More on the Properties of the "Adjusted" Coefficient of Determination

A while back I wrote about the fact that R² (the coefficient of determination for a linear regression model) is a sample statistic, and as such it has a sampling distribution. In that post and in follow-up posts here and here, I discussed some of the properties of that sampling distribution, and about the mean and variance of R² in certain circumstances.

Let's take that discussion a step further by comparing the MSE's of R² and its "adjusted" counterpart.

Interpreting Confidence Intervals

I enjoyed William M. Briggs' ("Statistician to the Stars") post today: "Frequentists are Closet Bayesians: Confidence Interval Edition". Getting your head around the (correct) interpretation of a confidence interval can be difficult for students. Try teaching it - and keeping a straight face! It's a challenge, to be sure. On such days, my Bayesian inclinations percolate to the top.

That being said, I thought it would be worth pointing newcomers to this blog to a post of mine from 2011 that relates closely to what Matt Briggs has to say. The post tells a tale from the early years at the USDA Graduate School, where Jerzy Neyman presented some guest lectures/seminars in the 1930's. You'll find it all here.

Students may take some comfort from the interchange that is reported in the latter part of the post.

Update: In the post I refer to a paper by my colleague, Malcolm Rutherford: "The USDA Graduate School: Government Training in Statistics and Economics, 1921-1945". It's now published in the December 2011 issue of the Journal of the History of Economic Thought (vol. 33, no. 4, pp. 419-447). If you don't have online access to this journal, the Working Paper version of the paper is available here.

© 2014, David E. Giles

Publications of George Box

I can't imagine that there are any econometricians who have not heard of George Box - if only in the context of Box-Jenkins time-series analysis, or the Box-Cox transformation. 

To honour his memory and his many contributions to statistics, the publishers Taylor and Francis have made available a free electronic resource that gathers together much of his work, edited by David M. Steinberg.

Here's how the publishers introduce the material:

Temporary Teaching Appointment(s)

My department is looking for one or more people to take up temporary teaching appointments in 2015.

Fields of interest include corporate finance, macroeconomics, issues in European integration, 

money and banking, environmental economics, and labour economics. 

Sorry - not econometrics!

These positions would suit someone who's on leave from their home institution.

Full details, and the application procedure, can be found here. Please spread the word!

© 2014, David E. Giles

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