Monday, August 29, 2011

Missing Keys and Econometrics

There couldn't possibly be any connection between conducting econometric analysis and looking for your lost keys, could there? Or, maybe there could!

Jeff Racine (McMaster U.) put a nice little piece up on his web page at the start of this month. It's titled Find Your Keys Yet?, and has the sub-title "Some Thoughts on Parametric Model Misspecification". Jeff rightly points out some of the difficulties associated with the concept of "the true model" in econometrics, and the importance of specification testing in the games we play.

BTW, this ties in with "Darren's" comments on my earlier post, Cookbook Econometrics.

Students of econometrics - please read Jeff's piece. Teachers of econometrics - ditto!

© 2011, David E. Giles