Monday, March 23, 2015

The World Championship of Econometrics!

Nikki Wesselius, a member of the Organizing Committee for the Econometric Game, 2015, has asked me to provide readers with information about this year's event. I'm delighted to do so,

The Econometric Game (AKA "The World Championship of Econometrics") is an exciting annual competition for econometrics students that I've had posts about in the past. (see here, here, here, and here.)

The 2015 EG begins in just a week from now, and here is the program:

Tuesday, March 31th 2015
09:00 - 09:30 Registration at ‘De Brug’ (The Bridge) at the REC University of Amsterdam
09:30 - 11:45 Opening at REC C1.04 the UvA
09:30 - 09:45 Wibrand de Reij (chairman EG committee)
09:45 - 10:00 Han van Dissel (dean UvA Faculty of Economics and Business)
10:00 - 10:25 EY J.P. Balkenende (former minister-president of the Netherlands)
10:25 - 10:40 Coffee and tea break
10:40 - 11:05 ORTEC Gerrit Timmer
11:05 - 11:45 Introduction to the case by the Casemakers
11:45 - 12:30 Lunch at CREA at the REC University of Amsterdam
13:00 - 18:00 Working on the Case at the Zuiderkerk
13:00 - 13:45 Introduction to the Case
18:30 - 21:00 Dinner at Chicanos

Wednesday, April 1st 2015
09:00 - 18:30 Working on the Case at the Zuiderkerk
09:00 - 09:15 Speach of the casemaker at the Zuiderkerk
12:00 - 13:00 Working lunch
19:00 - 21:30 Dinner at Brasserie Harkema
21:30 - 03:00 Drinks at Heeren van de Amstel (?)
21:30 - 22:00 Speach of Luke Disney
22:00 - 22:15 Announcement of the finalists

Thursday, April 2th 2015
Finalists
08:30 - 17:00 Working on the Case at the Zuiderkerk
8:30 - 08:45 Speach of the casemaker at the Zuiderkerk
11:30 - 12:30 Working lunch
Non-finalists
11:00 - 14:00 Typical Dutch day
All Teams
18:00 - 19:00 Presentations of the finalists at de Bazel
19:00 - 21:30 Dinner at Calf & Bloom
21:30 - 03:00 Award ceremony and closing party at Calf & Bloom

I'll be posting daily while the Game is in progress, providing up-to-date information about what is happening for those of you who won't be in attendance.

I'm told that the team from the University of Copenhagen is quietly confident of pulling it off again this year, but we'll have to wait and see. Good luck to all of the participants.

Don't touch that dial!


© 2015, David E. Giles

Friday, March 20, 2015

EViews 9 is Now Released

Great news today - EViews 9 has now been released.

You can read the earlier posts that I prepared while testing the Beta version of EV9 here, here, and here.

Congratulations to the team at EViews on this latest development!


© 2015, David E. Giles

Thursday, March 19, 2015

Conference in Honour of Aman Ullah

Last weekend, a small conference was held to honour Aman Ullah, a Distinguished Professor in the Department of Economics at the University of California, Riverside. I was to have participated in this gathering, but regrettably those plans had to be curtailed.

You'll find the program for the conference here. Aman (wearing a jacket) is front and centre in the picture below:




Aman and I go back a long way, and I remember fondly a period of leave that I spent with him at Western University; and his extended visits to both Monash University and the University of Canterbury. Along the way we managed to co-edit a couple of books together, and to say that I've learned a lot from him would be a huge understatement.

The description "a gentleman and a scholar" sits as well with Aman as with anyone else I can think of.

Thank you, Aman, for your enormous contributions to our discipline, your good humour, and your friendship.


© 2015, David E. Giles

Wednesday, March 11, 2015

Edmond Malinvaud (1923-2015)

By now, many of you will be aware that the highly influential French economist, Edmond Malinvaud, passed away on 7 March at the age of 91.

This is a huge loss for the profession.

Malinvaud made many seminal contributions to microeconomics, macroeconomics, and econometrics. You can read the ET Interview of Edmond Malinvaud, by Alberto Holly and Peter Phillips, here.

His incomparable and highly acclaimed econometrics text, Statistical Methods in Econometrics, was first published in French in 1964. The first English edition followed in 1966. This was the text for the core course in econometric theory that I took for my Masters degree in 1971. It's heavy emphasis on geometric analysis made it challenging, to say the least! However, this book remains one of the most important to econometrics volumes to have been written. It was ahead of its time in many respects - for instance in its treatment of minimum distance estimation - and re-reading it today still provides important insights.

The closing words in the first English edition of SMIE are as relevant today as they were fifty years ago:
"Finally, we must never forget that our progress in understanding economic laws depends strictly on the quality and abundance of statistical data. Nothing can take the place of the painstaking work of observation of the facts. All improvements in methodology would be in vain if they had to be applied to mediocre data." 

© 2015, David E. Giles

Thursday, March 5, 2015

Granger Causality & Seasonal Adjustment

One decision that we often have to make when modelling with time-series data is whether to use "seasonally adjusted" data, or the original (unadjusted) data. In some cases the decision is effectively made for us - only the seasonally adjusted data are published. This arises, for example, with some U.S. macroeconomic data, and it can be a bit of a pain.

For some previous comments on this, see here.

However, suppose that we have a choice - original data, or data that have been seasonally adjusted by some filtering method (e.g., the Census X-11/12/13 filter) - and we're interested in testing for Granger causality. Is there any evidence in favour of using one version of the data or the other?

Well, yes, there is. Let's take a look at it.

Monday, March 2, 2015

The ET Interviews

Right from its inception in 1985, the journal Econometric Theory has featured the "ET Interviews". These are published interviews with key figures who have helped to shape the discipline of econometrics as we know it.

Many of these interviews have been conducted by ET Editor, Peter Phillips, but other interviewers ave also participated. This invaluable contribution provides us with a unique "window" on the history of econometrics, and the ET Interviews should be required reading for all of our graduate students.

The very first issue of ET included Peter's interview with Denis Sargan - one of the most influential British econometricians of all time, and Peter's Ph.D. supervisor at the LSE. Since then, interviews with 38 other econometricians and statisticians have been added to the collection. These recorded memories will become increasingly valuable with each passing year.

The majority of the interview articles can be downloaded freely from Peter's website (although they're not shown as links). In the following list of all of the "ET Interviews" to date, those articles that have to be accessed through the journal site itself are flagged with an asterisk (*):

Saturday, February 28, 2015

March Reading List

Good grief! It's March already. You might enjoy:

Bajari, P., D. Nekipelov, S. P. Ryan, and M. Yang, 2015. Demand estimation with machine learning and model combination. NBER Working Paper No, 20955.

Baur, D. G. and D. T. Tran, 2014. The long-run relationship of gold and silver and the influence of bubbles and financial crises. Empirical Economics, 47, 1525-1541.

Efron, B., 2014. Estimation and accuracy after model selection. Journal of the American Statistical Association, 109, 991-1007.

Kennedy, P. E., 1995. Randomization tests in econometrics. Journal of Business and Economic Statistics, 13, 85-94.

Magnus, J. R., W. Wang, and X. Zhang, 2015. Weighted-average least squares prediction. Econometric Reviews, in press.

Osman, A. F. and M. L. King, 2015. A new approach to forecasting based on exponential smoothing with independent regressors. Working Paper 02/15, Department of Econometrics and Business Statistics, Monash University.

Perron, P. and Y. Yamamoto, 2015. Using OLS to estimate and test for structural change in models with endogenous regressors. Journal of Applied Econometrics, 30, 119-144.

© 2015, David E. Giles

Population Countdown

I was downloading data from the Statistics New Zealand website the other evening, and was alerted to the fact that an interesting event was about to occur. Here's my screen-capture of the N.Z. "Population Clock" about an hour later:




© 2015, David E. Giles

Thursday, February 19, 2015

Applied Nonparametric Econometrics

Recently, I received a copy of a new econometrics book, Applied Nonparametric Econometrics, by Daniel Henderson and Christopher Parmeter.

The title is pretty self-explanatory and, as you'd expect with any book published by CUP, this is a high-quality item.

The book's Introduction begins as follows:
"The goal of this book is to help bridge the gap between applied economists and theoretical econometricians/statisticians. The majority of empirical research in economics ignores the potential benefits of nonparametric methods and many theoretical nonparametric advances ignore the problems faced by practitioners. We do not believe that applied economists dismiss these methods because they do not like them.  We believe that they do not employ them because they do not understand how to use them or lack formal training on kernel smoothing."
The authors provide a very readable, but careful, treatment of the main topics in nonparamteric econometrics, and a feature of this book is the set of empirical examples. The book's website provides the data that are used (for replication purposes), as well as a number of routines in R. The latter provide useful additions to those that are available in the np package for R (Hayfield and Racine, 2008).


Reference

Hayfield T. and J. S. Racine, 2008. Nonparametric econometrics: The np package. Journal of Statistical Software, 27 (5), 1-32.


© 2015, David E. Giles

Wednesday, February 18, 2015

And the Rest.......

Happy to make the cut! Thanks Noah, and BloombergView.


© 2015, David E. Giles