The assumption that multivariate data are (multivariate) normally distributed is central to many statistical techniques. The need to test the validity of this assumption is of paramount importance, and a number of tests are available.A recently release...
Another Cross Validated forum question that led me to an interesting (?) reconsideration of certitudes! When simulating from a normal distribution, is Box-Muller algorithm better or worse than using the inverse cdf transform? My first reaction was to state that Box-Muller was exact while the inverse cdf relied on the coding of the inverse cdf, like […]
I just love Dick Startz's "byline" on the EViews 9 Beta Forum: "Non-normality and collinearity are NOT problems!"Why do I like it so much? Regarding "normality", see here, and here. As for "collinearity": see here, here, here, and &...
My therapy sessions are actually going quite well. I'm down to just one meeting with Jane a week, now. Yes, there are still far too many log-linear regressions being bandied around, but I'm learning to cope with it!Last year, in an attempt to be helpfu...
Bob Jensen emailed me about my recent post about the way in which the Jarque-Bera test can be impacted when temporally aggregated data are used. Apparently he publicized my post on the listserv for Accounting Educators in the U.S.. He also drew my...
This post is one of a sequence of posts, the earlier members of which can be found here, here, here, and here. These posts are based on Giles (2014).Some of the standard tests that we perform in econometrics can be affected by the level of aggregation ...
Let's imagine that you're teaching an econometrics class that features hypothesis testing. It may be an elementary introduction to the topic itself; or it may be a more detailed discussion of a particular testing problem. We're not talking here about a...
Why do we teach about random variables, and why is it so difficult to understand? Probability and statistics go together pretty well and basic probability is included in most introductory statistics courses. Often maths teachers prefer the probability section as … Continue reading →
The central limit theorem (CLT) is often stated in terms of the sample mean of independent and identically distributed random variables. An often unnoticed or forgotten aspect of the CLT is its applicability to the sample sum of those variables, too. Since , the sample size, is just a constant, it can be multiplied to to obtain […]
Testing the validity of the assumption, that the errors in a regression model are normally distributed, is a standard pastime in econometrics. We use this assumption when we construct standard confidence intervals for, or test hypotheses about, t...
