When I released my first post on the blog on 20th. Febuary 2011 I really wasn't sure what to expect! After all, I was aiming to reach a somewhat niche audience. Well, 949 posts and 7.4 million page-hits later, this blog has greatly exceeded my wildest expectations.  However, I'm now retired and I turned 70 three months ago. I've decided to call it quits, and this is my final post. I'd rather make a definite decision about this than have the blog just fizzle into nothingness. For now, the Econometrics Beat blog will remain visible, but it will be closed for further comments and questio ..read more

Well........, not really! It might seem that way on the face of it, but that's because you're probably using a totally inappropriate measure of what's (statistically) significant, and what's not. I talked a bit about this issue in a previous post, where I said: "Granger (1998, 2003) has reminded us that if the sample size is sufficiently large, then it's virtually impossible not to reject almost any hypothesis. So, if the sample is very large and the p-values associated with the estimated coefficients in a regression model are of the order of, say, 0.10 or even 0.05, then this really bad ne ..read more

This post was prompted by an email query that I received some time ago from a reader of this blog. I thought that a more "expansive" response might be of interest to other readers............ In spite of its many limitations, it's standard practice to include the value of the coefficient of determination (R2) - or its "adjusted" counterpart - when reporting the results of a least squares regression. Personally, I think that R2 is one of the least important statistics to include in our results, but we all do it. (See this previous post.) If the regression model in question is linear (in t ..read more

Here's my latest, and final, list of suggested reading: Bellego, C. and L-D. Pape, 2019. Dealing with the log of zero in regression models. CREST Working Paper No. 2019-13. Castle, J. L., J. A. Doornik, and D. F. Hendry, 2018. Selecting a model for forecasting. Department of Economics, University of Oxford, Discussion Paper 861. Gorajek, A., 2019. The well-meaning economist. Reserve Bank of Australia, Research Discussion Paper RDP 2019-08. Güriş, B., 2019. A new nonlinear unit root test with Fourier function. Communications in Statistics - Simulation and Computation, 48, 3056-3062. Maud ..read more

Here we are - it's Labo(u)r Day weekend already in North America, and we all know what that means! It's back to school time. You'll need a reading list, so here are some suggestions: Frances, Ph. H. B. F., 2019. Professional forecasters and January. Econometric Institute Research Papers EI2019-25, Erasmus University Rotterdam. Harvey, A. & R. Ito, 2019. Modeling time series when some observations are zero. Journal of Econometrics, in press. Leamer, E. E., 1978. Specification Searches: Ad Hoc Inference With Nonexperimental Data. Wiley, New York. (This is a legitimate free download ..read more

Back in early 2016, the American Statistical Association (ASA) made an announcement in its newsletter, Amstat News, about the introduction of an important new series of books. In part, that announcement said: "The American Statistical Association recently partnered with Chapman & Hall/CRC Press to launch a book series called the ASA-CRC Series on Statistical Reasoning in Science and Society.  'The ASA is very enthusiastic about this new series,' said 2015 ASA President David Morganstein, under whose leadership the arrangement was made. 'Our strategic plan includes increasing the visibili ..read more

Each year, the Joint Statistical Meetings (JSM) bring together thousands (6,500 this year) of statisticians at what's the largest gathering of its type in the world. The JSM represent eleven international statistics organisations, including the four founding organisations - The American Statistical Association (ASA), The International Biometric Society, The Institute of Mathematical Statistical, and The Statistical Society of Canada. As a member of the ASA since 1973 I've attended a few of these meetings over the years, but unfortunately I didn't make it to the JSM in Denver at the end of l ..read more

If you follow this blog (or if you look at the "History of Econometrics" label in the word cloud in the right side-bar), you'll know that I have more than a passing interest in the history of our discipline. There's so much to be learned from this history. Among other things, we can gain insights into why certain methods became popular, and we can reduce the risk of repeating earlier mistakes! When I was teaching I liked to inject a few historical facts/anecdotes/curiosities into my classes. I think that this brought the subject matter to life a little. The names behind the various theorem ..read more

Here are my suggestions for this month: Bun, M. J. G. & T. D. Harrison, 2109. OLS and IV estimation of regression models including endogenous interaction terms. Econometric Reviews, 38, 814-827. Dufour, J-M., E. Flachaire, & L. Khalaf, Permutation tests for comparing inequality measures. Journal of Business and Economic Statistics, 37, 457-470. Jiao, X. & F. Pretis, 2018. Testing the presence of outliers in regression models. Available at SSRN: https://ssrn.com/abstract=3217213. Stanton, J. M., 2001. Galton, Pearson, and the peas: A brief history of linear regression for statis ..read more

The Agricultural and Applied Economics Association (AAEA) recently held its annual meeting in Atlanta, GA. You can find the extensive program here. This year, I was fortunate enough to be able to attend and participate. This was thanks to the kind invitation of Marc Bellemare, a member of the Executive Board of the AAEA, and (of course) a blogger whom many of you no doubt follow. (If you don't, then you should!)  Marc arranged a session in which he and I talked about the pros and cons of The Cookbook Approach to Teaching Econometrics. The session was well attended, and the bulk of the t ..read more