Wednesday, February 21, 2018

March Reading List

  • Annen, K. & S. Kosempel, 2018. Why aid-to-GDP ratios? Discussion Paper 2018-01, Department of Economics and Finance, University of Guelph.
  • Conover, W. J., A. J. Guerrero-Serrano, & V. G. Tercero-Gomez, 2018. An update on 'a comparative study of tests for homogeneity of variance'. Journal of Statistical Computation and Simulation, online.
  • Foroni, C., M. Marcellino, & D. Stevanović, 2018. Mixed frequency models with MA components. Discussion Paper  No. 02/2018, Deutsche Bundesbank.
  • Sen, A., 2018. Lagrange multiplier unit root test in the presence of a break in the innovation variance. Communications in Statistics - Theory and Methods, 47, 1580-1596.
  • Stewart, K. G., 2018. Suits' watermelon model: The missing simultaneous equations empirical example. Mimeo., Department of Economics, University of Victoria.
  • Weigt, T. & B. Wilfling, 2018. An approach to increasing forecast-combination accuracy through VAR error modeling. Paper 68/2018, Department of Economics, University of Münster.
© 2018, David E. Giles

Sunday, February 11, 2018

Recommended Reading for February

Here are some reading suggestions:
  • Bruns, S. B., Z. Csereklyei, & D. I. Stern, 2018. A multicointegration model of global climate change. Discussion Paper No. 336, Center for European, Governance and Economic Development Research, University of Goettingen.
  • Catania, L. & S. Grassi, 2017. Modelling crypto-currencies financial time-series. CEIS Tor Vegata, Research Paper Series, Vol. 15, Issue 8, No. 417.
  • Farbmacher, H., R. Guber, & J. Vikström, 2018. Increasing the credibility of the twin birth instrument. Journal of Applied Econometrics, online.
  • Liao, J. G. & A. Berg, 2018. Sharpening Jensen's inequality. American Statistician, online.
  • Reschenhofer, E., 2018. Heteroscedasticity-robust estimation of autocorrelation. Communications in Statistics - Simulation and Computation, online.

© 2018, David E. Giles

Saturday, February 10, 2018

Economic Goodness-of-Fit

What do we mean by a "significant result" in econometrics?

The distinction between "statistical significance" and "economic significance" has received a good deal of attention in the literature. And rightly so.

Think about the estimated coefficients in a regression model, for example. Putting aside the important issue of the choice of a significance level when considering statistical significance, we all know that results that are significant in the latter sense may or may not be 'significant' when their economic impact is considered.

Marc Bellemare provided a great discussion of this in his blog a while back.

Here, I want to draw attention to a somewhat related issue - distinguishing between the statistical and economic overall goodness-of-fit of an economic model.

Thursday, February 8, 2018

ASA Symposium on Statistical Inference - Recorded Sessions

In October of last year, the American Statistical Association held a two-day Symposium on Statistical Inference in Bethesda, MD.

The symposium was sub-titled, Scientific Method for the 21st. Century: A World Beyond p < 0.05. That gives you some idea of what it was about.

The ASA has now released video recordings of several of the sessions at the symposium, and you can find them here.

The video sessions include:

"Why Is Eliminating P-Values So Hard? Reflections on Science and Statistics." (Steve Goodman)

"What Have We (Not) Learnt from Millions of Scientific Papers with P-Values?" (John Ioannidis)

"Understanding the Needs for Statistical Evidence of Decision-Makers in Medicine." (Madhu Mazumdar, Keren Osman, & Elizabeth Garrett-Mayer) 

"Statisticians: Sex Symbols, Liars, Both, or Neither?" (Christie Aschwanden, Laura Helmuth, & Aviva Hope Rutkin) 

"The Radical Prescription for Change." (Andrew Gelman, Marcia McNutt, & Xiao-Li Meng)

Closing Session: “Take the Mic”

The videos are stimulating and timely. I hope that you enjoy them.

© 2018, David E. Giles

Saturday, February 3, 2018

Bayesian Econometrics Slides

Over the years, I included material on Bayesian Econometrics in various courses that I taught - especially at the grad. level. I retired from teaching last year, and I thought that some of you might be interested in the slides that I used when I taught a Bayesian Econometrics topic for the last time.

I hope that you find them useful.

1. General Background
2. Constructing Prior Distributions
3. Properties of Bayes Estimators and Tests
4. Bayesian Inference for the Linear Regression Model
5. Bayesian Computation
6. More Bayesian Computation 
7. Acceptance-Rejection Sampling
8. The Metropolis-Hastings Algorithm
9. Model Selection - Theory
10. Model Selection - Applications
11. Consumption Function Case Study
© 2018, David E. Giles