Tuesday, February 26, 2013

Non-linear Functions of Non-Stationary Data Can be Stationary

I was at a conference the other day, and Peter Phillips made the comment that if we take the Sine or Cosine of a non-stationary time-series, then the Dickey-Fuller test will suggest that the transformed series is stationary. More specifically, this happens if the sample size is large enough.

That got me thinking, and searching, and eventually I came across a paper by Chien-Ho Wang and Robert M. de Jong (see the reference below). Indeed, they establish precisely the result that Peter was referring to.

Counting the Flowers - Again!

We're at it again! The annual (city of) Victoria Flower Count runs from today until 4 March. 

I attacked addressed this horticultural icon in a very early post on this blog a couple of years ago, and again last yearBasically, the flower count is an excuse for the people of this town to poke fun at those who live (?) in the real part rest of Canada. We remind them that while they're still attacking the snow and ice with a shovel and pick, we're picking the flowers that have already begun to bloom.

Here's my prediction for this year:

 1,475,588,000 blooms (forecast standard error = 2,257,716,000 blooms !)

 See the EViews workfile in the "Code" page for this blog for details.

© 2013, David E. Giles

Friday, February 22, 2013

Econometrics in New Zealand

Econometrics is alive and well in New Zealand! 

This comes as no surprise to me, given the long and illustrious history of the discipline in that country. and the continuation of that tradition was in evidence this past week at the 23rd meeting of the New Zealand Econometrics Study Group.

I mentioned in an earlier post that I was attending the meeting again this year, after an unconscionable gap of more than a decade. I'm really pleased that I was able to be there, at the University of Auckland, together with other participants from Japan, Korea, Australia, the U.K., Canada, and the U.S. - as well as many from New Zealand, of course.

The meeting was of the type that I really enjoy - a small group of enthusiasts sharing the multiple tasks of presenting and discussing papers, and chairing the sessions. It was great t meet new people, to see how the econometrics community is faring in New Zealand, and to catch up with former colleagues, former students, and students of former students!

The program covered a wide range of interesting material in econometric theory and applied econometrics. There was a bit of an emphasis on time-series econometrics and financial econometrics.  Empirical macroeconomics was well represented, but there wasn't the usual over-kill of empirical microeconomics papers. Not that I'm complaining about that - it was a breath of fresh air for me personally!

There were 25 presented papers, the quality of which was excellent, and these (not just the abstracts) are available here.

The highlight for me was set of presentations by the younger participants. These were really outstanding!

Prizes were presented for the best papers from the latter authors, and these went to ?Lorenzo Ductor (Massey University, N.Z.) and Yae in Baek (Yonsei University, Korea). Ole Maneesoonthorn (University of Melbourne) and Gael Price and Katy Bergstrom (both of the Reserve Bank of N.Z.) received well-deserved "honourable mentions". It must have been very difficult for the adjudication panel to separate all of these fine papers and presentations.

My thanks to Peter Phillips, Dimitris Margaretis, Taesuk Lee,  and everyone else involved in the organization and support of this excellent conference; and my congratulations to them for continuing to foster and promote the New Zealand tradition of excellence in econometrics.

I'll be back - if you'll have me!

© 2013, David E. Giles

Monday, February 18, 2013

Gretl Conference 2013

It was good to hear today from Riccardo (Jack) Luccetti, one of the developers of the Gretl econometrics package.

Jack wrote to draw my attention to the Gretl Conference 2013 that is being held in Oklahoma City in June of this year. This is the first time that the conference is being held in Nth. America.

Not sure if I will be able to make it, but it is very tempting!

© 2013, David E. Giles

Saturday, February 16, 2013

Working as a Statistician at Google

If you love doing empirical work, you've probably wondered what it's like to work at an organization such as Google, where the term "Big Data" takes on a whole new meaning.

If so, you'll enjoy reading Jeff Leek's "Interview with Nick Chamandy, statistician at Google", on the Simply Statistics blog. Nick provides some interesting insights into the life of the statisticians/data analysts at Google, and the culture surrounding their work.

Here are a few excerpts:
"When posting job opportunities, we are cognizant that people from different academic fields tend to use different language, and we don’t want to miss out on a great candidate because he or she comes from a non-statistics background and doesn’t search for the right keyword. On my team alone, we have had successful “statisticians” with degrees in statistics, electrical engineering, econometrics, mathematics, computer science, and even physics. All are passionate about data and about tackling challenging inference problems." ..................................
"Our data sets contain billions of observations before any aggregation is done. Even after aggregating down to a more manageable size, they can easily consist of 10s of millions of rows, and on the order of 100s of columns." ......................
"In the vast majority of cases, the statistician pulls his or her own data — this is an important part of the Google statistician culture. It is not purely a question of self-sufficiency. There is a strong belief that without becoming intimate with the raw data structure, and the many considerations involved in filtering, cleaning, and aggregating the data, the statistician can never truly hope to have a complete understanding of the data."  .........................
I definitely approve of that philosophy.


© 2013, David E. Giles

Friday, February 8, 2013

I Think It's Them!

The other day I was refereeing a paper, and I thought back to an earlier post from April of last year - "Is it Me or is it Them ??"

'Reminiscing', you say?

Hardly - it's just that I'm still reading far too many empirical (usually micro.) papers in which the econometric "analysis" leaves me shaking my head.

I'm not going to repeat the previous post (you can read it for yourselves), and I certainly can't afford another session with Jane right now.

However, I'm pleased to be able to report that I do think I'm making some progress with my issues!

I've decided that it's not me - it's them!

(That feels better.)

© 2013, David E. Giles

Tuesday, February 5, 2013

N.Z. Econometrics Study Group

Later this month I'll be participating at the 23rd annual meeting of the New Zealand Econometric Study Group. As is often the case, the meeting is being held in Auckland - specifically at the University of Auckland.

The NZESG was spear-headed by Yale-based New Zealander Peter Phillips, and he's done a huge amount over the years to promote the continued excellence of the N.Z. econometrics scene.

At this month's meeting I'll be talking about some of my joint work (with Helen Feng and Ryan Godwin) on bias reduction in the context of maximum likelihood estimation. (See here for more on this topic.) It seems I'm also chairing a session and discussing a Peter's presentation of his paper, "On Confidence Intervals for Autoregressive Roots and Predictive Regression ".

It's been quite a while since I was able to get to an NZESG meeting, so I'm really looking forward to catching up with old friends, and seeing what's happening with the always-flourishing N.Z. econometrics community.

I'll report further on this on my return from New Zealand.

© 2013, David E. Giles