Blog Archives

Introduction to Applied Econometrics With R

April 30, 2015
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I came across a January post from David Smith at Revolution Analytics, in his Revolutions blog. It's titled, An Introduction to Applied Econometrics With R, and it refers to a very useful resource that's been put together by Bruno Rodrigues of the University of Strasbourg. It's called Introduction to Programming Econometrics With R,...

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Applied Nonparametric Econometrics

February 19, 2015
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Recently, I received a copy of a new econometrics book, Applied Nonparametric Econometrics, by Daniel Henderson and Christopher Parmeter.The title is pretty self-explanatory and, as you'd expect with any book published by CUP, this is a high-quality item.The book's Introduction begins as follows:"The goal of this book is to help bridge the gap between applied economists and theoretical...

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Testing for Multivariate Normality

February 15, 2015
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The assumption that multivariate data are (multivariate) normally distributed is central to many statistical techniques. The need to test the validity of this assumption is of paramount importance, and a number of tests are available.A recently released R package, MVN, by Korkmaz et al. (2014) brings together several of these procedures in a friendly and accessible way....

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Multivariate Medians

December 29, 2014
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I'll bet that in the very first "descriptive statistics" course you ever took, you learned about measures of "central tendency" for samples or populations, and these measures included the median. You no doubt learned that one useful feature of the median is that, unlike the (arithmetic, geometric, harmonic) mean, it is relatively "robust" to outliers in the data.(You...

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Computing Power Functions

November 5, 2014
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Computing Power Functions

In a recent post I discussed some aspects of the distributions of some common test statistics when the null hypothesis that's being tested is actually false. One of the things that we saw there was that in many cases these distributions are "non-central", with a non-centrality parameter that increases as we move further and further away from the...

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Central and Non-Central Distributions

November 3, 2014
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Central and Non-Central Distributions

Let's imagine that you're teaching an econometrics class that features hypothesis testing. It may be an elementary introduction to the topic itself; or it may be a more detailed discussion of a particular testing problem. We're not talking here about a course on Bayesian econometrics, so in all likelihood you'll be following the "classical" Neyman-Pearson...

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June Reading List

May 28, 2014
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Put away that novel! Here's some really fun June reading: Berger, J., 2003. Could Fisher, Jeffreys and Neyman have agreed on testing?. Statistical Science, 18, 1-32. Canal, L. and R. Micciolo, 2014. The chi-square controversy. What if Pearson had R? Journal of Statistical Computation and Simulation, 84, 1015-1021. Harvey, D. I., S. J. Leybourne, and A. M....

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Great Resource for Teaching Statistics with R

April 26, 2014
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Great Resource for Teaching Statistics with R

If you're having trouble teaching statistics using R, then you'll just love the statsTeachR collaboration. It's being launched officially at the 2014 New England Statistics Symposium today. Here's what it's about: "statsTeachR is an open-access, online repository of modular lesson plans, a.k.a. "modules", for teaching statistics using R at the undergraduate and graduate level. Each module focuses on teaching a...

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Open Science Through R

April 13, 2014
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There's so much being written about R these days, and justifiably so. If you use R for your econometrics, you should also keep in mind that its applicability is far wider than statistical analysis.  A big HT to the folks at Quandl for leading me to a nice overview of the way in which R is enabling some big...

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MCMC for Econometrics Students – Part IV

March 26, 2014
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MCMC for Econometrics Students – Part IV

This is the fourth in a sequence of posts designed to introduce econometrics students to the use of Markov Chain Monte Carlo (MCMC, or MC2) simulation methods for Bayesian inference. The first three posts can be found here, here, and here, and I'll assume that you've read them already. The emphasis throughout is on the...

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