Category Econometrics
How the hell can we tell (if fiscal policy worked)?
I feel guilty about not wading into the recent debate about whether fiscal policy helped the Canadian economy recover from the recession. It's one of the things I am supposed to know something about — basic macro. But there's a reason I couldn't be bothered to take sides and join in. The patient is ill. […]
A question that business journalists might do well to ask
I have a question that I wish some enterprising business journalist would ask on a regular basis. When various private sector institutions produce their forecasts, could you please ask where those numbers came from? And perhaps ask for some error bands? Because it is my understanding that private sector forecasts are not produced by teams […]
A preliminary estimate for Canadian 2009Q4 GDP growth
This is an update to my series of posts (2009Q1, 2009Q2, 2009Q3) that uses Statistics Canada's estimates for monthly GDP estimates (available for the first two months of the previous quarter) and the LFS data for the last month of the quarter to provide an estimate for GDP growth in the previous quarter. Statistics Canada […]
Why does anyone care about the distinction between convergence in probability and almost sure convergence?
I'm teaching two econometrics classes this term (master's and PhD), and I just covered the parts on asymptotic theory. In both lectures, I stumbled badly at explaining the difference between these two forms of convergence: my heart simply isn't in it. I've never heard of empirical study where the distinction between the two forms of […]
Random Thoughts
Sometimes my brain can't concentrate on any one topic long enough to write a serious post. Or maybe I just don't know enough to give a good answer to some question I want to answer. So here is a random collection of thoughts:
Why academic economists aren’t (announced) Bayesians
Bryan Caplan asks the question of why more academic economists don't use Bayesian methods. It's a question academic Bayesian economists ask ourselves pretty often. One part of the answer is that many already are informal Bayesians. For example, the whole DSGE literature would be uninteresting (or even more uninteresting, depending on how you feel about […]
A preliminary estimate for Canadian 2009Q3 GDP growth
This is an update to my series of posts (2009Q1, 2009Q2) that uses Statistics Canada's estimates for monthly GDP estimates (available for the first two months of the previous quarter) and the LFS data for the last month of the quarter to provide an estimate for GDP growth in the previous quarter. Statistics Canada will […]
Measuring employment in Canada: LFS vs SEPH
Statistics Canada publishes two sets of numbers for employment. The one that makes the headlines is from the Labour Force Survey of households, and it is released on the first or second Friday following the month in question. The other series is the Survey of Employment, Payrolls and Hours of employers, and it is released […]
A preliminary estimate for Canadian 2009Q2 GDP growth
Three months ago, I tried to construct an advance estimate for 2009Q1 GDP growth, based on the GDP releases for the first two months and the LFS release for the third month. Here is what I came up with: The mean of [the predictive density] is -6.9%, and its standard deviation is 0.5%; the interquartile […]
A preliminary estimate for Canadian 2009Q1 GDP growth
All statistical agencies have to trade off timeliness against accuracy, and Statistics Canada seems to put more weight on accuracy. For example, it doesn't publish advance GDP estimates the way the Bureau of Economic Analysis does, presumably because they don't want to live with the large revisions that the BEA is invariably forced to make. […]
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