Confidence Bands for the Hodrick-Prescott Filter

Signal extraction is a common pastime in empirical economics. When we fit a regression model we're extracting a signal about the dependent variable from the data, and separating it from the "noise". When we use the Hodrick-Prescott (HP) filter to extract the trend from a time-series, we're also engaging in signal extraction. In the case of a regression model we wouldn't dream of reporting estimated coefficients without their standard errors; or predictions without confidence bands. Why is it, then, that the trend that's extracted using the HP filter is always reported without any indication of the associated uncertainty?

Choconomics

My wife enjoys travelling with me to conferences, so I guess I'll be in Belgium next September for this one!

Professor of Official Statistics

A recent post, titled Free Data!, drew comments about some aspects of the availability and cost of official data in Canada. I was therefore intrigued to come across a recent advertisement for the position of Professor of Official Statistics, at an Australian University.

Precision Competition

In a recent post I raised the point about the spurious degree of precision that is often encountered with reported regression results. So, here's a challenge for you - how many decimal places (or maybe significant digits) are appropriate when reporting OLS regression results?

Webinar With Robert F. Engle

It's not every day that you can get to see a presentation by a Nobel laureate econometrician for free, and without leaving home.

Free Data!

Freedom to information is what all econometricians hope for - that is, readily accessible and reliable data that you don't have to pay for.

Terribly Simple, But Simply Terrible

Last Saturday there was a general election in New Zealand, where I've been visiting for the past couple of weeks. In conjunction with this election there was also a referendum on the future of the voting system that they use. For about 17 years now they have used a "Mixed Member Proportional" (MMP) system.

Spurious Precision

I'm currently in New Zealand - hence the smaller number of posts recently - and I came across the following example of a "best before" date on the lid of a jar of marmalade:

Trends in Econometrics

In an earlier post I mentioned the online conference that was organized by Wiley and The Journal of Economic Surveys over the past few days.

Here is the link to David Hendry's keynote lecture, "Trends in Econometrics", together with organized commentaries from Neil Ericsson and Katerina Juselius.

Great stuff! We need more of this.

© 2011, David E. Giles

Surrounded by Morons

Just kidding!! Honestly!!! Really!