Wednesday, October 31, 2012

Listening to your Data

The latest issue of Significance Magazine (a joint publication of the Royal Statistical Society, and the American Statistical Association), includes an interesting article by Ethan Brown and Nick Bearman. It's titled, "Listening to Uncertainty: Information That Sings". 

The article is about "sonification" - listening to your data!

Tuesday, October 30, 2012

Some Properties of Non-linear Least Squares

You probably know that when we have a regression model that is non-linear in the parameters, the Non-Linear Least Squares (NLLS) estimator is generally biased, but it's weakly consistent. This is the case even if the model has non-random regressors and an additive error term that satisfies all of the usual assumptions.

In addition, even if the model’s errors are normally distributed, the NLLS estimator will have a sampling distribution that is non-normal in finite samples, and the usual t-statistics will not be Student-t distributed in finite samples.

In this post I'll illustrate these, and some other results, by using a simple Monte Carlo experiment.

Monday, October 29, 2012

Central Limit Theorems

When we first encounter asymptotic (large sample) theory in econometrics, one of the most important results that we learn about is the Central Limit Theorem.  Loosely speaking we learn that if we aggregate together enough values that are sampled randomly from the same distribution, with a finite mean and variance, then this aggregate starts to behave as if it is normally distributed.

However, too few courses make it clear that this "classical" central limit theorem is just one of several such results. The one that assumes independently and identically distributed values is actually the Lindeberg-Lévy Central Limit Theorem. There are other, related, results that deal with less restrictive situations.

Friday, October 26, 2012

Viren Srivastava

Recently, a reader of this blog asked I could provide some information about the late V.K. Srivastava, and the substantial contributions that he made to econometrics and to statistics generally.

I'm more than happy to oblige, as Virendra (Viren) was a good friend of mine, a treasured co-author, and a very caring and humble individual.

Tuesday, October 23, 2012

Jobs for Econometricians

My impression is that there is a strong  international market for economists who have strong skills in econometrics. I'm not talking just jobs in the academic community, but also about positions in the private, public, and non-profit sectors too.
This blog has a page that list a very small selection of such jobs. This list has never been meant to be exhaustive. That's not what this blog is about. Rather, the jobs listed on that page are meant to be illustrative of some of the various jobs that are available to econometricians.
If you're looking seriously for an academic position, especially at the entry level, then the obvious place to start is Job Openings for Economists (JOE). This is sponsored by the American Economics Association, but handles jobs internationally. Although the focus is on academic positions, jobs in other sectors appear in JOE too.
Another website that may interest you is This is a commercial site that lists positions specific to econometrics. It also has international coverage, and covers all sectors of the workforce. Just browsing some of the jobs that are advertised there may broaden your perception of the opportunities that are available to econometricians.
There are other sites too, of course. Perhaps some of these will get mentioned in comments to this post. 

© 2012, David E. Giles

Saturday, October 20, 2012


H/T to my colleague, Martin Farnham, for drawing my attention to Mathgen.
Thanks to Nate Eldridge, a mathematician at Cornell University, who blogs at That's Mathematics!, you can randomly generate your own mathematics research paper!
In fact, a Mathgen-generated was recently accepted for publication at one of those pseudo-journals that seem to have sprouted with a vengeance of late. If you weren't convinced already that these publishing outlets should be avoided like the plague, this ought to do it for you!
Just for funzies, I decided to solicit Mathgen's assistance in writing my own paper. It took just a few seconds, and you can read it here. Constructive comments are welcomed, of course. Just don't ask me what the title means.
I have a feeling that this is going to be a particularly productive weekend!
(As Martin suggested to me, this is every journal editor's new nightmare!)

© 2012, David E. Giles

Thursday, October 18, 2012

Let's be Consistent

One of the standard, large-sample, properties that we hope our estimators will possess is "consistency". Indeed, most of us take the position that if an estimator isn't consistent, then we should probably throw it away and look for one that is!

When you're talking about the consistency of an estimator, it's a really good idea to be quite clear regarding the precise type of consistency you have in mind - especially if you're talking to a statistician! For example, there's "weak consistency", "strong consistency", "mean square consistency", and "Fisher consistency", at least some of which you'll undoubtedly encounter from time to time as an econometrician.

Monday, October 15, 2012

Some Historical Links

You've probably noticed that some of my posts are essentially pieces that focus on some aspect of the history of econometrics, and/or the history of statistics.  I certainly have a bit of an interest in these topics, and I also find that it's helpful to inject a bit of historical content when I'm teaching. 

It doesn't necessarily have to be very much - just something interesting to make the name of the econometrician in question, or the origin of a concept a bit more memorable. Or perhaps some historical context that's intended to clarify why the literature took a certain turn at a certain time.

It's both interesting and enlightening to know something about where your discipline came from, how it evolved over time, and who the players were. Some of them were really interesting people!

Friday, October 12, 2012

What I Learned Last Week

Somewhat to my surprise, last month I got a great response to my post, "My Must-Read List" (HT's to Mark Thoma & Tyler Cowen). This past week I learned a lot by reading some terrific new papers on a variety of econometrics topics. Here they are, with some commentary, and in no particular order:

Degrees of Freedom in Regression

Yesterday, one of the students from my introductory grad. econometrics class was asking me for more explanation about the connection between the "degrees of freedom" associated with the OLS regression residuals, and the rank of a certain matrix. I decided to out together a quick handout to do justice to her question, and it occurred to me that this handout might also be of interest to a wider group of student readers.
So, here's what I wrote.

Wednesday, October 10, 2012

How Good is Your Random Number Generator?

Simulation methods, including Monte Carlo simulation and various forms of the bootstrap, are widely used by econometricians. We use these tools to learn about the sampling distributions of our estimators and tests, especially in situations where a purely analytic approach is technically difficult.

For example, sometimes we're able to appeal to standard asymptotic (large sample) results - such as the central limit theorems, and the laws of large numbers - to figure out how good our inferences will be if the sample size is very large. However, when it comes to the question of how good they are when the sample size is quite small, the answer may not be so easily established.

In addition, when we come up with a new theoretical result in econometrics, most of us take the precaution of also simulating the result - as check on its accuracy.

Monte Carlo and bootstrap methods rely critically on our ability to generate "pseudo"-random numbers that have the characteristics that we ascribe to them. How often have you actually checked  if the random number generators in your favourite econometrics package produce values that are "random", and follow the distribution that you've asked for? Probably not often enough!

I follow John Cook's blog, The Endeavour. A couple of years ago he had a nice post titled, "How to test a random number generator". In that post, he links to a chapter of the same title that he wrote for the book, Beautiful Testing (edited by Tim Riley and Adam Goucher).

John's chapter is a short, but very valuable read, and I recommend it strongly.

© 2012, David E. Giles

Top 100 Economics Blogs

I was happy to learn this morning that the Economics Degree website has just released a list of Top Economics Sites for Enlightened Economists. There are 100 blogs in total, and the preamble notes:

"Listed in no specific order, these sites are a must-see for anyone who wants to be considered a quality, “enlightened” economist. Sites were selected based on a variety of factors including readership size, update frequency, information quality, and other awards received. "
I was even more pleased to see that this blog made the list (see number 71 & remember they're in particular order!), with the following, very kind, description:
"This is a high-quality blog with a strong econometrics focus. The posts are jam-packed with information and ideas, and are clearly intended for readers with a background in statistics or econometrics."
(Blush. Blush.)

There are some great sites for students and professionals alike on this Top 100 list.

Nice job!

© 2012, David E. Giles

Tuesday, October 9, 2012

Mathematics, Economics, & the Nobel Prize

With the announcement of this year's Nobel Prize in Economic Science less than a week away, here's a recent working paper that you'll surely enjoy: "The use of mathematics in economics and its effect on a scholar's academic career", by Miguel Espinosa, Carlos Rondon, and Mauricio Romero. (Be sure that you download the latest version - dated September 2012.)

Here's the abstract:
"There has been so much debate on the increasing use of formal mathematical methods in Economics. Although there are some studies tackling these issues, those use either a little amount of papers, a small amount of scholars or cover a short period of time. We try to overcome these challenges constructing a database characterizing the main socio-demographic and academic output of a survey of 438 scholars divided into three groups: Economics Nobel Prize winners; scholars awarded with at least one of six prestigious recognitions in Economics; and academic faculty randomly selected from the top twenty Economics departments worldwide. Our results provide concrete measures of mathematization in Economics by giving statistical evidence on the increasing trend of number of equations and econometric outputs per article. We also show that for each of these variables there have been four structural breaks and three of them have been increasing ones. Furthermore, we found that the training and use of mathematics has a positive correlation with the probability of winning a Nobel Prize in certain cases. It also appears that being an empirical researcher as measured by the average number of econometrics outputs per paper has a negative correlation with someone's academic career success." (Emphasis added; DG)
The first of the highlighted conclusions doesn't surprise me. I'm not sure that I like the second one, though!

© 2012, David E. Giles

Monday, October 8, 2012

Seminar Attendance: A Pep-Talk for Grad. Students

Grad. students are busy, busy, people. That's true, no matter what discipline or what institution we're talking about. They're busy with their course-work, comprehensive exams, research, drinking beer, working as teaching assistants and research assistants, maintaining relationships with partners and children..............Grad. students even get to sleep every now and then!

So, something has to give. One way to grab an extra two or three hours each week is to avoid attending, and participating in, the research seminars put on by your department. Is that a smart choice, though?

Sunday, October 7, 2012

Dancing With the Econometricians

Let's talk about the two-step. Not the tango or the polka. The two-step!

More specifically let's talk about a particular two-step estimator that we use all of the time in econometrics. I want to clear up some misconceptions that I seem to encounter all too frequently when I read empirical "applied" papers.

Why is it that some people insist on using the term "Two Stage Least Squares" inappropriately? 

Let me explain what I mean.

Tuesday, October 2, 2012


Congratulations to Ryan Godwin for successfully defending his Ph.D. dissertation yesterday. Ryan's dissertation was titled, "Econometric Analysis of Non-Standard Count Data", and you can find the abstract on the notice for his defense here.
Ryan is now on faculty in the Department of Economics at U. Manitoba.

I'm looking forward to working with Ryan in the future.
© 2012, David E. Giles