Econometrics job

Econmetricians looking for a job might like to check out http://www.technopolis-group.com/site/working/index.htm

2nd Winter School on Bayesian Methods for Empirical Macroeconomics

The 2nd Winter School on Bayesian Methods for Empirical Macroeconomics will take place from the 14th-16th December 2011 at Queen Mary University of London. The course will be given by Professor Gary Koop of the University of Strathclyde.

The course will describe techniques of Bayesian Time Series Econometrics, starting from basic Bayesian Econometrics and dealing also with the estimation of VARs, linearised DSGE models, stochastic volatility and Time-Varying Parameter-VARs. It will provide insight into the methods used, and will be an opportunity for learning how to estimate these models using Matlab.

Similar versions of this course where recently given by Prof. Koop at the Bundesbank, the Bank of England, the Czech National Bank and the Polish Ministry of Finance and Queen Mary University of London. During this last event there were many requests for a future session from colleagues who were unable to attend due to space restrictions; as a result it was decided to organise this Winter School.

Gary Koop is a Professor of Economics at the University of Strathclyde and a world leader in Bayesian Econometrics. With this approach, he has published numerous articles in journals such as the Journal of Econometrics, the Journal of Applied Econometrics and the Journal of Business and Economic Statistics. He is an associate editor for several journals and is currently co-editing (with John Geweke and Herman van Dijk) the soon-to-be-released Handbook of Bayesian Econometrics.

The course will describe techniques on Bayesian Time Series Econometrics, starting from basic Bayesian Econometrics and dealing also with the estimation of VARs, linearised DSGE models, stochastic volatility and Time-Varying Parameter-VARs. It will provide insight into the methods used, and will be an opportunity for learning how to estimate these models using Matlab.

Similar versions of this course where recently given by Prof. Koop at the Bundesbank, the Bank of England, the Czech National Bank and the Polish Ministry of Finance and Queen Mary University of London. During this last event we received many requests for a futuresession from colleagues who were unable to attend due to space restrictions, and have therefore decided to host this Winter School.

Gary Koop is a Professor of Economics at the University of Strathclyde and a world leader in Bayesian Econometrics. With this approach, he has published numerous articles in journals such as the Journal of Econometrics, the Journal of Applied Econometrics and the Journal of Business and Economic Statistics. He is an associate editor for several journals and is currently co-editing (with John Geweke and Herman van Dijk) the soon-to-be-released Handbook of Bayesian Econometrics.

Application forms and further information about the course are available at
http://hosted.busman.qmul.ac.uk/cgr/Summer%20Schools/44157.html

Or you can e-mail gr@qmul.ac.uk

Confidence Intervals

In his Bad Science column in the Guardian Newspaper last Saturday Ben Goldacre wrote
"Those figures are called 95% confidence intervals, and these are one of the most useful inventions of modern life."

The column both explains what a confidence interval is and why it is so important. One must be very careful to check that increases (or decreases) over time in a statistic based on a sample are actually significant. In this case the statistic relates to unemployment and the changes observed are not big enough to conclude that the underlying population value has changed.

NOTE: The article is also available via the Bad Science web page. By the way I just love his phrase "...the gentle static fuzz of random variation"

Why you shouldn't judge econometric results just in terms of P-values and R squared

Both The Undercover Economist (Tim Harford) and Freakonmics (Stephen J Dubner) have drawn attention to a Working Paper by Tatu Westling of the University of Helsinki which has the eye-catching title Male Organ and Economic Growth: Does Size Matter?.

I think this paper should help us to remember that P values and the size of R squared are not the only things to focus on when evaluating the results of an applied econometrics study.

How bizarre

Oh dear, another econometrics poem or song. I was talking to a student yesterday who has just started working on his econometrics project where he has to formulate, estimate and test suitable applied econometric models of his own and then write up a report. He was complaining that it was so much harder than doing the weekly computer practicals set by me where all the answers seemed to come out right straight away and each week there was only one issue to worry about, whether it be multicollinearity, autocorrelation or heteroskedastcity. Now in this project he seemed to be facing all these problems at once and none of his results seemed to make sense. Some of the results, he said, were quite bizarre. Then on the way home, listening to the radio, I heard the old OMC hit How bizzare.

So here are some alternative econometrics lyrics (with apologies to OMC):

In all the computer labs
Everything just came out well
Coefficient signs and sizes
Looked OK from what I could tell
Now I’m working on my project
Everything’s just gone awry
The estimates are all crazy
Not in the ranges they should lie

How bizarre, how bizarre, how bizarre
Ooh baby,
It’s making me crazy
Every time I look around
It’s hard to face

I removed a few outliers
Tried different functional forms
Checked for multicollinearity
All the tests I could perform
Econometrics isn’t easy
Nothing seems to turn out right
Toss the output in the waste bin
I’m in a right old plight

How bizarre, how bizarre, how bizarre
Ooh baby,
It’s making me crazy
Every time I look around
It’s hard to face

Stay calm and think about it
Read the text book once again
Check the data file’s not scrambled
Breathe in deep and count to ten
Don’t rush to run regressions
Use the theory to help you out
And a bit of imagination
Don’t get mad and start to shout

How bizarre, how bizarre, how bizarre
Ooh baby,
It’s making me crazy
Every time I look around
It’s hard to face

Buying and selling second-hand books?

Econometrics textbooks can be quite expensive so it is often worth looking out for a second-hand (used) copy instead of buying a new one. In many universities students will do this through their local bookshop, or via messages pinned to noticeboards. For a wider reach you might try eBay. Another place that you might try is iSwapBooks which was set up last year by a couple of Durham University graduates. This might be a good place to go too if you want to sell some of your textbooks for courses you have now completed.

Talk like an econometrician

Here is the latest effort, loosely based on the Bangles hit "Walk like an Egyptian". With apologies to the Bangles and Songwriters Sternberg and Liam.

All the graphics on the screen
They show the patterns don't you know
If they spread too much (oh whey oh)
They're telling you there is hetero

Run Shazam with your data files
Get ready to do the tests
Stata/MP, oh whey oh
Turn your back on SPSS

Reading data from a pipe
Ay oh whey oh, ay oh whey oh
Talk like an econometrician

GARCH processes they have their place
For clustered points you can't ignore
They match the moves (oh whey oh)
You click the mouse to see some more

The ones at school who read their books
They like the forecast CI band
And the hazard rate (oh whey oh)
Talk like an econometrician

Iterate til the program stops
Then go down to the donut shop
You can sing and dance (oh whey oh)
See which regressors you can drop

When you get to the marketplace say
Ay oh whey oh, ay oh whey oh
Talk like an econometrician

Slide your feet and bootstrap jack
Shift to ARMA then pull it back
Modelling is hard you know (oh whey oh)
We've moved on since the UNIVAC

And the Japanese with their yen
And the Indian friends of Amartya Sen
And the Chinese too (oh whey oh)
They all talk like an econometrician

Post docs up in Berkeley say
Ay oh whey oh
Ay oh whey oh
Talk like an econometrician