Bias-Corrected MLEs

We all know that the Maximum Likelihood Estimator (MLE) is justified primarily on the basis of its desirable (large sample) asymptotic properties. Specifically, under the usual regularity conditions, the MLE is generally weakly consistent, asymptotically efficient, and its limit distribution is Normal. There are some important exceptions to this, but by and large that's what you get.

When it comes to finite-sample properties, the MLE may be unbiased or biased; efficient or inefficient; depending on the context. It can be a "mix and match" situation, even in the context of one problem. For instance, for the standard linear multiple regression model with Normal errors and non-random regressors, the MLE for the coefficient vector is unbiased, while that for the variance of the error term is biased.

As we often use the MLE with relatively small samples, evaluating (and compensating for) any bias is of some interest.

The Data Journalism Handbook

I found this post by Michael Blastland on The Guardian's DataBlog to be refreshing. It's good to see a collaborative international venture aimed at encouraging high quality data presentation and interpretation by journalists.

The Data Journalism Handbook was launched today, and it's a free open-source reference book.

© 2012, David E. Giles

Compulsory Reading for Seminar Attendees

I've aired some of my views on Economics seminars in the past - and especially how they compare with those in some other disciplines. For example, see here, here, and here.

Here's some homework reading from Peter Wood, to be completed before you go to your next Economics seminar!

Enjoy!

© 2012, David E. Giles

A Bayesian Consumption Function

What the title of this post is supposed to mean is: "Estimating a simple aggregate consumption function using Bayesian regression analysis".

In a recent post I mentioned my long-standing interest in Bayesian Econometrics. When I teach this material I usually include a simple application that involves estimating a consumption function using U.S. time-series data. I used to have this coded up for the SHAZAM package. EViews isn't appropriate as it doesn't include a numerical integration routine.

You could use BUGS, or some other package, but it's nice to see what is going on, step-by-step, when you're encountering this stuff for the first time.

The other day, I thought, "It's time to code this up in R". So, here we are!

LeaRning R

If, like me, you're still an R novice, you'll no doubt find this post on Pairach Piboonrungroj's blog extremely helpful. Among other things, Pairach provides links to 20 40 "R tutorials". It's a really nice resource!

H.T. to David Smith for posting about this on the Revolutions blog.

© 2012, David E. Giles

Grad. Students' Projects

It's that time of year again - classes are over and I'm grading exams and projects. This term I was teaching an introductory Economic Statistics course and an elective grad. Econometrics course. I've graded the latter exams., but I'm buried in about 200 scripts for the undergraduate course. I've also got the term projects for the graduate course to go through. They look really good!

Natural Resources and Canadian Real Income Growth

In today's issue of The Daily, Statistics Canada has released a terrific study titled "The Role of Natural Resources in Real Income Growth". The paper's authors are John Baldwin and (former UVic. grad. student) Ryan McDonald. (H.T. to Ryan for bringing this to my attention.)

The study itself is extremely comprehensive, and provides some interesting new results about long-term economic growth in Canada. You can download the pdf version from here.

Drop-Down Menus for R

A few days ago, Andrew Barr had a great post on his blog. It was titled, "R is not just for nerds....it has drop-down menus!" You can bet that this one caught my eye when it was re-posted on R-Bloggers.

Briefly, Andrew takes us through the installation and basic use of the Java Gui for R (JGR) in conjunction with the Deducer package. Andrew noted in a previous post last month that a big advantage that JGR (say "Jaguar") has over the alternative GUI interfaces for R that are around is that it genuinely cross-platform, and will work in the same way on different operating systems.

I'm definitely going to be playing with it!

© 2012, David E. Giles

Bayesian Econometrics - Forty Years On

My Ph.D. dissertation was in Bayesian Econometrics. I started working on the dissertation early in 1973, and Arnold Zellner's classic text had been available for just over a year. So, perhaps not surprisingly, one of the first things that I did was to sit down and go through his book with a fine tooth comb. It took quite a while, but it was time well spent!

More on Confidence Bands for the HP Filter

Last December I had a post (and a subsequent correction) relating to a method for constructing confidence bands for the Hodrick-Prescott (H-P) filter. More specifically, I proposed a way of constructing a confidence band for the trend, or long-run growth component, of a time-series that has been run through the H-P filter.

A few people suggested to me that it might be worth writing up the material more formally, so I've done just that. You can find the working paper version here.

I've included two applications in the paper - both of them different from the one that I used in the blog post. One application relates to the U.S. unemployment rate, and the other involves U.S. real value-added output.

Feedback would be appreciated!

© 2012, David E. Giles