Category Econometrics
The census long form – A critical tool for better understanding and policy
The following was written by Russell Davidson, Charles Beach and Thomas Lemieux on behalf of the Canadian Economics Association. A condensed version appeared in Saturday's Globe and Mail. With a bill to reinstate the mandatory Census long form currently before Parliament, we wish to express our views, on behalf of the executive council of the Canadian Economics Association, on the […]
Economists aren’t in the prediction business – and that’s a good thing
Last year one of my students* was trying to explain why immigrants struggle in the job market. His regressions weren't working, so he switched things round a bit. Using 2006 Census data, he found that people in Newfoundland are 30 percentage points less likely to be immigrants than people in Ontario. People with PhDs are […]
Reverse Regression and the Great Gatsby Curve
[Update: I'm getting an awful feeling this post may be totally wrong. Does (1/b)/[1+Var(V(i))/Var(Y(i))] = b if the Lamarck model is true? If so, my proposal won't work. Wish I could do math.] [Update2. Nope, I think it will work. But Majromax in comments has come up with a simpler way to do the same […]
Will somebody please think of the Data Generating Process!
Or: "Should Finance People be allowed out unaccompanied by a macroeconomist?". If the central bank is doing its job right, monetary policy ought to appear to be irrelevant. The Economist says (HT Mark Thoma) "Interest rates do not seem to affect investment as economists assume", and this means that monetary policy is irrelevant. (Let's just […]
How to test whether the LMI (LMCI) is a good indicator
The Bank of Canada calls theirs the "Labour Market Indicator". I now learn from Tim Duy (HT Mark Thoma) that the US Fed has one too, and calls theirs the "Labor Market Conditions Index". I think that LMI and LMCI are roughly the same sort of thing. It's an index number that is supposed to […]
Dumb questions about econometrics and GAI/NIT
I've been meaning to write this post for some time. Scott Sumner's post spurs me to write it now. First let me ask my dumb econometrics question. It's a very simple question, and I really ought to know the answer. But I don't. Q1. If you estimate a linear regression, using Least Squares or whatever, […]
A simple test of simple rules against actual policy in the actual economy
A "simple rule" is a formula that tells a central bank how to set the nominal interest rate as a fixed function of a small number of variables. The Taylor Rule, which sets the nominal rate as a function of the gap between actual and target inflation, and the gap between actual and potential output, […]
Fiscal Policy Shocks
Well, here is a new contribution to the debate over the effect of fiscal policy shocks from the journal of the Institute for Fiscal Studies. The authors Paweł Borys, Piotr Ciżkowicz and Andrzej Rzońca are from the Warsaw School of Economics and look at the impact of fiscal policy shocks on EU new member states. […]
Flogging a Dead Horse III: The weird response of Benjamin Zycher
This post was written by Mike Veall of the Department of Economics at McMaster University. Sorry, I am still on about the research that was used to formulate the Ontario Progressive Conservative jobs plan. Again I emphasize this is about the underlying econometric research by Benjamin Zycher, Senior Fellow of the American Enterprise Institute. It is not […]
Why do beginner econometricians get worked up about the wrong things?
People make elementary errors when they run a regression for the first time. They inadvertently drop large numbers of observations by including a variable, such as spouse's hours of work, which is missing for over half their sample. They include every single observation in their data set, even when it makes no sense to do […]
Worthwhile Canadian Initiative 
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