Publications by Dave Giles
In Praise of Quandl!
Data – the econometrician’s life-blood! Can’t function without it.So, when a new source of data becomes available – especially one that’s sophisticated, reliable, and FREE – it’s time to sit up and take notice. Quandl is a recent Canadian start-up that delivers economic and financial time-series data, and then some.It’s an interes...
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You Can Quote Me on That
The other day I came across the Empirical Quotes page on Mark Byran’s blog. Some of his quotes related specifically to econometrics, and I thought I’d share a few others. That certainly doesn’t mean that I agree with them all!“It is the preparation skill of the econometric chef that catches the professional eye, not the quality of the ra...
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All About Spherically Distributed Regression Errors
This post is based on a handout that I use for one of my courses, and it relates to the usual linear regression model, y = Xβ + εIn our list of standard assumptions about the error term in this linear multiple regression model, we include one that incorporates both homoskedasticity and the absen...
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R is His Friend
Marcus Beck has a nice (& relatively new) blog called R is My Friend. You can guess that his posts relate to the use of R.I particularly liked his piece on the use of the XML package in R to mine data from the internet; and his post on using the integrate function in R, even when the anti derivative has no closed-form solution.Grad. student read...
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Snowfall
Yesterday I had a short post reminding EViews users that their package (versions 7 or 8) will access all of the cores on a multi-core machine. I’ve been playing around with parallel processing in R on my desktop machine at work over the last few days. It’s something I’ve been meaning to do for a while, and it proved to be well worth the tim...
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Allocation Models With Bounded Dependent Variables
My post yesterday, on Allocation Models, drew a comment to the effect that in such models the dependent variables take values that must to be non-negative fractions. Well, as I responded, that’s true sometimes (e.g., in the case of market shares); but not in other cases- such as the Engel curve example that I mentioned in the post.The anonymou...
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The Stats Chat Blog
Recently, I’ve begun following the Stats Chat blog. Run by the Department of Statistics at the University of Auckland – the largest statistics department in New Zealand or Australia (and the birthplace of R) – this blog apparently started in April of this year.It’s aim is:“to foster discussion of data around us, particularly in the medi...
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Forecasting From Log-Linear Regressions
I was in (yet another) session with my analyst, “Jane”, the other day, and quite unintentionally the conversation turned, once again, to the subject of “semi-log” regression equations.After my previous rant to discussion with her about this matter, I’ve tried to stay on the straight and narrow. It’s better for my blood pressure, apar...
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Can Your Results be Replicated?
It’s a “given” that your empirical results should be able to be replicated by others. That’s why more and more journals are encouraging or requiring that authors of such papers “deposit” their data and code with the journal as a condition of acceptance for publication.That’s all well and good. However, replicating someone’s result...
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swirl: Learning Statistics & R
Most of us would acknowledge that getting up to speed with R involves a pretty steep learning curve – but it’s worth every drop of sweat we shed in the process!If you’re learning basic statistics/econometrics, and learning R at the same time, then the challenge is two-fold. So, anything that will make this feasible (easy?) for students and...
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