Recent Posts

If you study enough econometrics or statistics, you’ll eventually hear someone mention “Stein’s Paradox” or the “James-Stein Estimator”. You’ve probably learned in your introductory econometrics course that ordinary least squares (OLS) is the best linear unbiased estimator (BLUE) in a linear regression model under the Gauss-Markov assumptions.

By the end of a typical introductory econometrics course students have become accustomed to the idea of “controlling” for covariates by adding them to the end of a linear regression model.

Here’s a slightly unusual exercise on the topic of Bayes’ Theorem for those of you teaching or studying introductory probability. Imagine that you’re developing a diagnostic test for a disease.

Reading and understanding econometrics papers can be hard work. Most published articles, even review articles, are written by specialists for specialists. Unless you’re already familiar with the literature, it can be a real uphill battle to make it through a recent paper.

As a teaser for our upcoming (2024-07-23) virtual reading group session on Bayesian macro / time series econometrics, this post replicates a classic paper by Sims & Uhlig (1991) contrasting Bayesian and Frequentist inferences for a unit root.