Thanks for the Honour!

Recently, I became an Honorary Professor in the Department of Economics in the Management School at the University of Waikato, in New Zealand. The appointment took effect on 1 January.

The economics group at Waikato is very energetic and productive, so I'm really grateful for this honour and for the opportunity to interact with them .

I'm still on faculty, full-time, at the the University of Victoria in Canada. However, I'm expecting that my new link will enable me to play a more active role in the profession in New Zealand (where I studied and lived for many years) than has been possible in recent times.

So, a big "thank you" to those who made this wonderful opportunity possible!

© 2014, David E. Giles

Reading for the New Year

Back to work, and back to reading:

• Basturk, N., C. Cakmakli, S. P. Ceyhan, and H. K. van Dijk, 2013. Historical developments in Bayesian econometrics after Cowles Foundation monographs 10,14. Discussion Paper 13-191/III, Tinbergen Institute.
• Bedrick, E. J., 2013. Two useful reformulations of the hazard ratio. American Statistician, in press.
• Nawata, K. and M. McAleer, 2013. The maximum number of parameters for the Hausman test when the estimators are from different sets of equations.  Discussion Paper 13-197/III, Tinbergen Institute.
• Shahbaz, M, S. Nasreen, C. H. Ling, and R. Sbia, 2013. Causality between trade openness and energy consumption: What causes what  high, middle and low income countries. MPRA Paper No. 50832. 
• Tibshirani, R., 2011. Regression shrinkage and selection via the lasso: A retrospective. Journal of the Royal Statistical Society, B, 73, 273-282.
• Zamani, H. and N. Ismail, 2014. Functional form for the zero-inflated generalized Poisson regression model. Communications in Statistics - Theory and Methods, in press.

© 2014, David E. Giles

CESG 2014

The Canadian Econometrics Study Group has a long and illustrious history! This year, the 31st Meeting of the CESG is to be hosted by Simon Fraser University. The meeting will take place in early October 2014, and details can be found here.

This promises to be another great meeting, with invited addresses by Jushan Bai (Columbia University) and Guido Imbens (Stanford University).

© 2014, David E. Giles

The Three Minute Thesis

Now that all of you grad. students are excited that you'll be able to get your dissertations finished in just three minutes, let me bring you back to earth!

The Three Minute Thesis (3MT) is a competition that challenges research students to present the essence of their work, in just three minutes, to a lay audience. Communication is key. Originally developed by a group at the University of Queensland in Australia, the 3MT has now become popular in other parts of the world. including where in Canada. Campus, regional, and national competitions have emerged, with students from all disciplines vying for the honour of being a communication star.

It's a great concept, and it's good to see how many universities are coming on-board in supporting and promoting the 3MT. If you want to see what it's all about, there are some great video clips, here.

Here at the University of Victoria, our first 3MT competition is being organised by our Faculty of Graduate Studies, and the full details for local students are here. 

Cash prizes are at stake! You'll have to hurry, though, because entries are closing very soon.

© 2014, David E. Giles

Zero-One Matrices

When we're learning the basics of least squares regression analysis, one of the topics that we invariably encounter is the consequences of model mis-specification. In particular, we're taught that omitting relevant regress from the model renders the OLS estimator biased and inconsistent, although its precision is improved. On the other hand, including extraneous regressors simply reduces the efficiency of the OLS estimator of the coefficient vector. That estimator is still unbiased (and consistent) in this case.

These results are just special cases of those associated with imposing false restrictions on the parameter space, or failing to impose valid restrictions. So, once these more general results have been covered there's really no need to treat the "omitted regressors" and "extraneous regressors" situations as a separate matter.

However, usually they are dealt with as a distinct topic. What I find interesting, and what I want to focus on here, is the way in which the unbiasedness of OLS can be demonstrated in the context of irrelevant regressors. There's an easy way to get this result, and there's a more tedious proof. Let's begin by looking at the easy way.

Congratulations, Sir Richard!

Well-known microeconometrician, Richard Blundell, has been knighted in the New Year's Honours list. Sir Richard is the Ricardo Professor of Political Economy at University College London, and Research Director for the Institute for Fiscal Studies.

Knighted for his services to economics and social science, Sir Richard has previously served as co-editor of both Econometrica and Journal of Econometrics, and his many other achievement and awards are listed here.

I'm sure that all econometricians will be delighted by this recognition of Sir Richard's contributions, and offer him their sincere congratulations!

© 2014, David E. Giles

My Top 5 For 2013

Everyone seems to be doing it at this time of the year. So, here are the five most popular new posts on this blog in 2013:

1. Econometrics and "Big Data"
2. Ten Things for Applied Econometricians to Keep in Mind
3. ARDL Models - Part II - Bounds Tests
4. The Bootstrap - A Non-Technical Introduction
5. ARDL Models - Part I

Thanks for reading, and for your comments.

Happy New Year!


© 2013, David E. Giles

A Cautionary Bedtime Story

Once upon a time, when all the world and you and I were young and beautiful, there lived in the ancient town of Metrika a young boy by the name of Joe.

Happy Birthday, Econometric Society

The Econometric Society was founded 83 years ago today, as a result of a meeting held at the Stalton Hotel in Cleveland, Ohio.

One of my earliest posts was devoted to this aspect of the history of our discipline. If you haven't read it, this would certainly be an appropriate day to do so!

And if you want to look ahead, as well as back, keep in mind that the Econometric Society holds  a World Congress every five years. The 11^th Congress is scheduled for 15 to 21 August 2015, in Montreal, Canada.

See you there!

© 2013, David E. Giles

Statistical Significance - Again

With all of this emphasis on "Big Data", I was pleased to see this post on the Big Data Econometrics blog, today.

When you have a sample that runs to the thousands (billions?), the conventional significance levels of 10%, 5%, 1% are completely inappropriate. You need to be thinking in terms of tiny significance levels.

I discussed this in some detail back in April of 2011, in a post titled, "Drawing Inferences From Very Large Data-Sets". If you're of those (many) applied researchers who uses large cross-sections of data, and then sprinkles the results tables with asterisks to signal "significance" at the 5%, 10% levels, etc., then I urge you read that earlier post.

It's sad to encounter so many papers and seminar presentations in which the results, in reality, are totally insignificant!

© 2013, David E. Giles