Articles by Dave Giles

Angus Deaton, Consumer Demand, & the Nobel Prize

October 13, 2015 | Dave Giles

I was delighted by yesterday's announcement that Angus Deaton has been awarded the Nobel Prize in Economic Science this year. His contributions have have been many, fundamental, and varied, and I certainly won't attempt to summarize them here. Suffice to say that the official citation says that the award is "... [Read more...]

Parallel Computing for Data Science

July 8, 2015 | Dave Giles

Hot off the press, Norman Matloff's book, Parallel Computing for Data Science: With Examples in R, C++ and CUDA  (Chapman and Hall/ CRC Press, 2015) should appeal to a lot of the readers of this blog.The book's coverage is clear from the following chapter titles:1. Introduction to Parallel Processing in ... [Read more...]

Worrying About my Cholesterol Level

June 9, 2015 | Dave Giles

The headline, "Don't Get Wrong Idea About Cholesterol", caught my attention in the 3 May, 2015 Times-Colonist newspaper here in Victoria, B.C.. In fact the article came from a syndicated column, published about a week earlier. No matter - it's always a good time for me to worry about my cholesterol!... [Read more...]

Introduction to Applied Econometrics With R

April 30, 2015 | Dave Giles

I came across a January post from David Smith at Revolution Analytics, in his Revolutions blog. It's titled, An Introduction to Applied Econometrics With R, and it refers to a very useful resource that's been put together by Bruno Rodrigues of the University of Strasbourg. It's called Introduction to Programming ... [Read more...]

Applied Nonparametric Econometrics

February 19, 2015 | Dave Giles

Recently, I received a copy of a new econometrics book, Applied Nonparametric Econometrics, by Daniel Henderson and Christopher Parmeter.The title is pretty self-explanatory and, as you'd expect with any book published by CUP, this is a high-quality item.The book's Introduction begins as follows:"The goal of this book ... [Read more...]

Testing for Multivariate Normality

February 15, 2015 | Dave Giles

The assumption that multivariate data are (multivariate) normally distributed is central to many statistical techniques. The need to test the validity of this assumption is of paramount importance, and a number of tests are available.A recently released R package, MVN, by Korkmaz et al. (2014) brings together several of these ... [Read more...]

Multivariate Medians

December 29, 2014 | Dave Giles

I'll bet that in the very first "descriptive statistics" course you ever took, you learned about measures of "central tendency" for samples or populations, and these measures included the median. You no doubt learned that one useful feature of the median is that, unlike the (arithmetic, geometric, harmonic) mean, it ... [Read more...]

Computing Power Functions

November 5, 2014 | Dave Giles

In a recent post I discussed some aspects of the distributions of some common test statistics when the null hypothesis that's being tested is actually false. One of the things that we saw there was that in many cases these distributions are "non-central", with a non-centrality parameter that increases as ... [Read more...]

Computing Power Curves

November 5, 2014 | Dave Giles

In a recent post I discussed some aspects of the distributions of some common test statistics when the null hypothesis that's being tested is actually false. One of the things that we saw there was that in many cases these distributions are "non-central", with a non-centrality parameter that increases as ... [Read more...]

Central and Non-Central Distributions

November 3, 2014 | Dave Giles

Let's imagine that you're teaching an econometrics class that features hypothesis testing. It may be an elementary introduction to the topic itself; or it may be a more detailed discussion of a particular testing problem. We're not talking here about a course on Bayesian econometrics, so in all likelihood you'll ... [Read more...]

June Reading List

May 28, 2014 | Dave Giles

Put away that novel! Here's some really fun June reading: Berger, J., 2003. Could Fisher, Jeffreys and Neyman have agreed on testing?. Statistical Science, 18, 1-32. Canal, L. and R. Micciolo, 2014. The chi-square controversy. What if Pearson had R? Journal of Statistical Computation and Simulation, 84, 1015-1021. Harvey, D. I., S. J. Leybourne, ... [Read more...]

Great Resource for Teaching Statistics with R

April 26, 2014 | Dave Giles

If you're having trouble teaching statistics using R, then you'll just love the statsTeachR collaboration. It's being launched officially at the 2014 New England Statistics Symposium today. Here's what it's about: "statsTeachR is an open-access, online repository of modular lesson plans, a.k.a. "modules", for teaching statistics using R at ... [Read more...]

Open Science Through R

April 13, 2014 | Dave Giles

There's so much being written about R these days, and justifiably so. If you use R for your econometrics, you should also keep in mind that its applicability is far wider than statistical analysis.  A big HT to the folks at Quandl for leading me to a nice overview of ... [Read more...]

MCMC for Econometrics Students – IV

March 26, 2014 | Dave Giles

This is the fourth in a sequence of posts designed to introduce econometrics students to the use of Markov Chain Monte Carlo (MCMC, or MC2) simulation methods for Bayesian inference. The first three posts can be found here, here, and here, and I'll assume that you've read them already. The ... [Read more...]

MCMC for Econometrics Students – Part IV

March 26, 2014 | Dave Giles

This is the fourth in a sequence of posts designed to introduce econometrics students to the use of Markov Chain Monte Carlo (MCMC, or MC2) simulation methods for Bayesian inference. The first three posts can be found here, here, and here, and I'll assume that you've read them already. The ... [Read more...]

Data Transfer Advice From Francis Smart

March 23, 2014 | Dave Giles

I always enjoy reading the posts by Francis Smart on his Econometrics by Simulation blog. A couple of days ago he wrote a nice piece titled, "It is Time for RData Files to Become the Standard for Data Transfer".  Francis made some very nice points about the handling of large ... [Read more...]

MCMC for Econometrics Students – III

March 19, 2014 | Dave Giles

As its title suggests, this post is the third in a sequence of posts designed to introduce econometrics students to the use of Markov Chain Monte Carlo (MCMC, or MC2) methods for Bayesian inference. The first two posts can be found here and here, and I'll assume that you've read ... [Read more...]

MCMC for Econometrics Students – II

March 18, 2014 | Dave Giles

This is the second in a set of posts about Monte Carlo Markov Chain (MCMC, or MC2) methods in Bayesian econometrics. The background was provided in this first post, where the Gibbs sampler was introduced. The main objective of the present post is to convince you that this MCMC stuff ... [Read more...]

The Statsguys on Data Analytics

February 9, 2014 | Dave Giles

It's good to see that more and more students of econometrics are taking an interest in "Data Analytics" / "Big Data" /"Data Science" literature. As I've commented previously, there's a lot that we can all learn from each other. Moreover, many of "boundaries" are very soft, and are more perceived than ... [Read more...]

Rob Hyndman on Forecasting

January 24, 2014 | Dave Giles

If you have an interest in forecasting, especially economic forecasting, the Rob Hyndman's name will be familiar to you. Hailing from my old stamping ground - Monash University - Rob is one of the world's top forecasting experts.  Without going into all of the details, Rob is very widely published, ... [Read more...]
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