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The Pride of Econometrician (2 unread)

• February 13, 2010
• 1:23

  Degrees of Freedom

   » ‎ The Pride of Econometrician
  Not clear about the concept of degrees of freedom? That's not embarassed at all, since many professors/book writers are not clearly defining them either. Read the following article by I.J. Good on American Statistician to clear the cloud.
  
  The American Statistician, Vol. 27, No. 5 (Dec., 1973), pp. 227-228
• February 10, 2010
• 19:10

  Prior information

   » ‎ The Pride of Econometrician
  Making use of prior information in economic modelling serves as a major role in improving the predictability of economic models and its role in economic analysis. Nevertheless, prior information, which is usually not from the observed sample, is subjected to mispecification. Therefore, a valid test of this nonsample information using available sample deserves particular attention.
  
  Hypothesis testing on prior in the form of equality constraints has a long history, dating back to 1920s by the work of Theil, Wald, Pearson, Newyman, etc. The test on inequality constraints starts in the statistics literature by Walat (1987 JASA, 1988 BKA, 1989 JoE), who transform the testing problem to be the one-sided hypothesis testing framework. Results of Kudo, Perlman, Nuesch, etc. were applied to derive the asymptotic/exact distributions of the LR, W, KT statistics. These statistics are shown to be (asymptotically) equivalent and have a distribution charactorized by a weighted sum of independent chi-squared distributions.
  
  Testing inequality constraints has its own difficulty since the constrained estimator does not have an explicit expression as the original data matrix. The derivation of the test statistic needs finding a least favorable value of the parameter of interest. It turns out that the constraint imposed will be equality and those unbinding ones are not imposed.
  
  Testing inequality constraints still has a long way to go, given its rather complexity. Yet, a lot of time economic priors come in the form of inequality. For example, the MPC is in between 0 and 1. The production function is increasing and concave, i.e. the first derivative is positive and the second derivative is negative. Equity premium should increase in some economic ratios, such as earning price ratiro, book to market ratio, etc. Given these examples, it is urgent to develop some convincing testing procedures that can accomodate all kinds of inequality prior information validation.
• January 17, 2010
• 15:39

  Mankiw on Bernanke

   » ‎ The Pride of Econometrician
  See Economic view by Mankiw at NYT.
• 15:34

  Gelman on Efron: Bayesian statistics

   » ‎ The Pride of Econometrician
  Andrew Gelman post a blog on the article of Efron and Kass to appear on Journal of Statistical Science. See the interesting discussion here.
• January 13, 2010
• 11:53

  Monetary Policy and Asset Bubbles in 2010

   » ‎ The Pride of Econometrician
  Guest Contribution: Monetary Policy and Asset Bubbles in 2010 at EconBrowser
  By Joseph E. Gagnon
• 11:49

  Video: Challenging Bernanke on Housing Bust

   » ‎ The Pride of Econometrician
  Click VIDEO at Real Time Economics Economic insight and analysis from The Wall Street Journal.
• 1:36

  Lars Hansen: Macroeconomic Risk

   » ‎ The Pride of Econometrician
  Beliefs, Doubts and Learning: Valuing Macroeconomic Risk
  Author(s): Lars Peter Hansen 1
  doi: 10.1257/aer.97.2.1
  
  View PDF article (572 K)
• 1:33

  An Interview with Lars Hansen

   » ‎ The Pride of Econometrician
  “An Interview with Lars Hansen”.
  Eric Ghysels and Alistair Hall, eds. Journal of Business Economic Statistics
• January 10, 2010
• 17:30

  World Economy 2010: Better or Worse?

   » ‎ The Pride of Econometrician
  See 2010 Predictions From Shiller, Blinder, Rajan and More for some opinions shared by Economists at AEA anual's meeting in Atlanta.
• 17:28

  Lousy Investment in Housing Market?

   » ‎ The Pride of Econometrician
  Some opinions on investment on a house are reflected by Fed Economist: Housing Is a Lousy Investment
• 16:29

  Personal Credit Crisis of An Economist

   » ‎ The Pride of Econometrician
  See My Personal Credit Crisis by EDMUND L. ANDREWS
• 16:05

  Complexity of Macroeconomics

   » ‎ The Pride of Econometrician
  See Accountability? at Mankiw's blog.
• October 29, 2009
• 3:38

  A blog on Latex and related issues

   » ‎ The Pride of Econometrician
  Read here
• 3:25

  A Beamer Quickstart

   » ‎ The Pride of Econometrician
  A Beamer Quickstart
  by
  Rouben Rostamian
  December 2004
• October 23, 2009
• 11:48

  Residue Theorem and Its Application

   » ‎ The Pride of Econometrician
  See Wikipedia, [en.wikipedia.org]
  The residue theorem and its applications by Oliver Knill:
  http://www.math.harvard.edu/~knill/teaching/residues_1996/residue.pdf
• October 20, 2009
• 12:25

  STATISTICS: REFLECTIONS ON THE PAST AND VISIONS FOR THE FUTURE

   » ‎ The Pride of Econometrician
  STATISTICS: REFLECTIONS ON THE PAST AND VISIONS FOR THE FUTURE
  Author: C. Radhakrishna Rao a
  Affiliation:
  a Pennsylvania State University, PA, U.S.A.
  DOI: 10.1081/STA-100107683
  Publication Frequency: 20 issues per year
  Published in: Communications in Statistics - Theory and Methods, Volume 30, Issue 11 November 2001 , pages 2235 - 2257
  Formats available: HTML (English) : PDF (English)
  
• October 17, 2009
• 14:29

  Multivariate t-distribution

   » ‎ The Pride of Econometrician
  See Wikipedia
• October 14, 2009
• 12:11

  Central Limit Theorem

   » ‎ The Pride of Econometrician
  Papers on Central Limit Theorem on Project Euclid
• 12:09

  Law of Large Numbers

   » ‎ The Pride of Econometrician
  Papers on Law of Large Numbers on ProjectEuclid.
• October 13, 2009
• 0:42

  Bootstrap: Collection in Statistical Sicence (2003)

   » ‎ The Pride of Econometrician
  Statistical Science
  A Review Journal of The Institute of Mathematical Statistics.
  Volume 18, Issue 2
  Publication Date: May 2003
• October 12, 2009
• 12:56

  On readings R. A. Fisher

   » ‎ The Pride of Econometrician
  On Reading R.A. Fisher,
  By Leonard J. Savage
  Annals of Statistics, 1976, Vol 4, No 3, 441-500
• October 10, 2009
• 13:06

  Boosting

   » ‎ The Pride of Econometrician
  ''Boosting is a general method of producing a very accurate prediction rule by combining rough and moderately inaccurate "rules of thumb." Much recent work has been on the "AdaBoost" boosting algorithm and its extensions. ''
  Click the above link to see references.
• October 07, 2009
• 20:30

  Bayesian Econometrics Methods

   » ‎ The Pride of Econometrician
  Bayesian Econometric Methods
  By Koop, Poirier and Tobias, 2007
• 15:26

  Markov Chain Monte Carlo (1)

   » ‎ The Pride of Econometrician
  Understanding the Metropolis-Hastings Algorithm
  Author(s): Siddhartha Chib and Edward Greenberg
  Source: The American Statistician, Vol. 49, No. 4 (Nov., 1995), pp. 327-335
  Published by: American Statistical Association
  Stable URL: [www.jstor.org]
  
  Explaining the Gibbs Sampler
  George Casella; Edward I. George
  The American Statistician, Vol. 46, No. 3. (Aug., 1992), pp. 167-174.Stable URL: [links.jstor.org]
• September 30, 2009
• 1:04

  Mathworks: Matlab tutorial

   » ‎ The Pride of Econometrician
  MATLAB Tutorial
  Choose a MATLAB tutorial or other resource that matches your learning style.
  
  MATLAB Tutorial Files
  CEE Course Support