Seven Deadly Sins

Xiao-Li Meng has an interesting piece in the September 2013 issue of the IMS Bulletin. (IMS = Institute of Mathematical Statistics). You'll find it on page 4, and it's titled "Rejection Pursuit".

In short, it's about the author's repeated efforts, as a young researcher, to get a particular paper published. The story has a happy ending, and Xiao-Li leaves us with a list of "Seven Deadly Sins of Research Papers, and Seven Virtues to Cultivate":

This looks like excellent advice, regardless of your discipline.

And yes, the article does have an econometric connection. If you read the article and you're interested in non-stationary time-series, you'll probably see the connection coming before the author mentions it!

© 2013, David E. Giles

Beyond MSE - "Optimal" Linear Regression Estimation

In a recent post I discussed the fact that there is no linear minimum MSE estimator for the coefficients of a linear regression model. Specifically, if you try to find one, you end up with an "estimator" that is non-operational, because it is itself a function of the unknown parameters of the model. It's note really an estimator at all, because it can't be computed.

However, by changing the objective of the exercise slightly, a computable "optimal estimator" can be obtained. Let's take a look at this.