pfeiffer, who follows this blog. Christoph has put together some nice R code that implements the Toda-Yamamoto method for testing for Granger causality in the context of non-stationary time-series data.Given the ongoing interest in the ... [Read more...]

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In this post on his blog some months ago, Ethan Fosse drew attention to Anthony Damico's collection of over 90 videos on using the R software environment.Definitely worth looking at!© 2012, David E. Giles [Read more...]

Forecasting: Principles and Practice is the title of a new book by Rob Hyndman and George Athanasopoulos.As Rob says on his webpage:"The book is dif­fer­ent from other fore­cast­ing text­books in sev­eral ways. It is free and online, mak­ing it acces­si­... [Read more...]

R will overtake SAS and SPSS in 2015 - according to David Smith in his post on the Revolutions blog.I can believe that!© 2012, David E. Giles [Read more...]

Some of us learn easily from the written word, but for most of us some visualization speeds up the process and generally helps with retention as well. With that in mind I was delighted to see this nice list of free videos that demonstrate the use of R, posted on ... [Read more...]

What the title of this post is supposed to mean is: "Estimating a simple aggregate consumption function using Bayesian regression analysis".In a recent post I mentioned my long-standing interest in Bayesian Econometrics. When I teach this material I usually include a simple application that involves estimating a consumption function ... [Read more...]

If, like me, you're still an R novice, you'll no doubt find this post on Pairach Piboonrungroj's blog extremely helpful. Among other things, Pairach provides links to 20 40 "R tutorials". It's a really nice resource!H.T. to David Smith for posting about this on the Revolutions blog.© 2012, David E. Giles [Read more...]