Vintage Years in Econometrics - The 1950's

Following on from my earlier posts about vintage years for econometrics in the 1930's and 1940's, here's my run-down on the 1950's.

As before, let me note that "in econometrics, what constitutes quality and importance is partly a matter of taste - just like wine! So, not all of you will agree with the choices I've made in the following compilation."

Let's Put the "ECON" Back Into Microeconometrics

You just couldn't resist the title, could you?

Don't worry, I'm not going to be too harsh. After all, I'm rather fond of those who practise "applied microeconometrics" - especially lightly sautéed, with a little pepper and garlic. Sorry! Sorry!

The point that I want to make is a simple one, and I'll be brief.

How many seminars have you attended where the speaker has gone through the details of a formal microeconomic model, and then proceeded to a potentially interesting empirical application? And in how many cases was there a total "disconnect" between the theoretical model and the empirical model?

Hand up! Don't be shy! Wow - that's almost everyone!

Conference and Seminar Papers - From Both Sides of the Podium

Here are three somewhat related posts from Rob Hyndman, Professor of Statistics in the Department of Econometrics and Business Statistics at Monash University. Rob blogs at Hyndsight.

I liked them all, and I commend them to you:

1. Giving a Research Seminar (2008)
2. Attending Research Seminars (2009)
3. Asking Good Questions (2013) - a guest post by Eran Raviv

For my own take on these matters, you might want to check here, here, and here.

© 2013, David E. Giles

Conference on Computing in Economics & Finance

The 19th. International Conference on Computing in Economics and Finance is coming up in Vancouver, B.C., this week. There's an interesting program.

One of my M.A. students, Yanan Li, and I have a paper that Yanan will be presenting at the conference. 

The paper is titled "Modeling Volatility Effects Between Emerging Asian Stock Markets and Developed Stock Markets".

© 2013, David E. Giles

Happy 40th!

I'm not sure if this is a good day or a bad day! I was feeling fine, and then this reminder of my advancing age arrived in the mail.........

Has it really been that long?

© 2013, David E. Giles

Musical Econometrics

There's a recent paper by McIntosh et al. (2013), titled "Listen to Your Data: Econometric Model Specification Through Sonification" that I really enjoyed. It's thought-provoking and innovative, and it takes things a lot further than what I mentioned in a previous post on data sonification.

Here's the abstract:

Allocation Models With Bounded Dependent Variables

My post yesterday, on Allocation Models, drew a comment to the effect that in such models the dependent variables take values that must to be non-negative fractions. Well, as I responded, that's true sometimes (e.g., in the case of market shares); but not in other cases- such as the Engel curve example that I mentioned in the post.

The anonymous comment was rather terse, but I'm presuming that the point that was intended is that if the y variables have to be positive fractions, we wouldn't want to use OLS. Ideally, that's so. Of course, we could use OLS and then check that all of the within-sample predicted values are between zero and one. Better still, we could use a more suitable estimator - one that takes the restriction on the data values into account.

The obvious solution is to assume that the errors, and hence the y values, follow a Beta distribution, and then estimate the equations by MLE. As I noted in my response to the comment, the "adding up" restictions that are needed on the parameters will be satisfied automatically, just as they are under OLS estimation.

Here's a demonstration of this.

Paper With Jacob Schwartz

It was nice to get the final "acceptance" yesterday for a paper co-authored with former grad. student, Jacob Schwartz.

The paper, titled "Bias-Reduced Maximum Likelihood Estimation of the Zero-Inflated Poisson Distribution", and with Jacob as lead author, will appear in Communications in Statistics - Theory & Methods. You can download a copy of the paper from here.

Jacob has been in the Ph.D. program at UBC for a while now. It seems quieter around the computing lab. without him!

© 2013, David E. Giles

Allocation Models

An "allocation model" is a special type of multi-equation model that has some interesting properties. This type of model arises quite frequently in applied econometrics, and it's worth knowing about it. In this post I'll explain what an allocation model is, and explore some of the estimation results that arise.

Ms DOS

They say that, with children, it doesn't get "easier", it just gets "different". Well, I'm not so sure. I have four grown-up "children" - they're are all successfully following their dreams, and I couldn't be happier!

So, I hope that Emma doesn't mind if I share this story from the mid 1990's, when her age was in single digits.