Category Econometrics
The unit-root zombie: Dead, but still wreaking havoc
If there's one thing that is guaranteed to drive the still-too-small community of Bayesian macroeconometricians up the wall, it's the debate about whether or not GDP – or any other variable – has a unit root. If you don't know what a unit root is or why it has anything to do with GDP, then […]
Three reasons to believe the Canadian fiscal multiplier might be bigger than we think it is
1. The Short-Run Aggregate Supply curve is not vertical, otherwise fiscal policy (or any change in Aggregate Demand) would have no effect on real output (except via supply-side effects). But the SRAS curve is probably not linear either. It is plausible to assume that the SRAS curve gets steeper as output increases, because as output […]
A request for some Bayesian assistance
Calling all Bayesians! I need your help on two questions: first I want you to check something I said; second I want you to check something that Bryan Caplan said. In September 2008, Bryan Caplan issued a challenge (revisited yesterday) for people to say in advance how they would update their prior belief that the […]
Exogenous policy, endogenous policy……and improving policy
On Saturday I posted my views on why it is difficult to get good estimates of the effects of fiscal and monetary policy. On Sunday Greg Mankiw responded to (less than civil) criticism from Nate Silver. Here is the very short version: Nate Silver criticised Greg Mankiw for looking at the effects of an exogenous […]
Why there’s so little good evidence that fiscal (or monetary) policy works
Will fiscal (or monetary) policy work to prevent a recession? This is perhaps the central question of macroeconomics. We ought to know the answer, and we ought to have overwhelmingly good evidence to support our answer. But we don't. It's still being debated. There's a reason we don't have good evidence.
Do private sector forecasters have an incentive to produce good forecasts?
John Palmer at EclectEcon asks "What if bad forecasting led to losing one's job?": [I]f I were making forecasts for a financial group or a private firm, one would expect I would lose my job if I made consistently bad forecasts. There was a time when the Department of Finance would make its own projections […]
Why aren’t all econometricians Bayesians?
Andrew Gelman offers this wonderful graph: If you have a simple model and lots of data, then it doesn't matter if you use classical or Bayesian methods. Otherwise, classical methods are more likely to generate more in the way of thorny, pointless digressions ("Hey, wait a minute! Are the data trend- or difference-stationary?") than actual […]
Real-time data, or why being an Irish macroeconometrician is a frustrating existence
I spent Friday and Saturday listening to these papers on dealing with 'real-time' data – that is, data that are actually available at a given point of time. The main question that people are grappling with is how to extract information from preliminary estimates that will be subsequently revised. As far as I can tell, […]
Tracking the tracking polls
This is cross-posted on democraticSPACE. There are a lot of published opinion polls out there: I count 41 since September 8. The trouble is that many of them contradict each other – just what are we supposed to make from all this? Let's haul out our introductory statistics textbooks and take a closer look. Firstly, […]
On systematic biases of Canadian polling firms
Now that the federal election campaign is underway, we're being bombarded with polls. One of the questions that preoccupies me these days is the extent to which there are systematic differences between the results produced by the various polling firms. Here is a graph of the reported estimates for the lead of the Conservatives over […]
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