Blog Archives

November Reading

October 10, 2017
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November Reading

ftp://ftp.econ.au.dk/creates/rp/17/rp17_32.pdfhttp://www.tandfonline.com/doi/full/10.1080/03610926.2016.1260738http://www.tandfonline.com/doi/full/10.1080/03610926.2017.1359296© 2017, David E. Giles

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Recommended Reading for October

October 4, 2017
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Recommended Reading for October

Andor, N. & C. Parmeter, 2017. Pseudolikelihood estimation of the stochastic frontier model. Ruhr Economic Papers #693.Chalak, K., 2017. Instrumental variables methods with heterogeneity and mismeasured instruments. Econometric Theory, 33, 69-104.K...

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Recommended Reading for October

October 4, 2017
By
Recommended Reading for October

Andor, N. & C. Parmeter, 2017. Pseudolikelihood estimation of the stochastic frontier model. Ruhr Economic Papers #693.Chalak, K., 2017. Instrumental variables methods with heterogeneity and mismeasured instruments. Econometric Theory, 33, 69-104.K...

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How Good is That Random Number Generator?

September 28, 2017
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How Good is That Random Number Generator?

Recently, I saw a reference to an interesting piece from 2013 by Peter Grogono, a computer scientist now retired from Concordia University. It's to do with checking the "quality" of a (pseudo-) random number generator.Specifically, Peter discusses what...

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How Good is That Random Number Generator?

September 28, 2017
By
How Good is That Random Number Generator?

Recently, I saw a reference to an interesting piece from 2013 by Peter Grogono, a computer scientist now retired from Concordia University. It's to do with checking the "quality" of a (pseudo-) random number generator.Specifically, Peter discusses what...

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Misclassification in Binary Choice Models

September 22, 2017
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Misclassification in Binary Choice Models

Several years ago I wrote a number of posts about Logit and Probit models, and the Linear Probability Model LPM). One of those posts (also, see here) dealt with the problems that arise if you mis-classify the dependent variable in such models...

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Monte Carlo Simulations & the "SimDesign" Package in R

September 20, 2017
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Monte Carlo Simulations & the "SimDesign" Package in R

Past posts on this blog have included several relating to Monte Carlo simulation - e.g., see here, here, and here.Recently I came across a great article by Matthew Sigal and Philip Chalmers in the Journal of Statistics Education. It's titled, "Play it ...

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Econometrics Reading List for September

September 10, 2017
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Econometrics Reading List for September

A little belatedly, here is my September reading list:Benjamin, D. J. et al., 2017. Redefine statistical significance. Pre-print.Jiang, B., G. Athanasopoulos, R. J. Hyndman, A. Panagiotelis, and F. Vahid, 2017. Macroeconomic forecasting for Australia u...

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My August Reading List

July 31, 2017
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My August Reading List

Here are some suggestions for you:Calzolari, G., 2017. Econometrics exams and round numbers: Use or misuse of indirect estimation methods? Communications in Statistics - Simulation and Computation, in press.Chakraborti, S., F. Jardim, & E. Epprecht...

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The Bandwidth for the KPSS Test

July 12, 2017
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The Bandwidth for the KPSS Test

Recently, I received an email from a follower of this blog, who asked:"May I know what is the difference between the bandwidth of Newey-West and Andrews for the KPSS test. It is because when I test the variable with Newey-West, it is I(2), but then I s...

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