Tuesday, April 18, 2017

In Praise of T.A.s

With another teaching term completed, I'm reminded of how much we faculty members rely on our Teaching Assistants (T.A.s) This is especially true in the case of large undergraduate classes, where we'd be run off our feet without the invaluable input from these hard-working, often under-appreciated members of the teaching team.

Over the years, I've been especially fortunate to have worked with some very dedicated and conscientious T.A.s. Sometimes, being allocated to one of my courses wasn't their first choice. After all, introductory economic statistics isn't for everyone! None the less, they pitched in, worked hard, and the students in the courses were the beneficiaries. And so was I.

So, thank you all! And if you're a faculty member who relied on your T.A.s as much as I have, don't forget to let them know how important their work is, and how much it's appreciated.

© 2017, David E. Giles

Saturday, April 15, 2017

Jan Kiviet's Book on Monte Carlo Simulation

Monte Carlo simulation is an essential tool that econometricians use a great deal. For an introduction to some aspects of Monte Carlo simulation, see my earlier posts herehere, and here. There are some follow-up posts on this coming up soon.

In the meantime, I was delighted to learn recently about an outstanding book on this topic by Jan Kiviet. The book is titled, Monte Carlo Simulation for Econometricians, and I strongly recommend it.

Of course, Jan's work will be familiar to many readers of this blog, and this book more than lives up to our expectations, given the author's excellent reputation.

Jan uses EViews to illustrate the various issues that are discussed in his book, making the material very accessible to students and researchers alike. 

This is a really nice contribution!
© 2017, David E. Giles

Friday, April 7, 2017

And the Winner is........

The Econometric Game for 2017 has concluded. For the second successive year, the winning team comes from Harvard University.

The "cases" that were used in the 2017 EG can be found here.

Congratulations to the winners, and to all of the other participating teams!

© 2017, David E. Giles

Monday, April 3, 2017

ARDL Models - From the Team at EViews

Today the team at EViews published an important post on their blog. It's titled, "Autoregressive Distributed Lag (ARDL) Estimation. Part 1 - Theory".

If you have an interest in ARDL modelling - and I know that there are lots of you out there - then this is a must read post.

And as you can tell from its title, there's also a follow-up post on the way. So, you should watch out for it.

If  you plan on doing any ARDL modelling, you really can't go past EViews, so take a look.

© 2017, David E. Giles

Sunday, April 2, 2017

Read Some Econometrics this Month!

There are no April Fool's tricks in the following list of suggestions. 😐
© 2017, David E. Giles

Sunday, March 26, 2017

In Praise of Two Giants of Econometrics

Two giants in our field, now deceased, are celebrated in recent Working Papers by Peter Phillips and Timo Teräsvirta.

Peter's paper is titled, "Tribute to T. W. Anderson", is in an issue of Econometric Theory that also includes ted's last published research paper.

Timo's paper, which will be appearing in The Journal of Pure and Applied Mathematics, "Sir Clive Granger's contributions to nonlinear time series and econometrics".

Both papers are essential reading, whether you have a particular interest in the history of econometrics; of if you are a younger researcher who wants to understand the building blocks of our discipline.

© 2017, David E. Giles

Saturday, March 25, 2017

A "Journal of Insignificant (Economic) Results"?

The Replication Network carried a guest blog post by Andrea Menclova this week. The post was titled, "Is it Time for a Journal of Insignificant Results?"

I was previously unaware of the existence of such journals in Psychology, Biomedicine, and Ecology and Evolutionary Biology.

Andrea calls for the introduction of such a journal in Economics, and she makes a really good point.

Take a look at what she has to say!

© 2017, David E. Giles

Sunday, March 19, 2017

The Econometric Game, 2017

This year's edition of The Econometric Game is scheduled to take place next month in Amsterdam.

Specifically, between 5 and 7 April the University of Amsterdam will once again host visiting teams of econometrics students from around the world to compete to become "World Champions of Econometrics". It's a great initiative that's now in its 19th. year.

This year, the competing teams come from:

Aarhus University
Corvinus University of Budapest
ENSAE
Erasmus University Rotterdam
Harvard University
KU Leuven
London School of Economics
Lund University
Maastricht University
McGill University
New Economic School
Oxford University
Stellenbosch University
Tilburg University
Toulouse School of Economics
Universidad Carlos III de Madrid
Universidad del Rosario
University College London
University of Amsterdam
University of Antwerp
University of Copenhagen
University of Economics, Prague
University of Illinois at Urbana-Champaign
University of Lausanne
University of Rome Tor Vergata
University of São Paulo
University of Toronto
University of Warwick
Vrije Universiteit Amsterdam
Warsaw School of Economics

The team from Harvard took first place in 2016. Let's see if they do it again this year!

© 2017, David E. Giles

Wednesday, March 8, 2017

March Reading List

Here are some suggestions for your reading this month:

  • Coble, D. & P. Picheira, 2017. Nowcasting building permits with Google trends. MPRA Paper No. 76514.
  • Mullahy, J., 2017. Marginal effects in multivariate probit models. Empirical Economics, 52, 447-461.
  • Pagan, A., 2017. Some consequences of using "measurement error shocks" when estimating time series models. CAMA Working Paper 12.2017, Cantre for Macroeconomic Analysis, Australian National University.
  • Reed, W. R. & A. Smith, 2017.A time series paradox: Unit root tests perform poorly when data are cointegrated. Economics Letters, 151, 71-74.
  • Zhang, L., 2017. Partial unit root and surplus-lag Granger causality testing: A Monte Carlo simulation study. Communications in Statistics - Theory and Methods, online.
© 2017, David E. Giles

Saturday, February 4, 2017

Econometrics - Young Researcher Award


The journal, Econometrics, hasn't been around all that long, but it has published some great articles by some very prominent econometricians. And it's "open access" to readers, which is always good news.

Today, I received an email with the following important information:

"The journal Econometrics (http://www.mdpi.com/journal/econometrics) is inviting applications and nominations for the 2017 Young Researcher Award. The aim of the award is to encourage and motivate young
researchers in the field of econometrics.
Applications and nominations will be assessed by an evaluation committee chaired by the Editors and composed of Editorial Board Members.
Eligibility Criteria:
a) The upper age limit for the applicant is 40.
b) No more than 10 years since conferral of a PhD degree (by 30 June 2017).
The award will consist of: (1) a certificate; (2) an honorarium of 500 CHF; (3) a voucher for publishing two papers free of charge and without fixed deadlines in Econometrics if the Article Processing Charge will be applied; and (4) a £150 book voucher for PM book series sponsored by Palgrave Macmillan.
The application and nomination pack should include:
1. A Curriculum Vitae, including a complete list of publications and conference activities.
2. A description of the applicant’s major research contributions over the last 5 years, including clear discussions of 3 most representative publications published over the last 5 years. (For each publication, please provide significance of the publication and the applicant’s own contribution to the publication).
3. A letter of nomination from an established econometrician. The letter should highlight the candidate’s achievements and contribution to the field of econometrics.
Please send your application/nomination to the Econometrics Editorial Office at econometrics@mdpi.com by 30 June 2017. The winner will be announced on the Econometrics website in September 2017."

© 2017, David E. Giles