Blog Archives

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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Explaining the Almon Distributed Lag Model

January 6, 2017
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In an earlier post I discussed Shirley Almon's contribution to the estimation of Distributed Lag (DL) models, with her seminal paper in 1965.That post drew quite a number of email requests for more information about the Almon estimator, and how it fits into the overall scheme of things. In addition, Almon's approach to modelling distributed lags has been used...

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More on Orthogonal Regression

December 27, 2016
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Some time ago I wrote a post about orthogonal regression. This is where we fit a regression line so that we minimize the sum of the squares of the orthogonal (rather than vertical) distances from the data points to the regression line.Subsequently, I received the following email comment:"Thanks for this blog post. I enjoyed reading it. I'm wondering how straightforward...

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Spreadsheet Errors (discussed in The Economist)

September 9, 2016
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Five years ago I wrote a post titled, "Beware of Econometricians Bearing Spreadsheets". The take-away message from that post was simple: there's considerable, well-documented, evidence that spreadsheets are very, very, dangerous when it comes to statistical calculations. That is, if you care about getting the right answers!Read that post, and the associated references, and you'll see what I mean.(You might...

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