Monday, April 30, 2012

The Data Journalism Handbook

I found this post by Michael Blastland on The Guardian's DataBlog to be refreshing. It's good to see a collaborative international venture aimed at encouraging high quality data presentation and interpretation by journalists.

The Data Journalism Handbook was launched today, and it's a free open-source reference book.


© 2012, David E. Giles

Compulsory Reading for Seminar Attendees

I've aired some of my views on Economics seminars in the past - and especially how they compare with those in some other disciplines. For example, see here, here, and here.

Here's some homework reading from Peter Wood, to be completed before you go to your next Economics seminar!

Enjoy!



© 2012, David E. Giles

Friday, April 27, 2012

A Bayesian Consumption Function

What the title of this post is supposed to mean is: "Estimating a simple aggregate consumption function using Bayesian regression analysis".

In a recent post I mentioned my long-standing interest in Bayesian Econometrics. When I teach this material I usually include a simple application that involves estimating a consumption function using U.S. time-series data. I used to have this coded up for the SHAZAM package. EViews isn't appropriate as it doesn't include a numerical integration routine.

You could use BUGS, or some other package, but it's nice to see what is going on, step-by-step, when you're encountering this stuff for the first time.

The other day, I thought, "It's time to code this up in R". So, here we are!

Wednesday, April 25, 2012

LeaRning R

If, like me, you're still an R novice, you'll no doubt find this post on Pairach Piboonrungroj's blog extremely helpful. Among other things, Pairach provides links to 20 40 "R tutorials". It's a really nice resource!

H.T. to David Smith for posting about this on the Revolutions blog.



© 2012, David E. Giles

Grad. Students' Projects

It's that time of year again - classes are over and I'm grading exams and projects. This term I was teaching an introductory Economic Statistics course and an elective grad. Econometrics course. I've graded the latter exams., but I'm buried in about 200 scripts for the undergraduate course. I've also got the term projects for the graduate course to go through. They look really good!

Monday, April 23, 2012

Natural Resources and Canadian Real Income Growth

In today's issue of The Daily, Statistics Canada has released a terrific study titled "The Role of Natural Resources in Real Income Growth". The paper's authors are John Baldwin and (former UVic. grad. student) Ryan McDonald. (H.T. to Ryan for bringing this to my attention.)

The study itself is extremely comprehensive, and provides some interesting new results about long-term economic growth in Canada. You can download the pdf version from here.

Drop-Down Menus for R

A few days ago, Andrew Barr had a great post on his blog. It was titled, "R is not just for nerds....it has drop-down menus!" You can bet that this one caught my eye when it was re-posted on R-Bloggers.

Briefly, Andrew takes us through the installation and basic use of the Java Gui for R (JGR) in conjunction with the Deducer package. Andrew noted in a previous post last month that a big advantage that JGR (say "Jaguar") has over the alternative GUI interfaces for R that are around is that it genuinely cross-platform, and will work in the same way on different operating systems.

I'm definitely going to be playing with it!



© 2012, David E. Giles

Saturday, April 21, 2012

Bayesian Econometrics - Forty Years On

My Ph.D. dissertation was in Bayesian Econometrics. I started working on the dissertation early in 1973, and Arnold Zellner's classic text had been available for just over a year. So, perhaps not surprisingly, one of the first things that I did was to sit down and go through his book with a fine tooth comb. It took quite a while, but it was time well spent!

Friday, April 20, 2012

More on Confidence Bands for the HP Filter

Last December I had a post (and a subsequent correction) relating to a method for constructing confidence bands for the Hodrick-Prescott (H-P) filter. More specifically, I proposed a way of constructing a confidence band for the trend, or long-run growth component, of a time-series that has been run through the H-P filter.

A few people suggested to me that it might be worth writing up the material more formally, so I've done just that. You can find the working paper version here.

I've included two applications in the paper - both of them different from the one that I used in the blog post. One application relates to the U.S. unemployment rate, and the other involves U.S. real value-added output.

Feedback would be appreciated!

© 2012, David E. Giles

Thursday, April 19, 2012

Extremes, the Generalized Pareto Distribution, and MLE

In a recent post I discussed some of my work relating to modelling extreme values in various economic data-sets. The work that my colleagues and I have been undertaking focuses on the use of the Generalized Pareto distribution (GPD). The estimation of the parameters of this model facilitates estimates of Value at Risk (VaR) and Expected Shortfall (ES).

There are various ways of estimating the parameters of the GPD but, not surprisingly, maximum likelihood estimation (MLE) is a common choice. However, there are some real traps when it comes to estimating the GPD using MLE, and they're worth knowing about if you're into this sort of thing.

Wednesday, April 18, 2012

Surplus-Lag Granger Causality Testing

My previous posts (here, here, and especially here) on Granger causality testing have attracted more interest than I anticipated. One of the things that I've discussed at some length is the "surplus-lag" approach that can be used when the data are possibly non-stationary and possibly cointegrated. In particular I've talked about the Toda and Yamamoto (1995) procedure, but there are alternatives such as those introduced by Dolado anL├╝tkepohl  (1996) and Saikkonen and L├╝tkepohl (1996).


These modifications to the standard approach to testing for Granger (non-) causality are needed to ensure that the Wald test statistic has its usual chi-square asymptotic null distribution. You can't just test in the usual way unless the data are stationary. In fact, the "surplus lag" approach has advantages even beyond those that we knew about already.


Tuesday, April 17, 2012

The Journal of Universal Rejection

Handling the econometrics submissions to this journal shouldn't be too onerous a task!


© 2012, David E. Giles

Monday, April 16, 2012

Modelling Extremes

Modelling extreme events is a challenging business. By definition, you're dealing with observations that are way out there in the tail(s) of the distribution. But that's where a lot of exciting things happen!

Sunday, April 15, 2012

The Popularity of Statistical Packages

No matter what your favourite statistical package is, you'll find this post by Robert Muenchen highly informative.

Robert concludes that:
"By most of the measures discussed here, R is competing well with the commercial software vendors. However, I advise not over generalizing from this data. SAS and SPSS continue to dominate the corporate world and Stata is doing quite well in the scholarly arena. Each of these packages is dominant in one market or another."

© 2012, David E. Giles

Saturday, April 14, 2012

Simultaneous Equations Models

Simultaneous Equations Models (SEM's) played an absolutely central role in the history of Econometrics. Simultaneous systems and measurement errors went hand in glove in forcing the emergence of econometrics as a field in its own right.

It's not that long ago that courses in econometrics devoted a good deal of time to SEM's. These days we spend much less time discussing these models, which is a shame because there are lots of important insights associated with them.

Friday, April 13, 2012

Count Data & the Hermite Distribution

One of the limitations of the usual discrete distributions that we use when modeling "count data" is that they can't allow for multi-modality (except in a trivial manner). So, there's no use in trying to model multi-modal data using a Poisson regression  model, or a Negative Binomial regression model, for example.

However, such data occur frequently in practice. So, what options are open to us?

Wednesday, April 11, 2012

EconAcademics.org


This, last evening, from Christian Zimmermann, at the Federal Reserve Bank of St. Louis:
"Dear Blogger,
Congratulations, you made the list!
The Federal Reserve Bank of St. Louis is launching a blog aggregator, EconAcademics.org, to highlight and promote the discussion of  economics research. Your blog is part of this effort. This email explains why and how you can help promote the discussion of economic research in the blogosphere.
EconAcademics.org lives at http://econacademics.org and aggregates blog posts that discuss economic research. The aggregator looks through blog posts for a link to some research indexed on a RePEc service, currently EconPapers, IDEAS and NEP. IDEAS then also links back from the abstract page to the blog posts."
Another nice service from the providers of RePEc!



© 2012, David E. Giles

Monday, April 9, 2012

A Fistful of Pennies

Finally, Canada has decided to eliminate the humble penny from its coinage. This decision was announced as part of the recent Federal Budget. In eliminating the penny, Canada will be joining a host of other countries who have "taken the plunge" in recent years. 

No sooner had the announcement been made, than I began to encounter comments (on talk-back radio, and elsewhere) to the effect that "some retailers will use this as an excuse to 'round up' the ticket price of some items, and we'll all get ripped off". In fact, some people are claiming that this development will be inflationary.

Oh really? Apart from using a bit of common sense, let's see what the statistical evidence has to say abut all of this.

Sunday, April 8, 2012

Good Advice on Seminar Presentations

The Three-Toed Sloth presents this excellent advice on seminar presentations.

It's advice that's heeded far more often by Statisticians than by Economists, in my experience.

The only things I'd add are : One hour is plenty of time - 1.5 hours is too long for most attention spans; and we go to seminars to listen to the speaker, not to listen to members of the audience interrupting the speaker.



© 2012, David E. Giles

Friday, April 6, 2012

Is it Me or is it Them??

I really do value these sessions we've been having together.

Occasionally I have some "gripe" that I just have to get off my chest. I try really hard, not to let these things "get to me" - honest, I really do!! I'm sure that you've noticed.

I try. But sometimes it all gets too much. I can't explain it in rational terms. Maybe the meds. just didn't kick in as anticipated?

For whatever reason, I sometimes find myself feeling frustrated, and confused, by what I see around me .......... that is, with respect to some of the so-called "applied econometrics" literature that gets rammed down my throat. I know that I don't have to read it. But just when I'm happily ignoring it, I end up in a seminar where it rears its ugly head. I know, I know, .... I should just shrug it off.

An example? Sure - that's easy. By the way,.......Has the clock started?

New Release of Gretl

It's great to see that there's recently been a new release of the Gretl Econometrics Package. Version 1.9.8 was released in late March. You can follow developments and news, and share you experiences with Gretl, on the associated Wiki.

One thing that's sometimes overlooked as our econometrics computing becomes easier and easier, is that ultimately it's what's "under the hood" that counts. How accurate and robust is the underlying code? The Gretl team should be commended for addressing this issue right "up front". The code seems to pass the standard tests with flying colours, as you can see from a side-bar link on their home page.

There's lots to love about Gretl, and its developers deserve a huge "Thank You!"


© 2012, David E. Giles

Sunday, April 1, 2012

Unit Root Tests With Missing Observations

Whenever we test the stationarity of our time-series data we use a "complete" historical time-series. That's to say, there can't be any "gaps" in the series,arising perhaps due to data observations that were not recorded, are contaminated, or are such extreme outliers that they are unbelievable and have to be discarded.

If observations are missing, for whatever reason, then we can't apply standard tests such as the Augmented-Dickey-Fuller (ADF) test, or the Kwiatowski, Phillips, Schmidt and Shin (KPSS) test.

Or can we?

A Very Sad Day for Econometrics

It's with great sadness that we learned this morning that Hal White (UCSD) has passed away. An econometrician of enormous stature, he will be greatly missed.

James Hamilton had this to say.


© 2012, David E. Giles