Thursday, December 12, 2013

When Everything Old is New Again

We see it with clothing styles. Not just hemline lengths, but also the widths of jacket lapels and guy's ties. How wide should the trouser legs be? Cuffs or no cuffs? Leave your clothes in the closet long enough, and there's a good chance they'll be back in style some day!

And so it is with econometrics. Here are just a few examples:
  • Wald's estimator - an old standard from 1940 that I often mentioned to students - and then suddenly the microeconometricians "re-discovered" it.
  • The Anderson-Rubin test - a blast from the '50's - trendy again!
  • Sargan's test - you probably call it Hansen's J-test, but check your history books; or look here.
  • Almon's distributed lag model - now resurrected in the literature on MIDAS regressions.
  • Principal components regression - see my earlier post, here.
  • Ridge regression - alive and kicking as a special case of "BRIDGE" regression, along with the LASSOO, in the Big Data literature.
  • ARDL models - the 1960's resurrected, as in this earlier post.
Feel free to suggest some more such examples.

I think it's time I went and fished that purple paisley shirt out of the closet!


© 2013, David E. Giles

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