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...
At the end of my recent post on Reverse Regression, I posed three simple questions - homework for the students among you, if you will. Here they are again, with brief "solutions":First recall the context. We fitted the following simple regression ...
Suppose that we fit the following simple regression model, using OLS: yi = βxi + εi . ...
This is the third in a sequence of posts about some basic concepts relating to large-sample asymptotics and the linear regression model. The first two posts (here and here) dealt with items 1 and 2 in the following list, and you'll find it helpful to r...
This is the second in a sequence of three posts that deal with large-sample asymptotics - especially in the context of the linear regression model. The first post dealt with item 1 in this list:The consistency of the OLS estimator in a situat...
Learning the basics about the (large sample) asymptotic behaviour of estimators and test statistics is always a challenge. Teaching this material can be challenging too!So, in this post and in two more to follow, I'm going to talk about a small Monte C...
This post is essentially an extension of another recent post on this blog. I'll assume that you've read that post, where I discussed the problem of solving linear equations of the form Ax = y, when the matrix A is singular.Let's look at how this proble...
You can only invert a matrix if that matrix is non-singular. Right? Actually, that's wrong.You see, there are various sorts of inverse matrices, and most of them apply to the situation where the original matrix is singular. Before elaborating on t...
Yesterday, Stephen Stigler presented the (ASA) President's Invited Address to an overflow, and appreciative, audience at the 2014 Joint Statistical Meetings in Boston. The title of his talk was, "The Seven Pillars of Statistical Wisdom".I'd been l...
While I'm at the lake, fishing, this is your big chance to get on with some reading.There won't be a quiz, but I know that you'll thank me for this later on:Aberdie, A., S. Athey, G. W. Imbens, and J. Wooldridge, 2014. Finite population standard errors...
