Terribly Simple, But Simply Terrible

Last Saturday there was a general election in New Zealand, where I've been visiting for the past couple of weeks. In conjunction with this election there was also a referendum on the future of the voting system that they use. For about 17 years now they have used a "Mixed Member Proportional" (MMP) system.

Spurious Precision

I'm currently in New Zealand - hence the smaller number of posts recently - and I came across the following example of a "best before" date on the lid of a jar of marmalade:

Trends in Econometrics

In an earlier post I mentioned the online conference that was organized by Wiley and The Journal of Economic Surveys over the past few days.

Here is the link to David Hendry's keynote lecture, "Trends in Econometrics", together with organized commentaries from Neil Ericsson and Katerina Juselius.

Great stuff! We need more of this.

© 2011, David E. Giles

Surrounded by Morons

Just kidding!! Honestly!!! Really!

Close Encounters of the Math Kind

Alert readers of this blog may have noticed (front page) that I have an Erdös Number of 4. That's to say, I've published (several) papers co-authored with someone, who co-authored a paper with someone, who co-authored a paper with the mathematician Paul Erdös.

The Econometrics Channel

Coming very soon, to a YouTube near you - Numberphile!

A Real Econometrics Seminar

Last Friday we were treated to a particularly good seminar in our Department. Sílvia Gonçalves (here, at Université de Montréal) presented a paper, "Bootstrapping factor-augmented regression models" (joint with Benoit Perron). Yes, an actual Econometrics seminar!

Cointegration, Structural Breaks, and gretl

In a post in May I discussed testing for cointegration in the presence of structural breaks, and provided some EViews code to facilitate this. I then followed that up with another post in June that provided corresponding R code and a set of tables, both produced with Ryan Godwin.

Riccardo (Jack) Lucchetti, co-author of the (free) gretl econometrics package converted our code into gretl script, and kindly sent it me. Passing the script on to eveyone is long overdue - sorry about the delay, Jack!

VECMs, IRFs & gretl

In a comment on my post yesterday, "psummers" kindly pointed out that the free econometrics package, gretl, will also produce confidence intervals for Impulse Response Functions (IRFs) generated by a VECM.

I had an earlier post about gretl, and here is a very brief run-down on using it to produce those VECM-IRF confidence intervals.

Impulse Response Functions From VECMs

In the comments and discussion associated with an earlier post on "Testing for Granger Causality" an interesting question arose. If we're using a VAR model for constructing Impulse Response Functions, then typically we'll want to compute and display confidence bands to go with the IRFs, because the latter are  simply "point predictions". The theory for this is really easy, and in the case of EViews it's just a trivial selection to get asymptotically valid confidence bands.

But what about IRFs from a VECM - how do we get confidence bands in this case? This is not nearly so simple, because of the presence of the error-correction term(s) in the model. EViews doesn't supply confidence bands with the IRFs in the case of VECMs. What alternatives do we have?