Flowers for Mom - From Quandl

Today being Mothers' Day in many parts of the world, I thought that flowers would be appropriate. Well, a price index for (Gardens, Plants, and) Flowers. Specifically, a harmonized price index for these goods for 27 European Union countries.

I retrieved the monthly data for the period January 2006 to March 2013 from Quandl.com - a really nice resource that I posted about recently.  As well as downloading the data in various formats, reading the data from R, etc., you can also embed an interactive chart of the data directly into a document such as this one, and make the data visible to viewers.

New Paper Published

A paper of mine appears in the latest issue of the Chilean Journal of Statistics. The paper is titled, "Exact asymptotic goodness-of-fit testing for discrete circular data with applications.

I've posted previously about this general topic, here, here and here.

© 2013, David E. Giles

R is His Friend

Marcus Beck has a nice (& relatively new) blog called R is My Friend. You can guess that his posts relate to the use of R.

I particularly liked his piece on the use of the XML package in R to mine data from the internet; and his post on using the integrate function in R, even when the anti derivative has no closed-form solution.

Grad. student readers will also like his post, How Long is the Average Dissertation.

My own take on a related question can be found here.

© 2013, David E. Giles

Robust Standard Errors for Nonlinear Models

André Richter wrote to me from Germany, commenting on the reporting of robust standard errors in the context of nonlinear models such as Logit and Probit. He said he 'd been led to believe that this doesn't make much sense. I told him that I agree, and that this is another of my "pet peeves"!

Yes, I do get grumpy about some of the things I see so-called "applied econometricians" doing all of the time. For instance, see my Gripe of the Day post back in 2011. Sometimes I feel as if I could produce a post with that title almost every day!

Anyway, let's get back to André's point.

Turn on the Economy

"Turn on the economy". That's one of the invitations issued to (web) visitors to the museum of New Zealand's central bank - The Reserve Bank of New Zealand. Accepting this invitation will allow you to see a virtual version of Bill Phillips' famous MONIAC computer at work, and to "play" with the economy yourself.

Doesn't that appeal to you?

Bill Phillips - "the Indiana Jones of Economics" - gave us "the Phillips Curve", of course. However, the MONIAC computer was a revolutionary device that Bill used to demonstrate economic stabilization policy.

If you happen to be visiting New Zealand's capital city - Wellington - you can visit the Bank's (physical) museum, and see the MONIAC "in the flesh".

© 2013, David E. Giles

The Indiana Jones of Economics

All students of economics have heard about The Phillips Curve in one of its forms or another. The Phillips Curve is named after A. W. H. (Bill) Phillips, a remarkable New Zealander who made a number of fundamental contributions. His work, undertaken largely at the London School of Economics, dealt with stabilization policy, and modelling in continuous time, to name just two topics.

Bill Phillips was quite a character, and his varied life has been amply documented in various places. His entry in Wikipedia is a useful starting point, and the memorial piece written in 1978 by one of my former teachers, Brian Easton, is also a "must read" item.

Some time ago, I wrote about Bill in a post titled, "A Moniacal Economist", in reference to his famous MONIAC machines. These were hydraulic analogue computers that could be used to demonstrate the workings of the macro-economy.

In February of this year, the BBC Radio aired a piece about Bill Phillips, titled "The India Jones of Economics". In this 14-minute broadcast, Tim Hartford provides an interesting commentary of Bill's life and contributions to our discipline. You can download the broadcast - it's Episode 4, 6 February 2013 - from here.

More about Bill Phillips at a later date..............

© 2013, David E. Giles

My Recent Reading

Here are some of the papers that I have been reading in the past few days:

• Majid M. Al-Sadoon, 2013. Geometric and long run aspects of Granger causality. Discussion Paper, Barcelona Graduate School of Economics.
• David Ardia & Lennart Hoogerheide, 2013. GARCH models for daily stock returns: Impact of estimation frequency on value-at-risk and expected shortfall forecasts. Tinbergen Institute Discussion Paper.
• Otilia Boldia & Alastair R. Hall, 2013. Estimation and inference in unstable nonlinear least squares models. Journal of Econometrics, 172, 158-167. 
•  Kazuhito Higa, 2013. Estimating upward bias in the Japanese CPI using Engel's law. Working Paper, Hitotsubashi University.
• Anna Mikusheva, 2013. Survey on statistical inferences in weakly identified instrumental variables models. Applied Econometrics, 29, 117-131. 

© 2013, David E. Giles

Econometrics Lectures on YouTube

I'm always keeping my eyes open for new or different resources that I can integrate into my Economic Statistics and Econometrics courses. For example, as I've mentioned before in previous posts (here and here), I've been really pleased with what I've been able to achieve with Wolfram's cdf files.

In my undergrad. Statistical Inference course I also refer the students to some of the excellent mini-lectures by Keith Bower. I find his presentations to be clear and (very importantly) accurate.

If you check out YouTube you'll find a number of video presentations relating to the teaching of econometrics. To be honest, many of them don't particularly impress me. Maybe I'm just hard to please!

There are some exceptions to this, though, including David Hendry's 20111 lecture on Teaching Undergraduate Economics at Oxford, and the great series of videos of Mark Thoma in action in the classroom. 

© 2013, David E Giles

Burgernomics

Looking through the papers that are "in press" at Economics Letters today, I came across a paper by Anthony Landry, titled "Borders and Big Macs". (The link is to the working paper version.) Here's the abstract:

"I provide new estimates of border frictions for 14 countries using local, national, and international Big Mac prices. I find that borders generally introduce only small price wedges, far smaller than those observed across New York City neighboring locations."

This led me to wonder just how many academic papers have been written using the well-known "Big Mac Index" (BMI) that's published annually by The Economist magazine. I don't know the exact answer, but there are 39 listed on RePEc's IDEAS site.

That's a lot of burgers!

© 2013, David E. Giles

A Visual Proof That OLS is BLU

Back in the day (as they say), we had monochrome monitors on our P.C.'s. Do you remember the ghastly green or weird amber colours? Then, one bright day everything became multi-coloured! This is not just me reminiscing - this is leading up to an innovative proof of the Gauss-Markhov Theorem. Honestly!

In a post yesterday, I mentioned Ken White's sense of humour - that's Ken White, "The SHAZAM Man", as my kids used to affectionately call him. On one of his many visits in the late 1980's, Ken offered to give a talk to a group of students about using the SHAZAM econometrics package. (We had no money for software at the time, but thanks to Ken's outstanding generosity we always had the latest version of his package for everyone to use.)