Friday, June 21, 2019

Consulting Can be Fun!

Over the years, I've done a modest amount of paid econometrics consulting work - in the U.S., New Zealand, Australia, the U.K., and here in Canada. Each job has been interesting, and rewarding, and I've always learned a great deal form the briefs that I've undertaken.

The other day, a friend asked me, "Which consulting job was the most fun?"

Actually, the answer was easy!

A few years ago I consulted for the Office of the Auditor General of Canada, in Ottawa. I was brought in because I had consulted for Revenue New Zealand on the issue of tax evasion, and I had co-authored a book on the Canadian "underground economy" with Lindsay Tedds.

So what was the consulting work with the Auditor General's office all about? Well, they were conducting an audit of what was then called Revenue Canada (now, the Canadian Revenue Agency). In other words, "the tax man"!

Although the report arising from this audit is a matter of public record, I won't go into it here. 

Suffice to say, what could be more fun that conducting an audit of your country's tax authority?

© 2019, David E. Giles

Thursday, June 20, 2019

2019 Edition of the INOMICS Handbook

I'm sure that all readers will be familiar with INOMICS, and the multitude of resources that they make available to economists.

The INOMICS Handbook, 2019 is now available, and I commend it to you.

This year's edition of the Handbook includes material relating to:
  • The gender bias in the field of economics
  • The soft skills you need to succeed as an economist
  • Climate change and how economics can help solve it
  • What makes a successful economist
  • An exclusive interview with Princeton Professor, Esteban Rossi-Hansberg
  • Winners of the INOMICS Awards 2019
  • Recommended study and career opportunities
© 2019, David E. Giles

Tuesday, June 11, 2019

More Tributes to Clive Granger

As a follow-up to my recent post, "Clive Granger Special Issue", I received an email from Eyüp Çetin (Editor of the European Journal of Pure and Applied Mathematics).

Eyüp kindly pointed out that "......... actually, we published the first special issue dedicated to his memory exactly on 27 May 2010, the first anniversary of his passing at 

We think this was the first special issue dedicated to his memory in the world. The Table of Contents may be found here .

Another remarkable point that we also published some personal and institutional tributes and some memorial stories for Sir Granger that never appeared elsewhere before at 

Some institutions such as Royal Statistical Society, Japan Statistical Society and University of Canterbury have sent their tributes to this special volume." 

© 2019, David E. Giles

Friday, June 7, 2019

Clive Granger Special Issue

The recently published Volume 10, No. 1 issue of the European Journal of Pure and Applied Mathematics takes the form of a memorial issue for Clive Granger. You can find the Table of Contents here, and all of the articles can be downloaded freely.

This memorial issue is co-edited by Jennifer Castle and David Hendry. The contributed papers include ones that deal with Forecasting, Cointegration, Nonlinear Time Series, and Model Selection.

This is a fantastic collection of important survey-type papers that simply must read!

© 2019, David E. Giles

Friday, May 31, 2019

Reading Suggestions for June

Well, here we are - it's June already.

Here are my reading suggestions:
© 2019, David E. Giles

Sunday, May 19, 2019

Update on the "Series of Unsurprising Results in Economics"

In June of last year I had a post about a new journal, Series of Unsurprising Results in Economics (SURE).

If you didn't get to read that post, I urge you to do so. 

More importantly, you should definitely take a look at this piece by Kelsey Piper, from a couple of days ago, and titled, "This economics journal only publishes results that are no big deal - Here’s how that might save science".

Kelsey really understands the rationale for SURE, and the important role that it can play in terms of reducing publication bias, and assisting with replicating results.

You can get a feel for what SURE has to offer by checking out this paper  by Nick Huntington-Klein and Andrew Gill that they are publishing.

We'll all be looking forward to more excellent papers like this!

© 2019, David E. Giles

Wednesday, May 1, 2019

May Reading List

Here's a selection of suggested reading for this month:
  • Athey, S. & G. W. Imbens, 2019. Machine learning methods economists should know about. Mimeo.
  • Bhagwat, P. & E. Marchand, 2019. On a proper Bayes but inadmissible estimator. American Statistician, online.
  • Canals, C. & A. Canals, 2019. When is n large enough? Looking for the right sample size to estimate proportions. Journal of Statistical Computation and Simulation, 89, 1887-1898.
  • Cavaliere, G. & A. Rahbek, 2019. A primer on bootstrap testing of hypotheses in time series models: With an application to double autoregressive models. Discussion Paper 19-03, Department of Economics, University of Copenhagen.
  • Chudik, A. & G. Geogiardis, 2019. Estimation of impulse response functions when shocks are observed at a higher frequency than outcome variables. Globalization Institute Working Paper 356, Federal Reserve Bank of Dallas.
  • Reschenhofer, E., 2019. Heteroscedasticity-robust estimation of autocorrelation. Communications in Statistics - Simulation and Computation, 48, 1251-1263.
© 2019, David E. Giles

Monday, April 29, 2019

Recursions for the Moments of Some Continuous Distributions

This post follows on from my recent one, Recursions for the Moments of Some Discrete Distributions. I'm going to assume that you've read the previous post, so this one will be shorter. 

What I'll be discussing here are some useful recursion formulae for computing the moments of a number of continuous distributions that are widely used in econometrics. The coverage won't be exhaustive, by any means. I provide some motivation for looking at formulae such as these in the previous post, so I won't repeat it here. 

When we deal with the Normal distribution, below, we'll make explicit use of Stein's Lemma. Several of the other results are derived (behind the scenes) by using a very similar approach. So, let's begin by stating this Lemma.

Stein's Lemma (Stein, 1973):

"If  X ~ N[θ , σ2], and if g(.) is a differentiable function such that E|g'(X)| is finite, then 

                            E[g(X)(X - θ)] = σ2 E[g'(X)]."

It's worth noting that although this lemma relates to a single Normal random variable, in the bivariate Normal case the lemma generalizes to:

"If  X and Y follow a bivariate Normal distribution, and if g(.) is a differentiable function such that E|g'(Y)| is finite, then 

                            Cov.[g(Y )X] = Cov.(X , Y) E[g'(Y)]."

In this latter form, the lemma is useful in asset pricing models.

There are extensions of Stein's Lemma to a broader class univariate and multivariate distributions. For example, see Alghalith (undated), and Landsman et al. (2013), and the references in those papers. Generally, if a distribution belongs to an exponential family, then recursions for its moments can be obtained quite easily.

Now, let's get down to business............

Sunday, April 21, 2019

Recursions for the Moments of Some Discrete Distributions

You could say, "Moments maketh the distribution". While that's not quite true, it's pretty darn close.

The moments of a probability distribution provide key information about the underlying random variable's behaviour, and we use these moments for a multitude of purposes. Before proceeding, let's be sure that we're on the same page here.

Friday, April 12, 2019

2019 Econometric Game Results

The Econometric Game is over for another year.

The winning team for 2019 was from the University of Melbourne.

The second and third placed teams were from the Maastricht University and Aarhus University, respectively.

Congratulations to the winning teams, and to all who competed this year!

© 2019, David E. Giles