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...

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...

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...

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...

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 (

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

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...

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