Tag Archives: Statistics & Econometrics

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...

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...

Berkson’s paradox (student stuff) .[embedded content]

Wie Statistiken manipuliert werden .[embedded content]

Using the wild bootstrap in SPSS (student stuff) .[embedded content]

Partiell integration med DI-metoden (student stuff) .[embedded content]

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...

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]

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,...

Keynes on the methodology of econometrics There is first of all the central question of methodology — the logic of applying the method of multiple correlation to unanalysed economic material, which we know to be non-homogeneous through time. If we are dealing with the action of numerically measurable, independent forces, adequately analysed so that we were dealing with independent atomic factors and between them completely comprehensive, acting with...