Blog Archives

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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Data Transfer Advice From Francis Smart

March 23, 2014
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I always enjoy reading the posts by Francis Smart on his Econometrics by Simulation blog. A couple of days ago he wrote a nice piece titled, "It is Time for RData Files to Become the Standard for Data Transfer".  Francis made some very nice points about the handling of large amounts of data, and he provided some good...

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MCMC for Econometrics Students – III

March 19, 2014
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MCMC for Econometrics Students – III

As its title suggests, this post is the third in a sequence of posts designed to introduce econometrics students to the use of Markov Chain Monte Carlo (MCMC, or MC2) methods for Bayesian inference. The first two posts can be found here and here, and I'll assume that you've read both of them already. We're going to look at another...

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MCMC for Econometrics Students – II

March 18, 2014
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MCMC for Econometrics Students – II

This is the second in a set of posts about Monte Carlo Markov Chain (MCMC, or MC2) methods in Bayesian econometrics. The background was provided in this first post, where the Gibbs sampler was introduced. The main objective of the present post is to convince you that this MCMC stuff actually works! To achieve this, what...

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The Statsguys on Data Analytics

February 9, 2014
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It's good to see that more and more students of econometrics are taking an interest in "Data Analytics" / "Big Data" /"Data Science" literature. As I've commented previously, there's a lot that we can all learn from each other. Moreover, many of "boundaries" are very soft, and are more perceived than real. So, I was delighted to see the...

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Rob Hyndman on Forecasting

January 24, 2014
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Rob Hyndman on Forecasting

If you have an interest in forecasting, especially economic forecasting, the Rob Hyndman's name will be familiar to you. Hailing from my old stamping ground - Monash University - Rob is one of the world's top forecasting experts.  Without going into all of the details, Rob is very widely published, and also...

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Some Weekend Reading

November 1, 2013
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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 specification please stand up? Working Paper 335, Econometric...

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