Replication in Economics

I was pleased to receive an email today, alerting me to the "Replication in Economics" wiki at the University of Göttingen:

"My name is Jan H. Höffler, I have been working on a replication project funded by the Institute for New Economic Thinking during the last two years and found your blog that I find very interesting. I like very much that you link to data and code related to what you write about. I thought you might be interested in the following:   We developed a wiki website that serves as a database of empirical studies, the availability of replication material for them and of replication studies: http://replication.uni-goettingen.de
It can help for research as well as for teaching replication to students. We taught seminars at several faculties internationally - also in Canada, at UofT - for which the information of this database was used. In the starting phase the focus was on some leading journals in economics, and we now cover more than 1800 empirical studies and 142 replications. Replication results can be published as replication working papers of the University of Göttingen's Center for Statistics.
Teaching and providing access to information will raise awareness for the need for replications, provide a basis for research about the reasons why replications so often fail and how this can be changed, and educate future generations of economists about how to make research replicable.
I would be very grateful if you could take a look at our website, give us feedback, register and vote which studies should be replicated – votes are anonymous. If you could also help us to spread the message about this project, this would be most appreciated."

I'm more than happy to spread the word, Jan. I've requested an account, and I'll definitely be getting involved with your project. This look like a great venture!

© 2014, David E. Giles

More on the History of Econometrics

Olav Bjerkholt, of the University of Oslo, emailed me to follow up on my May Reading List post. He commented:

"I noted that you have posted a paper by me on your May list. I recently posted it as a SSRN paper with two others which also might interest you. They are "Trygve Haavelmo at the Cowles Commission", and "Lawrence Klein 1920-2013: Notes on the Early Years"."

Thanks Olav - these papers most certainly do interest me, and I'm sure they'll be of considerable interest to readers of this blog, too.

© 2014, David E. Giles

The May Reading List

• Bjerkholt, O., 2013. Promoting econometrics through Econometrica 1933-39. Memorandum 28/2013, Department of Economics, University of Oslo.
• Gulesserian, S. G. and M. Kejriwal, 2014. On the power of bootstrap tests for stationarity: A Monte Carlo comparison. Empirical Economics, 46, 973-998.
• Lin, X. et al. (eds.), 2014. Past, Present, and Future of Statistical Science. Chapman and Hall/CRC Press.
• Medel, C. A., 2014. The typical spectral shape of an economic variable: A visual guide. Applied Economics Letters, in press.

In Past, Present, and Future of Statistical Science, I especially recommend:

1. Chapter 8: Bruce G. Lindsay, Developing a passion for statistics.
2. Chapter 19: Mary E. Thompson, Reflections on women in statistics in Canada.
3. Chapter 22: Donald A. S. Fraser, Why does statistics have two theories?
4. Chapter 27: T. W. Anderson, Serial correlation and the Durbin-Watson bounds.
5. Chapter 44: Larry A. Wasserman, Rise of the machines.
6. Chapter 52: Bradley Efron, Thirteen rules.

© 2014, David E. Giles

HDDA Workshop, 2015

The Fourth International Workshop on the Perspectives on High-Dimensional Data Analysis  is going to be held here at the University of Victoria next summer. The workshop will bring together researchers involved in statistics for high-dimensional data, with researchers involved with topological methods for data analysis and visualization. It will be an "Applied Topology - Applied Statistics" event.

The link for the third such workshop, held in 2013, is here.

I'm on the organising committee, so watch this blog for further developments.

© 2014, David E. Giles

Great Resource for Teaching Statistics with R

If you're having trouble teaching statistics using R, then you'll just love the statsTeachR collaboration.

It's being launched officially at the 2014 New England Statistics Symposium today.

Here's what it's about:

"statsTeachR is an open-access, online repository of modular lesson plans, a.k.a. "modules", for teaching statistics using R at the undergraduate and graduate level. Each module focuses on teaching a specific statistical concept. The modules range from introductory lessons in statistics and statistical computing to more advanced topics in statistics and biostatistics."

And there's more than "modules. There are lab. exercises (with solutions), and "courses".

I've already registered as a statsTeachR user, and this morning I played around with the module that provides an introduction to confidence intervals. The material is just great!

Who do we thank for this?

© 2014, David E. Giles

This Year's Lindau Meeting

Last October I had a post about the 5th Lindau Meeting on Economic Sciences. It's to be held in August of this year:

"The 5th Lindau Meeting on Economic Sciences will provide an open exchange of economic expertise and inspire cross-cultural and inter-generational encounters among economists from all over the world. The world economic and financial crisis will surely be a central theme between the laureates and the young participants, but most likely the global central banking system or the challenges to the international free trade will also be main topics."

I was delighted to learn today that Peter Bell, a Ph.D. candidate here in the Department of Economics at UVic, has been selected to participate.

Congratulations, Peter!

© 2014, David E. Giles

More On the Limitations of the Jarque-Bera Test

Testing the validity of the assumption, that the errors in a regression model are normally distributed, is a standard pastime in econometrics. We use this assumption when we construct standard confidence intervals  for, or test hypotheses about, the parameters of our models. In a post some time ago I pointed out that this assumption is actually is sufficient, but not necessary, for the validity of these inferences.

More recently, here and here, I discussed some aspects of the normality test that most econometricians use - the asymptotically valid test of Jarque and Bera (1987). Let's refer to this as the JB test. In the first of those posts I made brief mention of the finite-sample properties of the JB test, and I concluded:

"However, more recent evidence suggests that the power of the J-B test can be quite low in small samples, for a number of important alternative hypotheses - e.g., see Thadewald and Buning (2004). I'll address this aspect of the J-B test more fully in a later post."

The main results obtained by Thadewald and Buning are summed up in the abstract to their paper .............

Ray Fair's Model(s) in EViews

Here's a follow-up to my recent post about the Federal Reserve U.S. macroeconometric model being freely available in EViews format

Ray Fair's well-known model for the U.S. economy is also now available in a form that's ready to play with in EViews. See here. This is a great teaching tool, and a terrific resource for econometrics students.

In case you're looking for some special fun, Ray is looking for someone to convert his multi-country (MC) model into EViews format, so that it will also be freely available to all of us. The MC model covers 38 countries, and is described here.

HT to Gareth at IHS EViews for alerting me to these developments.

© 2014, David E. Giles

Welcome to Econometrics Students in China

One of my students mentioned to me yesterday that there was quite a bit of action on Weibo (the Chinese equivalent to Twitter) relating to posts on this blog - especially those posts relating to MCMC methods in econometrics. That's just great - thanks for your interest!

Looking at the stats. associated with the page-views for this blog, I see that in the last week China ranks number 3 (after the U.S. and the U.K.) as the most frequent country of origin. Over the past month China is number 4, being beaten only very slightly by Canada.

This certainly was't the case even 3 months ago.

© 2014, David E. Giles

An Exercise With the SURE Model

Here's an exercise that I sometimes set for students if we're studying the Seemingly Unrelated Regression equations (SURE) model. In fact, I used it as part of a question in the final examination that my grad. students sat last week.

Suppose that we have a 2-equation SURE model:

                        y₁ = X₁β₁ + ε₁

                        y₂ = X₂β₂ + ε₂  ,

where the sample is "balanced" (i.e,. we have n observations on all of the variables in both equations), and the errors satisfy the usual assumptions for a SURE model:

                     E[ε] = 0  ;  V(ε) = (Σ ⊗ I_n) 

where                ε' = [ε₁' , ε₂']' .

Exercise:  Prove that the SURE estimators of β₁ and β₂ are identical to the OLS estimators of β₁ and β₂ if the condition, X₁ (X₁'X₁)^-1 X₁' = X₂ (X₂'X₂)^-1 X₂' , is satisfied.

Viren Srivastava and I gave this as Exercise 2.14 in our 1987 book on the SURE model. However, we didn't give the solution there - so don't think you can cheat in that way!

You can see that the above condition is satisfied if X₁ = X₂, and the latter condition is one that is mentioned in most econometrics textbooks. However, it's much more stringent than is needed to get the result.

Also, the above condition is necessary, as well as sufficient, for the OLS and SURE estimators to coincide. However, that's another matter.

I'll post the "solution" to the exercise in a few days' time.

Reference

Srivastava, V. K. and D. E. A. Giles, 1987. Seemingly Unrelated Regression Equations Models:Estimation and Inference. Marcel Dekker, New York. 

© 2014, David E. Giles