Blog Archives

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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R is His Friend

May 9, 2013
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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 the integrate...

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All About Spherically Distributed Regression Errors

May 2, 2013
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All About Spherically Distributed Regression Errors

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...

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You Can Quote Me on That

April 21, 2013
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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 catches the professional eye, not the...

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In Praise of Quandl!

April 18, 2013
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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 some.It's an interesting business model. When you go...

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Sums of Random Variables

January 19, 2013
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Sums of Random Variables

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, we derived the result that this distribution has a...

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Granger Causality Testing in R

November 7, 2012
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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 various posts I have had (

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