More on the Equivalence of GLS & Other Estimators

In a very recent article, titled "Conditions for the Equality of the OLS, GLS and Amemiya-Cragg Estimators" (currently "in press" at Economics Letters), Cuicui Lu and Peter Schmidt present various conditions under which various regression estimators will be numerically equivalent.

On the Asymptotic Properties of Sample Means

Last month, in a post titled "Extracting the Correct Mean(ing) From the Data" (here), I discussed some aspects of the arithmetic, geometric, and harmonic sample means.

In a subsequent comment, I was asked if the geometric mean (GM) and harmonic mean (HM) are consistent estimators of E[X], the (arithmetic) mean of the population. My first reaction was that they are, but a little further reflection shows otherwise.

Influential People in the "Big Data" Field

Yesterday, Haydn Shaughnnessy wrote a piece for Forbes titled, Who are the Top 20 Influencers in Big Data?

Fans of R will be delighted to see David Smith of Revolution Analytics up there at number 2!

Congratulations!

© 2012, David E. Giles

Minimizing the Length of a Confidence Interval

Right now I'm teaching an introductory course on statistical inference for Economics students. We've been dealing with confidence intervals, starting off (as usual) with one for the mean of a Normal population.

For a given confidence level, the shorter the interval is, the more "informative" it is. The question that then arises is how to make the interval as short as possible, everything else being equal? Good question!

Take Comfort From This

If we knew what it was we were doing, it would not be called research, would it?

– Albert Einstein

Asking for What you Don't Really Want

Sometimes, asking for something you don't really want can be an indirect way of getting something you actually do want or need. A million dollars? Not quite what I had in mind, actually. Nice thought, though!

Actually, what I had in mind was something a little more mundane. In particular, getting an econometric package to save you a lot of work by delivering up some information you need, when it's not at all apparent that the package is able to do so. It's a matter of asking it for something else, and getting what you really want as a by-product. A bonus, if you will!

Hot Topics in Econometrics

Last week, Takamitsu Kurita asked me "What do you think will be the big developments in Econometrics over the next decade". We were having a drink following his seminar, and I really didn't have a good answer. I think those of us present ducked the question by saying that, as econometricians, we know only too well the pitfalls associated with forecasting! But Taka's question was a good one, and it certainly deserved a better response than I had at the time.

Cointegration Analysis With I(2) & I(1) Data

Last Friday I went to a great seminar given by Takamitsu Kurita (Fukuoka University, Japan). Taka is currently a visiting scholar in our department, and his paper (here)  dealt with an interesting application of cointegration analysis when we have both I(2) and I(1) data to contend with.

This is a topic in time-series econometrics that's of great practical importance, and (quite rightly) is currently attracting quite a bit of attention.

The Dynamic Stability of AR Models - Tricking EViews

In this post I'm going to focus on understanding the extent to which there's an equivalence between two different ways of estimating an AR(p) model for a time-series, Y_t, using EViews, and to see what information is generated in each case.

In particular, I want to show you how you can "trick" EViews into showing you if your estimated dynamic regression model is "dynamically stable". That is, if the estimated coefficients for the lagged values of Y are such that the model is stationary. If the lag-order is above 2, this isn't something that's always easy to do by just looking at the estimated coefficient values.

New Page on Blog

I've added a new page to the blog site - Econometrics Jobs.

On this page you'll find a small selection of advertisements for interesting jobs in Econometrics, around the world. These have been chosen to provide information about the wide-ranging opportunities for Econometricians.

The list will change frequently, as new jobs are posted, and others expire.

© 2012, David E. Giles