Blog Archives

All About Spherically Distributed Regression Errors

May 2, 2013
By
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...

Read more »

You Can Quote Me on That

April 21, 2013
By

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...

Read more »

In Praise of Quandl!

April 18, 2013
By

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...

Read more »

Sums of Random Variables

January 19, 2013
By
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...

Read more »

Granger Causality Testing in R

November 7, 2012
By

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 (

Read more »

Confidence Regions for Regression Coefficients

September 16, 2012
By
Confidence Regions for Regression Coefficients

Let’s consider the usual linear regression model, with the full set of assumptions:                     y = Xβ + ε ;    ε ~ N , (1)where X is a non-random (n × k) matrix with full column rank.Recall that, under our usual set of assumptions...

Read more »

Confidence Regions for Regression Coefficients

September 16, 2012
By
Confidence Regions for Regression Coefficients

Let’s consider the usual linear regression model, with the full set of assumptions:                     y = Xβ + ε ;    ε ~ N , (1)where X is a non-random (n × k) mat...

Read more »

Videos on Using R

August 13, 2012
By

In this post on his blog some months ago, Ethan Fosse drew attention to Anthony Damico's collection of over 90 videos on using the R software environment.Definitely worth looking at!© 2012, David E. Giles

Read more »

Forecasting: Principles and Practice

May 25, 2012
By

Forecasting: Principles and Practice is the title of a new book by Rob Hyndman and George Athanasopoulos.As Rob says on his webpage:"The book is dif­fer­ent from other fore­cast­ing text­books in sev­eral ways. It is free and online, mak­ing it acces­si­ble to a wide audience. It is based around the fore­cast pack­age for R. It...

Read more »

And the Winner is……

May 16, 2012
By

R will overtake SAS and SPSS in 2015 - according to David Smith in his post on the Revolutions blog.I can believe that!© 2012, David E. Giles

Read more »