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Thursday, September 15, 2011

Micronumerosity

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):