Is it Me or is it Them??

I really do value these sessions we've been having together.

Occasionally I have some "gripe" that I just have to get off my chest. I try really hard, not to let these things "get to me" - honest, I really do!! I'm sure that you've noticed.

I try. But sometimes it all gets too much. I can't explain it in rational terms. Maybe the meds. just didn't kick in as anticipated?

For whatever reason, I sometimes find myself feeling frustrated, and confused, by what I see around me .......... that is, with respect to some of the so-called "applied econometrics" literature that gets rammed down my throat. I know that I don't have to read it. But just when I'm happily ignoring it, I end up in a seminar where it rears its ugly head. I know, I know, .... I should just shrug it off.

An example? Sure - that's easy. By the way,.......Has the clock started?

New Release of Gretl

It's great to see that there's recently been a new release of the Gretl Econometrics Package. Version 1.9.8 was released in late March. You can follow developments and news, and share you experiences with Gretl, on the associated Wiki.

One thing that's sometimes overlooked as our econometrics computing becomes easier and easier, is that ultimately it's what's "under the hood" that counts. How accurate and robust is the underlying code? The Gretl team should be commended for addressing this issue right "up front". The code seems to pass the standard tests with flying colours, as you can see from a side-bar link on their home page.

There's lots to love about Gretl, and its developers deserve a huge "Thank You!"

© 2012, David E. Giles

Unit Root Tests With Missing Observations

Whenever we test the stationarity of our time-series data we use a "complete" historical time-series. That's to say, there can't be any "gaps" in the series,arising perhaps due to data observations that were not recorded, are contaminated, or are such extreme outliers that they are unbelievable and have to be discarded.

If observations are missing, for whatever reason, then we can't apply standard tests such as the Augmented-Dickey-Fuller (ADF) test, or the Kwiatowski, Phillips, Schmidt and Shin (KPSS) test.

Or can we?

A Very Sad Day for Econometrics

It's with great sadness that we learned this morning that Hal White (UCSD) has passed away. An econometrician of enormous stature, he will be greatly missed.

James Hamilton had this to say.

© 2012, David E. Giles

Help Wanted!

Refereeing for peer-reviewed journals is something that most of us see as "part of the job". We expect our own papers to be refereed with care, and in a timely manner. Not surprisingly, though, any journal editor will tell you that finding willing and conscientious referees is not an easy task.

As an Editor, Associate Editor, and Editorial Board member of several journals, I'm always on the look-out for good referees. In particular, I'm one of three Co-Editors of The Journal of International Trade & Economic Development. We publish 6 issues a year, have a double-bind refereeing process, and have an acceptance rate of around 12%.

An Overview of VAR Modelling

Judging by the posted comments and the emails I've received, there's no doubt that my various posts on different aspects of VAR modelling have been quite popular.

Many followers of this blog will therefore be interested in a recent working paper by Helmut Luetkephol. The paper is simply titled, "Vector Autoregressive Models", and it provides an excellent overview by one of the leading figures in the field.

You can download the paper from here.

© 2012, David E. Giles

As Good as it Gets!

Last Friday was a pretty good day for one of my grad. students, Ryan Godwin. Not only did he get a job offer for a tenure-track position, but he saw one of his journal articles in print for the first time. It doesn't get much better than that!

An Irish Economic Statistician

Today, of all days, it seems appropriate to mention an outstanding Irish statistician - one who made seminal contributions to "economic statistics", as well as to mathematical statistics. I'm referring to Robert ("Roy") Charles Geary.

Grad. School Rankings for Econometrics

If you're interested in how U.S. graduate economics programs rank when it comes to econometrics, check here.

© 2012, David E. Giles

Goodness-of-Fit Testing With Discrete, Circular, Data

Testing if a sample of data comes form a specific distribution is a central problem in statistics. This sort of "goodness-of-fit" testing is also important in econometrics, of course. Most goodness-of-fit tests involve "comparing" the empirical distribution function for the sample data with an hypothesized theoretical distribution. The tests rely on the Glivenko-Cantelli Theorem, which states that the maximum (vertical)  "gap" between the empirical and theoretical c.d.f.'s will vanish, everywhere on the support of the distribution, as the sample size grows without limit.

Some such tests are based on this "maximum gap", while others are based on the area between the empirical and theoretical c.d.f.'s. Examples of the first type of test include those associated with the names of  Kolmogorov, Smirnov, Kuiper, Watson and Lilliefors. Examples of the second type include the tests of  Anderson and Darling, and Cramér and von Mises. 

All of these tests are available in EViews. You select the series and then choose "View", "Descriptive Statistics & Tests", and then "Empirical Distribution Tests".