From My Reading List...........

Here are a few of the papers that I've been reading over the past week or so:

• Amisano, G. and J. Geweke, 2013. Prediction using several macroeconomic models.Working Paper Series NO. 1357, European Central Bank.
• Arnold, B. C. and H. K. T. Ng, 2011. Flexible bivariate beta distributions. Journal of Multivariate Analysis, 102, 1194-1202.
• Johansen, S. and B. Nielsen, 2013.  Outlier detection in a regression using an iterated one-step approximation to the Huber-skip estimator. Econometrics, 1, 53-70.
• Magnus, J. R. and A. L. Vasnev, 2013. Practical use of sensitivity in econometrics with an illustration to forecast combinations. B. A. Working Paper No. 04/2013, The University of Sydney Business School, University of Sydney.
• Pendakur, K. and S. Sperlich, 2010. Semiparametric estimation of consumer demand systems in real expenditure. Journal of Applied Econometrics, 25, 420-457.
• Solon, G, S. J. Haider, and J. Wooldridge, 2013. What are we weighting for? Working Paper 18859. National Bureau of Economic Research.

© 2013, David E. Giles

Should I do a Ph.D.?

When it comes to discussions with students, there's one question that's a "hardy perennial". There's no simple answer, whatever your discipline is, but Tim Hopper is tackling the question, Should I do a Ph.D?, with a series of interviews.

The first interview is with John Cook, whose blog, The Endeavour, I like to follow. So, I was especially interested in what John had to say. He comes at the question as formally trained mathematician, with broad "real world" experience, but I found my self nodding appreciatively at most of what he had to say.

Tim provides links to some other related material that addresses the important question that he's raised, and I'm looking forward to seeing his upcoming interviews on this topic.

© 2013, David E. Giles

Tableau Public

There are lots of nice data resources out there - I've mentioned Quandl, DataZoa, and Knoema in the past.

I've recently been taking a look at Tableau Public, and it's certainly an interesting (and free) data visualization tool.

I liked this example from their Gallery - "Breaking the Law - Canadian Style"

© 2013, David E. Giles

Forecasting From Log-Linear Regressions

I was in (yet another) session with my analyst, "Jane", the other day, and quite unintentionally the conversation turned, once again, to the subject of "semi-log" regression equations.

After my previous rant to discussion with her about this matter, I've tried to stay on the straight and narrow. It's better for my blood pressure, apart from anything else! Anyway, somehow how we got back this topic, and she urged me to get some related issues off my chest. This is therapy, after all!

Right at the outset, let me state quite categorically that lots of people estimate semi-logarithmic regressions for the wrong reasons. I'm not condoning what they do. That's their problem - I have enough of my own! However, if they're going to insist on doing this, then I'm going to insist that they be consistent when it comes to using their estimated model for forecasting purposes!

I mean, we wouldn't use an inconsistent estimator, would we? So why should we put up with an inconsistent modeller?

Let me tell you all about it.........

Knoema Data Site Update

Last year I had a short post that mentioned the Knoema data site.

I had a message from Olga today, mentioning that there have been some big developments with that site in recent month. These include their World Data Atlas. It's definitely worth taking a look at this resource.

© 2013, David E. Giles

Comic-Book Econometrics

We often hear the term "Cookbook Econometrics" - usually used in a derogatory sense - and I've posted on this topic in the past. "Comic-Book Econometrics" is something completely different. It relates to a particular econometrics computing package, and a comic that I keep in my office.

No connection? Let's see......

On the Value of Econometric Training

I received the following piece from Angelo Melino today. I hadn't seen it before, and I just loved it! 

Angelo posts this for the students in his M.A. econometrics course, and I think it deserves to be brought to the attention of all of our students. You just never know!

A Must-Read Post for Econometrics Students

Confidence Intervals - and how to interpret them correctly?

Hopefully, the correct interpretation was emphasized, again and again, by your instructor is Intro. Stats. 100. Even so, it's alarming to see how many grad. students (and faculty!) still get it wrong.

The concept of a confidence interval was first introduced by Jerzy Neyman and his co-authors. I've posted about some of the history of this here, and noted that even a future Nobel Laureate didn't "get it" when Neyman presented the concept at a seminar!

With this in mind, a really nice post appeared on the Statistical Research blog today. Its title is, When Discussing Confidence Level With Others, and I strongly recommend it.

© 2013, David E. Giles

Large and Small Regression Coefficients

Here's a trap that newbies to regression analysis have been known to fall into. It's to do with comparing the numerical values of the point estimates of  regression coefficients, and drawing conclusions that may not actually be justified.

What I have in mind is the following sort of situation. Suppose that Betsy (name changed to protect the innocent) has estimated a regression model that looks like this:

               Y = 0.4 + 3.0X₁ - 0.7X₂ + 6.0X₃ +.....+ residual .

Betsy is really proud of her first OLS regression, and tells her friends that "X3 is two times more important  in explaining y than is X1" (or words to that effect).

Putting to one side such issues as statistical significance (I haven't reported any standard errors for the estimated coefficients), Is Betsy entitled to make such a statement - based on the earth-shattering observation that "six equals three times two"?

NBER-NSF Time-Series Conference

The 2013 NBER-NSF Time Series Conference is being hosted by the Federal Reserve Board, in Washington D.C. next month. You can read about this event here.

Even a cursory look at the conference program will convince you that there are some really interesting looking papers being presented by some top people at this conference.

Check out the program, and you'll see what I mean. I'm going to be contacting several of the authors for access to their papers and talks. 

© 203, David E. Giles