tag:blogger.com,1999:blog-2198942534740642384.post8394014132277417068..comments2023-10-24T03:16:41.009-07:00Comments on Econometrics Beat: Dave Giles' Blog: Cookbook EconometricsDave Gileshttp://www.blogger.com/profile/05389606956062019445noreply@blogger.comBlogger10125tag:blogger.com,1999:blog-2198942534740642384.post-78624858380947145742011-08-18T09:57:12.975-07:002011-08-18T09:57:12.975-07:00Darren: I have a lot of sympathy with your positio...Darren: I have a lot of sympathy with your position. Thanks for the pointer to Leamer's 2010 paper. When Ed's "Specification Searches" book came out in '78 I got 3 or 4 of my grad. students to do a "book reading" with me. We met once a week at lunchtime and worked our way through it. It was extremely worthwhile for everyone - myself included, of course.<br /><br />DGDave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-67222775967580887482011-08-18T06:25:26.823-07:002011-08-18T06:25:26.823-07:00Hi Dave,
Yes, I had heard of it, and in fact I...Hi Dave,<br /><br />Yes, I had heard of it, and in fact I'd downloaded it at one point, but I haven't as of yet read it. Thanks for the reminder! Leamer wrote a recent article called "Tantulus on the road to Asymptotia", and he seems to feel not much has changed.<br /><br />He's expert enough to credibly say what I merely suspected: most econometric theory is only usable in the context of a known DGP, and there are no known DGPs, only specification searches to choose a close approximation. The implications of this insight has not penetrated econometric practice and instruction anywhere near as much as it should have, it seems to me.Darrenhttps://www.blogger.com/profile/18123384778981698330noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-53109925484764585382011-08-17T08:58:42.963-07:002011-08-17T08:58:42.963-07:00Darren: All good points. Have you read Ed. Leamer&...Darren: All good points. Have you read Ed. Leamer's book, "Specification Searches: Ad Hoc Inference With Nonesperimental Data" (Wiley, N.Y., 1978)?<br /><br />DGDave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-22051659607896686322011-08-16T10:39:52.473-07:002011-08-16T10:39:52.473-07:00Proofs are nice, but the epistemological foundatio...Proofs are nice, but the epistemological foundations of econometrics (particularly questions of model selection and specification searching) are even more important, and usually neglected.<br /><br />Consider the first assumption: "The model is correctly specified - that is, there are no omitted or extraneous regressors; and the functional form (with respect to the variables) is correct."<br /><br />The problem here is that the very notion of model X having "missing" regressors or the "correct" functional form is meaningless unless there is a "true model" with the "right" regressors and the "right" functional form to which X can be compared.<br /><br />What would "the true model" be? If the data of interest were generated by a model, then that's the "true model". The problem of course is that the data of interest never come from models, they come from the world. <br /><br />Therefore, when dealing with the real world, there are no "correctly specified models" (and therefore, there aren't any 'true coefficients' either).<br /><br />I found all econometric theory completely baffling until I realized that all theoretical discussions of the properties of estimators were in the context of known DGPs, and that in the real world there ain't no such animal. The specification search (methods for which were never once discussed in any econometrics class I ever took, at either the undergrad or grad level), is the crude and imperfect fitting of a complex world into an oversimplified model.Darrennoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-58092237465185382072011-05-06T09:34:14.187-07:002011-05-06T09:34:14.187-07:00Anonymous 2: Thanks for the suggestion. I think I ...Anonymous 2: Thanks for the suggestion. I think I can do that. If you wanted to email me with a spcific example, please feel free to do so.<br /><br />DGDave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-38207459044215562112011-05-06T09:31:27.970-07:002011-05-06T09:31:27.970-07:00Anonymous 1: Thanks for the comment. I know what y...Anonymous 1: Thanks for the comment. I know what you mean - I was brought up in a math. dept. before moving to economics and econometrics at the grad. level.<br /><br />DGDave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-49259326037832562692011-05-06T09:23:08.956-07:002011-05-06T09:23:08.956-07:00BTW,
If you ever run out of ideas for topics. I&#...BTW,<br /><br />If you ever run out of ideas for topics. I've always been confused about moving average models in econometrics. I can follow all the proofs with the sequences of error terms and what not, but I never quite understood how the error terms are derived in the first place. It seemed weird that we just took the error terms as given in all the proofs I've seen, but perhaps Im just missing something obvious.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-42713331383456678582011-05-06T09:12:48.971-07:002011-05-06T09:12:48.971-07:00I took many a few advanced (for an undergrad) clas...I took many a few advanced (for an undergrad) classes in econometrics my sophomore year (at a top US school). The courses were advanced because they were very proof oriented (as opposed to the slightly more cookbook regular econometrics courses). They really wanted us to understand econometrics at a more profound level than the cookbook you are displeased about.... But I hated the proofs; they just made no sense. I could follow the strict logic from step to step, but reproducing the proof, let alone piecing together the big picture, was impossible for me and most of my classmates. <br /> The following year I took real analysis (a very proof oriented math class) and gained an appreciation for the way proofs work and are constructed. Since then, I see proofs with a new appreciation, understanding, and even excitement.<br /><br />In other words: <br /><br />I wish I had been taught how to appreciate proofs in general before I was taught econometric proofs.<br /><br />PS- I love the blog. Keep up the great work!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-37193382879236105622011-05-06T08:16:23.706-07:002011-05-06T08:16:23.706-07:00Brandon: That's a very fair point, and it'...Brandon: That's a very fair point, and it's well taken. Thanks!<br /><br />DGDave Gileshttps://www.blogger.com/profile/05389606956062019445noreply@blogger.comtag:blogger.com,1999:blog-2198942534740642384.post-24699324632189114942011-05-06T07:49:58.812-07:002011-05-06T07:49:58.812-07:00Hi David,
I think that you may have forgotten the...Hi David,<br /><br />I think that you may have forgotten the "econ" component of econometrics and, as a results, are a bit harsh on "cookbook econometrics". Think at the margin for a moment. For which margin are cookbook econometrics texts written? They are for those individuals who would, under other circumstances, not take an econometrics course at all. In my opinion, missing many interesting insights is better than missing the subject altogether. Of course, I'm firmly in the "an imperfect number is better the no number" camp.<br /><br />Cheers,<br />BrandonBrandonnoreply@blogger.com