Another Gripe About the Linear Probability Model
So you're still thinking of using a Linear Probability Model (LPM) - also known in the business as good old OLS - to estimate a binary dependent variable model? Well, I'm stunned! Yes, yes, I've heard...
View ArticleYet Another Reason for Avoiding the Linear Probability Model
Oh dear, here we go again. Hard on the heels of this post, as well an earlier one here, I'm moved to share even more misgivings about the Linear Probability Model (LPM). That's just a fancy name for a...
View ArticlePanel Unit Root Tests
I was interested to read a paper by Hashem Pesaran, titled "On the Interpretation of Panel Unit Root Tests". The paper is "forthcoming" in Economics Letters, and was recently made available on that...
View ArticleMonte Carlo Experiments With gretl
I keep saying that I must make more use of the gretl econometrics package. It's great software, and it's free! So, shame on me for putting my effort where my mouth is. Fortunately, Riccardo (Jack)...
View ArticleIntegrated & Cointegrated Data
Last week I had a post titled More About Spurious Regressions. Implicitly, in that post, I assumed that readers would be familiar with terms such as "integrated data", "cointegration", "differencing",...
View ArticleFixed-Effects Vector Decomposition
Warning! Avoid the so-called "Fixed-Effects Vector Decomposition" (FEVD) estimator, introduced by Plümper and Troeger in a 2007 issue of Political Analysis. A recent "Symposium on Fixed-Effects Vector...
View ArticleHighly Cited Statistical Papers for Econometricians
There are "classic" research papers in all disciplines. As econometricians we frequently find ourselves making reference to publications by authors who are statisticians. Have you ever wondered how the...
View ArticleF-tests Based on the HC or HAC Covariance Matrix Estimators
We all do it - we compute "robust" standard errors when estimating a regression model in any context where we suspect that the model's errors may be heteroskedastic and/or autocorrelated. More...
View ArticleAttention, STATA Users
I've mentioned the Econometrics by Simulation blog before. Although it's still relatively new, it's had some great posts, and Francis Smart is doing a terrific job as is reflected in the way that the...
View ArticleSURE Models
In recent weeks I've had several people email to ask if I can recommend a book that goes into all of the details about the "Seemingly Unrelated Regression Equations" (SURE, or just SUR) model. Any...
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