Tuesday, April 9, 2013

Seminar on Pre-test Estimation & Testing

Last Friday I gave a seminar in the Department of Mathematics and Statistics, here at UVic. The Statistics seminar series is always very enjoyable, and I really enjoy interacting with this friendly and capable group.

My talk was titled, "The Effects of Prior Hypothesis Testing on the Sampling Properties of Estimators and Tests: An Overview". Preliminary test ( or pre-test) estimation (& testing) was a research topic that I was heavily involved in for about a decade, from the mid 1980's to the mid 1990's. A lot of that work was done with Judith Clarke. I've been looking at some related problems again recently.

If you're interested in this topic, you'll find the slides from my talk here.


© 2013, David E. Giles

Thursday, April 4, 2013

Piecing the Puzzle Together

One of the things that we all hope for is that our students will make connections between the material they encounter in one course, and the things they learn about in another course. You shouldn't "forget" what you know about macroeconomics when you go to your econometrics class, etc. In other words, we hope that students will look for the "big picture" as they learn.

Admittedly, that's often easier said than done. When you're sitting in class listening to someone talking about a particular statistical test, it's hard to see how this might tie in with something that your micro. prof. was talking about last week.

Connecting the sots across different subjects in the one discipline is difficult enough, but it's even more difficult to do this across different disciplines while you're still learning the material. 

Today, I gave my last undergraduate "statistical inference" class for the the term. It couldn't have ended on a better note. Here's why.

After the class, one of the students stopped to ask a question - not about today's material, but about a paper he'd been reading in the journal, Economic Modelling. The student had been writing an essay for an English course and had chosen a topic relating to the Greek financial crisis. The paper he'd been reading was an applied econometrics piece, and he realized that this all related to what we'd been doing in our introductory treatment of the linear regression model. His specific question was "what is a VAR model, and how does it relate to a simple regression model?"

A good question, of course, but what was even more rewarding for me was to see him putting the pieces of the puzzle together, by thinking across the different subjects that he's studying. Good job!


© 2013, David E. Giles

Tuesday, April 2, 2013

Bruce Hansen's Econometrics Textbook

Well-known econometrician, Bruce Hansen (U. Wisconsin) has a free first-year Ph.D. econometrics textbook, titled simply Econometrics, that has been going through various drafts since around 2000.

Here are the chapter titles for the latest draft (January 2013):

1. Introduction
2. Conditional Expectation and Projection
3. The Algebra of Least Squares
4. Least Squares Regression
5. A Introduction to Large Sample Asymptotics
6. Asymptotic Theory for Least Squares
7. Restricted Estimation
8. Hypothesis Testing
9. Regression Extensions
10. The Bootstrap
11. Nonparametric Regression
12. Series Estimation
13. Quantile Regression
14. Generalized Method of Moments
15. Empirical Likelihood
16. Endogeneity
17. Univariate Time Series
18. Multivariante Time Series
19. Limited Dependent Variables
20. Panel Data
21. Nonparametric Density Estimation 


Why not download Bruce's textbook and take a good look at it? I think you'll like what you see.



© 2013, David E. Giles

Monday, April 1, 2013

George E. P. Box

March 28 saw the passing of a great statistician, George E. P. Box. Econometricians know his work well, such as through Box-Jenkins analysis of time-series data, the Box-Cox transformation, and many other major contributions. A brief discussion of George Box can be found here. Bradley Jones' piece, George Box: A Remembrance, says it all.

I've written about George Box previously on this blog. For example, see A Bayesian and Non-Bayesian Marriage, Highly Cited Statistical Papers for Econometricians, and Busking for Business.



© 2013, David E. Giles

How NOT to Plot Your Data

I've long been a staunch advocate of graphing our data in creative and informative ways - preferably before  we subject those data to some fancy statistical interrogation. Indeed, I've made this point previously in this blog - e.g., here.

So, I was pleased to come across Karl Broman's collection of Top Ten Worst Graphs

I'm sure that you have your own favourites that you could add to this list. If not, you probably haven't been keeping your eyes open!


© 2013, David E. Giles

Sunday, March 31, 2013

The Demand for Easter Eggs in China

I was going to begin this post by saying "Now, here's a book I wish I'd written." But I got cold feet!

The 2011-2016 Outlook for Demand for Chocolate Easter Eggs in Greater China can be yours for only $495 from Amazon.com. That's the paperback edition, of course. Come on - I know you're tempted. I mean to say - chocolate!

Check it out for yourself, and as with everything chocolate - enjoy!


© 2013, David E. Giles

Monday, March 25, 2013

In Memorium, Shayle Searle

New Zealand-born statistician, Shayle R. Searle passed away recently in Ithaca, N.Y. - for further information, see here.

A great interview with Shayle, by Martin Wells, appeared in Statistical Science in 2010. One passage in that interview especially caught my attention. This is where Shayle is describing his early involvement with actuarial mathematics, and he says:

"After the 1949 M.A. exams I took a job as assistant to the actuary at Colonial Mutual Life Assurance Company in Wellington. I had no office of my own, but merely a desk in a large room with some dozen or so retirees who, day in and day out, were checking the weekly premiums paid for what were called industrial policies—something like twenty-five cents a week. The actuary’s office was but a few steps across the hall."

In the summer of 1968, part-way through my own undergraduate studies in mathematics and statistics in New Zealand, I worked in that very same CML office in Wellington. For better or worse, the experience persuaded me that an actuarial life was not for me!

Of the several influential books that Shayle published, my all-time favourite is his Linear Models (Wiley, 1971). It's a volume that I turn to regularly. It's a classic that I can recommend without reservation!



© 2013, David E. Giles

Sunday, March 17, 2013

The Statistical & Social Inquiry Society of Ireland

The Statistical and Social Inquiry Society of Ireland (SSISI) has been in continuous existence since 1847. 

In The Spirit of Earnest Inquiry (1997), Mary E. Daly outlines the history of the Society, and makes the following observations:
"When the Statistical Society was founded in the mid-nineteenth century, societies that used statistics as a mechanism for investigating social questions were very much in vogue in Britain, continental Europe and in the United States. Most of these no longer exist; others have evolved into strictly professional bodies which tend to be dominated by full-time academics. The Statistical and Social Inquiry Society has not only survived but thrived, partly because until recently the small size of Ireland and the relatively undeveloped nature of professions such as economists and sociologists precluded the emergence of specialist representative organisations.
......... The modern Society is dominated by statistically-minded economists and sociologists, many of them employed within the public service and private business. Although academic members have always been prominent it is ranks, the Society has provided a particularly useful platform for people from outside the universities who are interested in research. The growing technical complexity of the papers read to the Society, their use of elaborate econometric and statistical methods, reflect the evolution of the economics profession within Ireland, and the more professional approach adopted to economic and social inquiry. Regrettably the membership of the Society and its concerns have narrowed."
Last year, on St. Patrick's Day, I posted about the famous Irish statistician, Roy Geary, who made many important contributions to both mathematical statistics and economic statistics. Geary was President of the Statistical and Social Inquiry Society of Ireland at the time of its centenary, in 1947.

Enjoy a pint in celebration of all Irish econometricians and statisticians today!


© 2013, David E. Giles

Saturday, March 16, 2013

Recent Research by Former Grad. Students

It's always great to see the latest research from former grad. students - no matter how long since they "left the nest". Here's what some of my former students have been up to recently.

I've limited the items to one per person, and (as far as I can tell) just the latest contribution. In the case of recent grads., the joint research that is mentioned is not related to their thesis/dissertation work.

Friday, March 15, 2013

Papers I've Been Reading

Here are some of the papers I've been reading over the past week. Hopefully, they'll also be of interest to readers of this blog.

In no particular order:


© 2013, David E. Giles