Blog Archives

A Permutation Test Regression Example

April 8, 2019
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A Permutation Test Regression Example

In a post last week I talked a bit about Permutation (Randomization) tests, and how they differ from the (classical parametric) testing procedure that we generally use in econometrics. I'm going to assume that you've read that post. (There may be a snap quiz at some point!) I promised that I'd provide a regression-based example. After all, the two examples that...

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What is a Permutation Test?

April 3, 2019
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What is a Permutation Test?

Permutation tests, which I'll be discussing in this post, aren't that widely used by econometricians. However, they shouldn't be overlooked.Let's begin with some background discussion to set the scene. This might seem a bit redundant, but it will help us to see how permutation tests differ from the sort of tests that we usually use in econometrics.Background MotivationWhen you...

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Forecasting From a Regression with a Square Root Dependent Variable

March 6, 2019
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Forecasting From  a Regression with a Square Root Dependent Variable

Back in 2013 I wrote a post that was titled, "Forecasting From Log-Linear Regressions". The basis for that post was the well-known result that if you estimate a linear regression model with the (natural) logarithm of y as the dependent variable, but you're actually interested in forecasting y itself, you don't just report the exponentials of the original forecasts. You...

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December Reading for Econometricians

December 2, 2018
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My suggestions for papers to read during December:Askanazi, R., F. X. Diebold, F. Schorfheide, & M. Shin, 2018. On the comparison of interval forecasts. PIER Working Paper 18-013, Penn. Institute for Economic Research, University of Pennsylvania.Me...

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More Sandwiches, Anyone?

November 14, 2018
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Consider this my Good Deed for the Day!A re-tweet from a colleague whom I follow on Twitter brought an important paper to my attention. I thought I'd share it more widely.The paper is titled, "Small-sample methods for cluster-robust variance estimation and hypothesis testing in fixed effect models", by James Pustejovski (@jepusto) and Beth Tipton (@stats-tipton). It appears in The Journal of Business and Economic...

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Econometrics Reading for the New Year

January 2, 2018
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Another year, and lots of exciting reading! Davidson, R. & V. Zinde-Walsh, 2017. Advances in specification testing. Canadian Journal of Economics, online. Dias, G. F. & G. Kapetanios, 2018. Estimation and forecasting in vector autoregressive moving average models for rich datasets. Journal of Econometrics, 202, 75-91.   González-Estrada, E. & J. A. Villaseñor, 2017. An R package for testing goodness of fit: goft. Journal...

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Interpolating Statistical Tables

January 1, 2018
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We've all experienced it. You go to use a statistical table - Standard Normal, Student-t, F, Chi Square - and the line that you need simply isn't there in the table. That's to say the table simply isn't detailed enough for our purposes. One question that always comes up when students are first being introduced to such tables is:"Do I...

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How Good is That Random Number Generator?

September 28, 2017
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How Good is That Random Number Generator?

Recently, I saw a reference to an interesting piece from 2013 by Peter Grogono, a computer scientist now retired from Concordia University. It's to do with checking the "quality" of a (pseudo-) random number generator. Specifically, Peter discusses what he calls "The Pickover Test". This refers to the following suggestion that he attributes to Clifford Pickover (1995, Chap. 31): "Pickover describes...

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Monte Carlo Simulations & the "SimDesign" Package in R

September 20, 2017
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Past posts on this blog have included several relating to Monte Carlo simulation - e.g., see here, here, and here.Recently I came across a great article by Matthew Sigal and Philip Chalmers in the Journal of Statistics Education. It's titled, "Play it Again: Teaching Statistics With Monte Carlo Simulation", and the full reference appears below. The authors provide a really...

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Trading Models and Distributed Lags

January 9, 2017
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Yesterday, I received an email from Robert Hillman.Robert wrote:"I’ve thoroughly enjoyed your recent posts and associated links on distributed lags. I’d like to throw in a slightly different perspective. To give you some brief background on myself: I did a PhD in econometrics 1993-1998 at Southampton University. ............ I now manage capital and am heavily influenced by my study of...

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