Blog Archives

Computing Power Curves

November 5, 2014
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Computing Power Curves

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 we move further and further away from the null...

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Computing Power Functions

November 5, 2014
By
Computing Power Functions

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 we move further and further away from the...

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Central and Non-Central Distributions

November 3, 2014
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Central and Non-Central Distributions

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 be following the "classical" Neyman-Pearson...

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June Reading List

May 28, 2014
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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, and A. M....

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Great Resource for Teaching Statistics with R

April 26, 2014
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Great Resource for Teaching Statistics with R

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 the undergraduate and graduate level. Each module focuses on teaching a...

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Open Science Through R

April 13, 2014
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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 the way in which R is enabling some big...

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MCMC for Econometrics Students – Part IV

March 26, 2014
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MCMC for Econometrics Students – Part IV

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 emphasis throughout is on the...

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MCMC for Econometrics Students – IV

March 26, 2014
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MCMC for Econometrics Students – IV

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 emphasis throughout is on the use...

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Data Transfer Advice From Francis Smart

March 23, 2014
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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 amounts of data, and he provided some good...

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MCMC for Econometrics Students – III

March 19, 2014
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MCMC for Econometrics Students – III

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 both of them already. We're going to look at another...

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