Count Data & the Hermite Distribution

One of the limitations of the usual discrete distributions that we use when modeling "count data" is that they can't allow for multi-modality (except in a trivial manner). So, there's no use in trying to model multi-modal data using a Poisson regression  model, or a Negative Binomial regression model, for example.

However, such data occur frequently in practice. So, what options are open to us?

EconAcademics.org

This, last evening, from Christian Zimmermann, at the Federal Reserve Bank of St. Louis:

"Dear Blogger,

Congratulations, you made the list!

The Federal Reserve Bank of St. Louis is launching a blog aggregator, EconAcademics.org, to highlight and promote the discussion of  economics research. Your blog is part of this effort. This email explains why and how you can help promote the discussion of economic research in the blogosphere.

EconAcademics.org lives at http://econacademics.org and aggregates blog posts that discuss economic research. The aggregator looks through blog posts for a link to some research indexed on a RePEc service, currently EconPapers, IDEAS and NEP. IDEAS then also links back from the abstract page to the blog posts."

Another nice service from the providers of RePEc!

© 2012, David E. Giles

A Fistful of Pennies

Finally, Canada has decided to eliminate the humble penny from its coinage. This decision was announced as part of the recent Federal Budget. In eliminating the penny, Canada will be joining a host of other countries who have "taken the plunge" in recent years. 

No sooner had the announcement been made, than I began to encounter comments (on talk-back radio, and elsewhere) to the effect that "some retailers will use this as an excuse to 'round up' the ticket price of some items, and we'll all get ripped off". In fact, some people are claiming that this development will be inflationary.

Oh really? Apart from using a bit of common sense, let's see what the statistical evidence has to say abut all of this.

Good Advice on Seminar Presentations

The Three-Toed Sloth presents this excellent advice on seminar presentations.

It's advice that's heeded far more often by Statisticians than by Economists, in my experience.

The only things I'd add are : One hour is plenty of time - 1.5 hours is too long for most attention spans; and we go to seminars to listen to the speaker, not to listen to members of the audience interrupting the speaker.

© 2012, David E. Giles

Is it Me or is it Them??

I really do value these sessions we've been having together.

Occasionally I have some "gripe" that I just have to get off my chest. I try really hard, not to let these things "get to me" - honest, I really do!! I'm sure that you've noticed.

I try. But sometimes it all gets too much. I can't explain it in rational terms. Maybe the meds. just didn't kick in as anticipated?

For whatever reason, I sometimes find myself feeling frustrated, and confused, by what I see around me .......... that is, with respect to some of the so-called "applied econometrics" literature that gets rammed down my throat. I know that I don't have to read it. But just when I'm happily ignoring it, I end up in a seminar where it rears its ugly head. I know, I know, .... I should just shrug it off.

An example? Sure - that's easy. By the way,.......Has the clock started?

New Release of Gretl

It's great to see that there's recently been a new release of the Gretl Econometrics Package. Version 1.9.8 was released in late March. You can follow developments and news, and share you experiences with Gretl, on the associated Wiki.

One thing that's sometimes overlooked as our econometrics computing becomes easier and easier, is that ultimately it's what's "under the hood" that counts. How accurate and robust is the underlying code? The Gretl team should be commended for addressing this issue right "up front". The code seems to pass the standard tests with flying colours, as you can see from a side-bar link on their home page.

There's lots to love about Gretl, and its developers deserve a huge "Thank You!"

© 2012, David E. Giles

Unit Root Tests With Missing Observations

Whenever we test the stationarity of our time-series data we use a "complete" historical time-series. That's to say, there can't be any "gaps" in the series,arising perhaps due to data observations that were not recorded, are contaminated, or are such extreme outliers that they are unbelievable and have to be discarded.

If observations are missing, for whatever reason, then we can't apply standard tests such as the Augmented-Dickey-Fuller (ADF) test, or the Kwiatowski, Phillips, Schmidt and Shin (KPSS) test.

Or can we?

A Very Sad Day for Econometrics

It's with great sadness that we learned this morning that Hal White (UCSD) has passed away. An econometrician of enormous stature, he will be greatly missed.

James Hamilton had this to say.

© 2012, David E. Giles

Help Wanted!

Refereeing for peer-reviewed journals is something that most of us see as "part of the job". We expect our own papers to be refereed with care, and in a timely manner. Not surprisingly, though, any journal editor will tell you that finding willing and conscientious referees is not an easy task.

As an Editor, Associate Editor, and Editorial Board member of several journals, I'm always on the look-out for good referees. In particular, I'm one of three Co-Editors of The Journal of International Trade & Economic Development. We publish 6 issues a year, have a double-bind refereeing process, and have an acceptance rate of around 12%.

An Overview of VAR Modelling

Judging by the posted comments and the emails I've received, there's no doubt that my various posts on different aspects of VAR modelling have been quite popular.

Many followers of this blog will therefore be interested in a recent working paper by Helmut Luetkephol. The paper is simply titled, "Vector Autoregressive Models", and it provides an excellent overview by one of the leading figures in the field.

You can download the paper from here.

© 2012, David E. Giles