Econometrics Beat: Dave Giles' Blog

When I released my first post on the blog on 20th. Febuary 2011 I really wasn't sure what to expect! After all, I was aiming to reach a somewhat niche audience. Well, 949 posts and 7.4 million page-hits later, this blog has greatly exceeded my wildest expectations. However, I'm now retired and I turned 70 three months ago. I've decided to call it quits, and this is my final post. I'd rather make …

Well........, not really! It might seem that way on the face of it, but that's because you're probably using a totally inappropriate measure of what's (statistically) significant, and what's not. I talked a bit about this issue in a previous pos t , where I said: "Granger ( 1998 , 2003 ) has reminded us that if the sample size is sufficiently large, then it's virtually impossible not to reject al…

This post was prompted by an email query that I received some time ago from a reader of this blog. I thought that a more "expansive" response might be of interest to other readers............ In spite of its many limitations, it's standard practice to include the value of the coefficient of determination (R 2 ) - or its "adjusted" counterpart - when reporting the results of a least squares regres…

Here's my latest, and final, list of suggested reading: Bellego, C. and L-D. Pape , 2019. Dealing with the log of zero in regression models. CREST Working Paper No. 2019-13. Castle, J. L., J. A. Doornik, and D. F. Hendry , 2018. Selecting a model for forecasting. Department of Economics, University of Oxford, Discussion Paper 861. Gorajek, A. , 2019. The well-meaning economist. Reserve Bank of Au…

Here we are - it's Labo(u)r Day weekend already in North America, and we all know what that means! It's back to school time. You'll need a reading list, so here are some suggestions: Frances, Ph. H. B. F. , 2019. Professional forecasters and January. Econometric Institute Research Papers EI2019-25, Erasmus University Rotterdam. Harvey, A. & R. Ito , 2019. Modeling time series when some observatio…

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 . 'T…

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, …

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! Wh…

Here are my 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 , Permutation tests for comparing inequality measures. Journal of Business and Economic Statistics , 37, 457-470. Jiao, X. & F. Pretis, 2018. Testing the presence…

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'…

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 unit 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 t…

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 frontie…

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 consul…

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 economics The soft skills you need to succeed as an economist Climate change and how economics can he…

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 W…

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, No…

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 robust…

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". Kel…

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 …

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 mean…