So Much Good Reading........

Here are my latest reading suggestions:

• Choi, I., 2013. Panel Cointegration. Working Paper, Department of Economics, Sogang University, Korea.
• Davidson, R. and J. G. MacKinnon, 2013. Bootstrap tests for overdentification in linear regression models. Economics Department Working Paper No. 1318, Queen's University.
• Deng, A., 2013. Understanding spurious regression in financial econometrics. Journal of Financial Econometrics, in press.
• Feng, C., H. Wang, Y. Han, and Y. Xia, 2013. The mean value theorem and Taylor's expansion in statistics. The American Statistician, in press.
• Kiviet, J. F. and G. D. A. Phillips, 2013. Improved variance estimation of maximum likelihood estimation in stable first-order dynamic regression models. EGC Report No. 2012/06, Division of Economics, Nanyang Technical University.
• Lanne, M., M. Meitz, and P. Saikkonen, 2013. Testing for linear and nonlinear predicatability of stock returns. Journal of Financial Econometrics, 11, 682-705.

© 2013, David E. Giles

The History of Statistics in the Classrom

You've probably gathered already that I like to incorporate material relating to the history of econometrics, and the history of statistics, into my classroom material. I've always found that it adds perspective, and knowing something about the characters who've contributed to the development of the discipline brings the material to life.

A few years ago, Herbert David presented a paper at the Joint Statistical Meetings, titled "The History of Statistics in the Classroom". It discusses three big players - Laplace, Gauss, and Fisher. You can download a copy of the paper here.

© 2013, David E. Giles

A Second Lesson in Econometrics

In an earlier post (here) I discussed John Siegfried's short piece titled "A First Lesson in Econometrics".

A reader of this blog "veli y" has drawn my attention to a very important follow-up piece by Damien Eldridge, of La Trobe University in Australia. His paper, "A Comment on Siegfried's First L"esson in Econometrics can be seen here

Thanks for the tip!

© 2013, David E. Giles

Society for Economic Measurement

Hat-Tip to Michael Belongia for drawing my attention to the Society for Economic Measurement.

Initiated by William Barnett, the Society will be holding its first conference next (Northern) summer.

Definitely worth checking out!

© 2013, David E. Giles

A Regression "Estimator" that Minimizes MSE

Let's talk about estimating the coefficients in a linear multiple regression model. We know from the Gauss-Markhov Theorem that, within the class of linear and unbiased estimators, the OLS estimator is most efficient. Because it is unbiased, it therefore has the smallest possible Mean Squared Error (MSE), within the linear and unbiased class of estimators.

However, there are many linear estimators which, although biased, have a smaller MSE than the OLS estimator. You might then think of asking: “Why don’t I try and find the linear estimator that has the smallest possible MSE?”

Contemporary Econometrics in Economic Education Research

Under the auspices of the Council for Economic Education, and the American Economic Association, William Becker has developed of An Online Handbook for the Use of Contemporary Econometrics in Economic Education. Details can be found here.

While some might find the choice of topics (to date) to be somewhat idiosyncratic, it's still a very nice resource.

© 2013, David E. Giles

The History of Statistical Terms

Do you ever wonder where those expressions that we use in econometrics come from? You know - terms such as "regression", "autocorrelation", and so on.

Most of them are, of course, borrowed from mathematical statistics. But when were they first used, and who first coined these names?

Peter Kennedy on "Getting the Wrong Sign"

The late Peter Kennedy spent most of his career in the Department of Economics at Simon Fraser University. He was a well-liked "just across the water" academic neighbour of mine.

Peter was an excellent and passionate teacher. He was adept at explaining econometrics to reluctant listeners! Several years ago, he gave a seminar in our department titled, "Oh No! I Got the Wrong Sign! What Should I Do?"

The paper was later published in The Journal of Economic Education, 2005, 36(1), 77-92.

If you haven't seen it before, I'm sure you'll enjoy it.

© 2013, David E. Giles

The Unconference

Another item from the September issue of the International Year of Statistics Newsletter:

'Nearly two weeks before the Future of the Statistical Sciences Workshop*, the Unconference on the Future of Statistics will be staged. Organized by two of the authors of the Simply Statistics blog, the Unconference will be a virtual event hosted on Google Hangouts. 

“It is a great time to be a statistician and discussing the future of our discipline is of utmost importance to us,” say Roger Peng and Jeff Leek, Unconference organizers, referring to the Future of the Statistical Sciences Workshop. “In fact, we liked the idea so much we decided to get in the game ourselves. We are super excited to announce the first ever ‘Unconference’ hosted by Simply Statistics. Our goal is to compliment and continue the discussion inspired by the Statistics 2013 Workshop.” 

The Unconference, which will focus on the future of statistics from the perspective of junior statisticians, will be held October 30 from noon to 1 p.m. EST on Google Hangouts and simultaneously live-streamed on YouTube. 

The event will feature several of the most exciting and innovative statistical thinkers discussing their views on the future of the field, especially those issues that affect junior statisticians the most: education, new methods, software development, collaborations with natural sciences/social sciences, and the relationship between statistics and industry. 

You can sign up for the Unconference here. During the lead-up to the conference, organizers ask that you submit your thoughts on the future of statistics via Twitter using the hashtag #futureofstats. They will compile all comments and make these available along with the talks.' 

* The Future of Statistical Sciences Workshop is a capstone event for the International Year of Statistics, which will take place in London, England in November of this year. There'll be more on this in a post closer to that date.

© 2013, David E. Giles

Something to Tweet About

From the September issue of the International Year of Statistics Newsletter:

"The Fields Institute for Research in Mathematical Sciences at the University of Toronto is sponsoring a Twitter contest called “The Normal Curve”. The contest is being held in recognition of the Institute’s 20th anniversary and the International Year of Statistics. In this unique contest, the Institute poses this question to the world: “What would the world be like if the normal curve was not discovered?” To enter, tweet your answer to the question using the hashtag #WithoutTheCurve for a chance to win one of three autographed copies of Jeffrey Rosenthal’s bestselling book, Struck by Lightning. Submissions for The Normal Curve contest will be accepted beginning September 25 at 12:01a.m. EST. To be eligible for the contest, submissions must be submitted by Twitter, tagged as #WithoutTheCurve and address the contest question. The entry deadline is 11:59 p.m. EST October 15. The top entries selected by volunteers at the Fields Institute’s MathEd forum will be entered into a pool for the drawing the prizes. Winners will be randomly selected for the three prizes. Winners will be announced by the end of October. The contest is open to users internationally. Submissions not in English may be translated using Google Translate if there is no one on the judging panel who can translate the tweet."

Time to start tweeting!

© 2013, David E. Giles