Francis Smart on the "ThinkNum" Data Resource

Francis Smart has a nice post on his Econometrics by Simulation It's titled, "ThinkNum - A New Interactive Public Database and Graphing Tool".

As Francis discusses, ThinkNum is essentially a competitor of Quandl, but I'll let you read Francis's post yourselves.

© 2013, David E. Giles

Right-Tail Augmented Dickey-Fuller Tests in EViews

A few days ago, I received an email from Itamar Caspi, a regular follower of this blog. Itamar has developed a really nice EViews "Add-In" package that facilitates the application of "Right-Tail Augmented Dickey-Fuller" tests.

His Add-in package, named rtadf, covers four tests:

1. ADF.
2. Rolling ADF.
3. sup ADF (SADF). See Phillips et al. (2011).
4. Generalized SADF (GSADF), see Phillips et al. (2013).

New Econometrics Journal

There's a relatively new econometrics journal on the block. The Journal of Econometric Methods, published its second issue last month.

The Editors are Jason Abrevaya, Bo Honore, Atsushi Inoue, Jack Porter, and Jeffrey Wooldridge. The Aims and Scope of the journal are described as follows:

"The Journal of Econometric Methods welcomes submissions in theoretical and applied econometrics of direct relevance to empirical economics research. The journal aims to bridge the widening gap between econometric research and empirical practice. We aim to publish papers from top scholars in econometrics, but submissions must (i) consider a topic of broad interest to practitioners and (ii) be written in a style that is targeted at practitioners. Subject to these requirements, the journal will consider submissions in all areas of econometrics.

We will not consider submissions that are application-specific. While econometric methodology should be thoroughly illustrated with empirical data, such methodology should be useful above and beyond the specific application considered."

The articles published to date are of a very high standard, and I'm looking forward to seeing more.

© 2013, David E. Giles

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!