Wednesday, September 28, 2011

Estimating Models With "Under-Sized" Samples

"....and there is no new thing under the sun."
Ecclesiastes 1:9 (King James Bible)

The first part of my career was spent at New Zealand's central bank (the Reserve Bank of N.Z.), where I was heavily involved in the construction and use of large-scale macroeconometric models. By the mid 1970's our models involved more than 100 equations (of which about 50 were structural relationships that had to be estimated; and the rest were accounting identities). The basic investigative estimation was undertaken using OLS; and variants such as the Almon estimator for distributed lag models. Boy, this dates me!

Of course, we were well aware that OLS wasn't appropriate for the finished product. These models were simultaneous equations models, so OLS was inconsistent. Obviously, something more appropriate was need, but which estimator should we use?

Friday, September 23, 2011

Student's t-Test, Normality, and the Bootstrap

Is Student's t-statistic still t-distributed if the data are non-normal? I addressed this question - in fact, an even more general question - in an earlier post titled "Being Normal is Optional!". There, I noted that the null distribution of any test statistic that is scale-invariant, will be the same if the data come from the elliptically symmetric family distributions, as if they come from the normal distribution.

Wednesday, September 21, 2011

Are You in Need of Some Psychic Help?

Occasionally I bid for items on ebaY. Sometimes I'm successful.  A few years ago I bought an item in this way, and it turned out that the seller lived here in my home town. I arranged to collect my purchase from his house, and in the course of the transaction he passed me his business card.

Apart from his first name, and telephone number, the only other word on the front of the very colourful card was "PSYCHIC". I kid you not!

Tuesday, September 20, 2011

Communications With Economists

There's an interesting looking online conference coming up in November - the 16th to 18th of November, specifically. This free conference is courtesy of the Journal of Economic Surveys, and their publisher, Wiley.

The full title of the conference is "Communications With Economists: Current and Future Trends", and there will be three keynote videos; five papers with invited commentaries; workshops on academic publishing; a "reading room"; and lots of discussion.

Students can register, and of special interest to students and practitioners of econometrics will be the keynote video by Professor Sir David Hendry (University of Oxford), one of the foremost econometricians of our time.

Thanks to Les Oxley and the rest of the team at JOES.

Register here - I have!

© 2011, David E. Giles

Friday, September 16, 2011

R Meets Google

Always on the lookout for innovative and free ways to implement data analysis, I was intrigued by a post on Andrew Gelman's blog yesterday, titled "More Data Tools Worth Using From Google". It referred to a 2009 post, "How to Use A Google Spreadsheet as Data in R" (recently updated here) on the Revolutions blog. The title of the post tells it all.

Definitely worth knowing about! Free spreadsheet; free statistical software. What more could you want?

But wait ...... there's more!

In a comment from Zach on the Gelman blog this morning, I learned about Google Motion Charts With R. As Zach notes, it allows you to take data from R and graph it directly using the Google Motion charts API. You may find that it's fussy over which browser you use, but that's O.K. It's recent release, and the R package you need is on the CRAN site here.

Have fun!

© 2011, David E. Giles

Thursday, September 15, 2011


In a much earlier post I took a jab at the excessive attention paid to the concept of "multicollinearity", historically, in econometrics text books.

Art Goldberger (1930-2009) made numerous important contributions to econometrics, and modelling in the social sciences in general. He wrote several great texts, the earliest of which (Goldberger, 1964) was one of the very first to use the matrix notation that we now take as standard for the linear regression model.

In one of  his text books, Art also poked fun at the attention given to multicollinearity, and I'm going to share his parody with you here in full. In a couple of places I've had to replace formulae with words. What follows is from Chapter 23.3. of Goldberger (1991):

Wednesday, September 14, 2011

P-Values of Differences of P-Values of Differences of....

An interesting post on Andrew Gelman's blog last week reminded us that we have to be careful to distinguish between the statistical significance of the difference between two "effects", and the difference between the significances of two separate effects. They're not the same thing, and it's the first of these that's usually relevant.

Let's re-phrase this, and put it in baby econometrics terms.

Monday, September 12, 2011

Econometrics and One-Way Streets

It's a nice sunny day out there, so you decide to get on your bike and pedal down the street a couple of blocks to your favourite ice cream parlour. Great idea! Except that it's a one-way street and you're pedalling against the traffic. Fortunately, on this particular day, most people have already headed for the beach, there are very few cars that have to avoid you, and somehow you make it to your destination in one piece. Whew!

Now, maybe your ears are suffering from some of the abuse you received along the way - maybe not. I guess it would depend on exactly who you encountered during your little trip. In any event, you savour your well-earned ice cream and feel pretty good about yourself, and life in general. You could have travelled the longer route, around the block, to avoid the one-way street, but gee, the end result was the same, so that's all that matters. Right?

Wednesday, September 7, 2011

A Tale of Two Tests

Here's a puzzle for you. It relates to two very standard tests that you usually encounter in a first (proper) course in econometrics. One is the Chow (1960) test for a structural break in the regression model's coefficient vector; and the other is the Goldfeld and Quandt (1965) test for homoskedasticity, against a particularly simple form of heteroskedasticity.

What's the puzzle, exactly?

Monday, September 5, 2011

Where are You Now?

One of the great thrills of this job is working together with students as they learn about econometrics. I've been most fortunate to have been associated with quite a few students who have had enough interest in the subject to subsequently go on to undertake graduate research with me.

Along the way, I've worked with some great people. They've been talented, dedicated, and a lot of fun to be around. If they learned anything from me, then I'm grateful - because I certainly learned from them, at least ten-fold.

I thought it was time to mention these students and to acknowledge their achievements. So, I've added a new Former Students page to this blog.

My fear is that I may have omitted someone from this Graduate Students page. My hope is that I'll hear from those of you who want to update me on your career progress and current position.

© 2011, David E. Giles

Thursday, September 1, 2011

Still Searching for the Number of Weeks in a Year

When I put up a post titled "How Many Weeks Are There in a Year" back in April, little did I know how many hits it would get. For a while I was intrigued to see that visitors kept arriving. They still do - every day, without fail.

Then I realized the reason why. It wasn't because the readers of this post were in search of econometric enlightenment. Oh no! There was a much more obvious reason. They genuinely want to know the answer to the question posed in the title of that post!

A quick look at the blog "stats" revealed that there are some popular web search strings that lead these poor souls, no doubt kicking and screaming, to this site.