Category Econometrics
When is a missing observation not really missing?
Imagine you want to learn about the causes of disability in Canada. You could structure your questionnaire in one of two ways.
Hysteresis in the teaching of econometrics
When I was a graduate student – some 25 years ago – there was a practical reason for why Bayesian methods played little or no role in the textbooks. Even though classical methods asked the wrong questions* and forced people to wade through a myriad of complicated and contradictory ways of answering them, it was […]
In praise of cookbook econometrics
Cookbook econometrics has few fans. I am one of them. Cookbook econometrics provides clear algorithms for solving econometrics problems, without providing detailed explanations of why these algorithms work, or why specific steps in that algorithm are required.
Nine steps to cleaner data
Real world data is messy. Dirty. Untidy. Before you can even think about using all of those pretty techniques you learned in econometrics class, you need to clean up the data. Here is my nine step approach.
Why would private-sector firms make their forecasts public?
Suppose you had invested a certain amount of resources into researching the geology of Northern Quebec and had identified a region where there was a near-certainty of finding gold. Would you tell everyone? Or would you keep your findings to yourself and quietly acquire the necessary mining rights? The Bank of Montreal released a report […]
Research Project for Economics Student(s)
I don't have a comparative advantage in doing this, so why not see if I can find someone who does? If you are interested in Canadian monetary policy, and have basic econometric skills, you should be able to do this. And the answer you come up with might be interesting.
The exogeneity-plausibility trade-off
Back in the day, economists would run a regression explaining earnings in terms of education, experience, and other variables, and then go home at night feeling they had accomplished something. But nowadays it takes a few clicks to download data from the university library, and anyone who can type "regress earnings education experience" into a […]
A preliminary estimate for Canadian 2011Q2 GDP growth
The May 2011 GDP numbers are out, so it's time for my quarterly attempt to provide an estimate for quarterly GDP growth a month before Statistics Canada releases its first estimates – the most recent exercise is here. This is done by using simple linear regression model of monthly GDP growth on monthly LFS data […]
A rant on inverse hyperbolic sine transformations
Right now I'm handling most of the wealth papers submitted to Review of Economics of the Household. Wealth data is, almost invariably, messy. The distribution of wealth has a long, thick, right hand tail – a good number people have wealth holdings in the million dollar range (most owners of mortgage-free single detached homes in […]
Headline and Core, again. And the ECB.
They are still at it! (Making totally irrelevant arguments about headline vs core.) How to kill this zombie? Here is a very simple model of inflation. Don't take it too literally. It's just for illustration. 1. H(t) = aH(t-1) + bC(t-1) – cR(t-1) + e(t) H(t) is headline inflation at time t; C(t) is core […]
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