Mainstream economists often hold the view that criticisms of econometrics are the conclusions of sadly misinformed and misguided people who dislike and do not understand much of it. This is a gross misapprehension. To be careful and cautious is not equivalent to dislike. The ordinary deductivist ‘textbook approach’ to econometrics views the modelling process as foremost an estimation problem since one (at least implicitly) assumes that the model provided by economic theory is...
Read More »Econometrics and the problem of unjustified assumptions
Econometrics and the problem of unjustified assumptions There seems to be a pervasive human aversion to uncertainty, and one way to reduce feelings of uncertainty is to invest faith in deduction as a sufficient guide to truth. Unfortunately, such faith is as logically unjustified as any religious creed, since a deduction produces certainty about the real world only when its assumptions about the real world are certain … Unfortunately, assumption uncertainty...
Read More »Ergodicity — an intuitive introduction
Ergodicity — an intuitive introduction Ergodicity is a difficult concept that many students of econom(etr)ics have problems with understanding. Trying to explain it, you often find yourself getting lost in mathematical-statistical subtleties difficult for most students to grasp. In the video below, Luca Dellanna has made an admirably simplified and pedagogical exposition of what it means for probability structures of stationary processes and ensembles to...
Read More »Berkson’s paradox (student stuff)
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Read More »Wie Statistiken manipuliert werden
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Read More »Using the wild bootstrap in SPSS (student stuff)
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Read More »Partiell integration med DI-metoden (student stuff)
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Read More »Kausalitet och ekonometri
I The Book of Why för Judea Pearl fram flera tunga skäl till varför den numera så populära kausala grafteoretiska ansatsen är att föredra framför mer traditionella regressionsbaserade förklaringsmodeller. Ett av skälen är att kausala grafer är icke-parametriska och därför inte behöver anta exempelvis additivitet och/eller frånvaro av interaktionseffekter — pilar och noder ersätter regressionsanalysens nödvändiga specificeringar av funktionella relationer mellan de i...
Read More »Logistic regression (student stuff)
Logistic regression (student stuff) .[embedded content] In the video below (in Swedish) yours truly shows how to perform a logit regression using Gretl.[embedded content]
Read More »The leap of generalization
The leap of generalization Statistician Andrew Gelman has an interesting blogpost up on what inference in science really means: I like Don Rubin’s take on this, which is that if you want to go from association to causation, state very clearly what the assumptions are for this step to work. The clear statement of these assumptions can be helpful in moving forward … Another way to say this is that all inference is about generalizing from sample to population,...
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