Monday, May 6, 2013

My Recent Reading

Here are some of the papers that I have been reading in the past few days:
  • Majid M. Al-Sadoon, 2013. Geometric and long run aspects of Granger causality. Discussion Paper, Barcelona Graduate School of Economics.
  • David Ardia & Lennart Hoogerheide, 2013. GARCH models for daily stock returns: Impact of estimation frequency on value-at-risk and expected shortfall forecasts. Tinbergen Institute Discussion Paper.
  • Otilia Boldia & Alastair R. Hall, 2013. Estimation and inference in unstable nonlinear least squares models. Journal of Econometrics, 172, 158-167. 
  •  Kazuhito Higa, 2013. Estimating upward bias in the Japanese CPI using Engel's law. Working Paper, Hitotsubashi University.
  • Anna Mikusheva, 2013. Survey on statistical inferences in weakly identified instrumental variables models. Applied Econometrics, 29, 117-131. 

© 2013, David E. Giles

Econometrics Lectures on YouTube

I'm always keeping my eyes open for new or different resources that I can integrate into my Economic Statistics and Econometrics courses. For example, as I've mentioned before in previous posts (here and here), I've been really pleased with what I've been able to achieve with Wolfram's cdf files.

In my undergrad. Statistical Inference course I also refer the students to some of the excellent mini-lectures by Keith Bower. I find his presentations to be clear and (very importantly) accurate.

If you check out YouTube you'll find a number of video presentations relating to the teaching of econometrics. To be honest, many of them don't particularly impress me. Maybe I'm just hard to please!

There are some exceptions to this, though, including David Hendry's 20111 lecture on Teaching Undergraduate Economics at Oxford, and the great series of videos of Mark Thoma in action in the classroom

© 2013, David E Giles


Looking through the papers that are "in press" at Economics Letters today, I came across a paper by Anthony Landry, titled "Borders and Big Macs". (The link is to the working paper version.) Here's the abstract:
"I provide new estimates of border frictions for 14 countries using local, national, and international Big Mac prices. I find that borders generally introduce only small price wedges, far smaller than those observed across New York City neighboring locations."
This led me to wonder just how many academic papers have been written using the well-known "Big Mac Index" (BMI) that's published annually by The Economist magazine. I don't know the exact answer, but there are 39 listed on RePEc's IDEAS site.

That's a lot of burgers!

© 2013, David E. Giles

A Visual Proof That OLS is BLU

Back in the day (as they say), we had monochrome monitors on our P.C.'s. Do you remember the ghastly green or weird amber colours? Then, one bright day everything became multi-coloured! This is not just me reminiscing - this is leading up to an innovative proof of the Gauss-Markhov Theorem. Honestly!

In a post yesterday, I mentioned Ken White's sense of humour - that's Ken White, "The SHAZAM Man", as my kids used to affectionately call him. On one of his many visits in the late 1980's, Ken offered to give a talk to a group of students about using the SHAZAM econometrics package. (We had no money for software at the time, but thanks to Ken's outstanding generosity we always had the latest version of his package for everyone to use.)