Blog Archives

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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swirl: Learning Statistics & R

October 29, 2013
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swirl

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, anything that will make this feasible (easy?) for students and instructors alike...

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Can Your Results be Replicated?

September 11, 2013
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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. However, replicating someone's results using their data and code may not...

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Forecasting From Log-Linear Regressions

August 22, 2013
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Forecasting From Log-Linear Regressions

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 for my blood pressure, apart from anything else! Anyway, somehow...

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The Stats Chat Blog

August 6, 2013
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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 of data around us, particularly in the media, and...

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Allocation Models With Bounded Dependent Variables

July 5, 2013
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Allocation Models With Bounded Dependent Variables

(This article was first published on Econometrics Beat: Dave Giles' Blog, and kindly contributed to R-bloggers) My post yesterday, on Allocation Models, drew a comment to the effect that in such models the dependent variables take values that must to be non-negative fractions. Well, as I responded, that's true sometimes (e.g., in the case of market shares); but not in...

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Snowfall

May 31, 2013
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Snowfall

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 do...

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