Surplus-Lag Granger Causality Testing

My previous posts (here, here, and especially here) on Granger causality testing have attracted more interest than I anticipated. One of the things that I've discussed at some length is the "surplus-lag" approach that can be used when the data are possibly non-stationary and possibly cointegrated. In particular I've talked about the Toda and Yamamoto (1995) procedure, but there are alternatives such as those introduced by Dolado and Lütkepohl  (1996) and Saikkonen and Lütkepohl (1996).

These modifications to the standard approach to testing for Granger (non-) causality are needed to ensure that the Wald test statistic has its usual chi-square asymptotic null distribution. You can't just test in the usual way unless the data are stationary. In fact, the "surplus lag" approach has advantages even beyond those that we knew about already.

The Journal of Universal Rejection

Handling the econometrics submissions to this journal shouldn't be too onerous a task!

© 2012, David E. Giles

Modelling Extremes

Modelling extreme events is a challenging business. By definition, you're dealing with observations that are way out there in the tail(s) of the distribution. But that's where a lot of exciting things happen!

The Popularity of Statistical Packages

No matter what your favourite statistical package is, you'll find this post by Robert Muenchen highly informative.

Robert concludes that:

"By most of the measures discussed here, R is competing well with the commercial software vendors. However, I advise not over generalizing from this data. SAS and SPSS continue to dominate the corporate world and Stata is doing quite well in the scholarly arena. Each of these packages is dominant in one market or another."

© 2012, David E. Giles

Simultaneous Equations Models

Simultaneous Equations Models (SEM's) played an absolutely central role in the history of Econometrics. Simultaneous systems and measurement errors went hand in glove in forcing the emergence of econometrics as a field in its own right.

It's not that long ago that courses in econometrics devoted a good deal of time to SEM's. These days we spend much less time discussing these models, which is a shame because there are lots of important insights associated with them.

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?