Offering a unifying theoretical perspective not readily available in any other text, this innovative guide to econometrics uses simple geometrical arguments to develop students' intuitive understanding of basic and advanced topics, emphasizing throughout the practical applications of modern theory and nonlinear techniques of estimation. One theme of the text is the use of artificial regressions for estimation, reference, and specification testing of nonlinear models, including diagnostic tests for parameter constancy, serial correlation, heteroscedasticity, and other types of mis-specification. Explaining how estimates can be obtained and tests can be carried out, the authors go beyond a mere algebraic description to one that can be easily translated into the commands of a standard econometric software package. Covering an unprecedented range of problems with a consistent emphasis on those that arise in applied work, this accessible and coherent guide to the most vital topics in econometrics today is indispensable for advanced students of econometrics and students of statistics interested in regression and related topics. It will also suit practising econometricians who want to update their skills. Flexibly designed to accommodate a variety of course levels, it offers both complete coverage of the basic material and separate chapters on areas of specialized interest.

Estimation and Inference in Econometrics

Criticism and the Growth of Knowledge. Edited by I. Lakatos and A. Musgrave. Pp. viii, 282. £3·50, paperback £1. 1970. (Cambridge University Press.)

Beginning with Emlen (1966) and MacArthur and Pianka (1966) and extending through the last ten years, several authors have sought to predict the foraging behavior of animals by means of mathematical models. These models are very similar,in that they all assume that the fitness of a foraging animal is a function of the efficiency of foraging measured in terms of some "currency" (Schoener, 1971) -usually energy- and that natural selection has resulted in animals that forage so as to maximize this fitness. As a result of these similarities, the models have become known as "optimal foraging models"; and the theory that embodies them, "optimal foraging theory." The situations to which optimal foraging theory has been applied, with the exception of a few recent studies, can be divided into the following four categories: (1) choice by an animal of which food types to eat (i.e., optimal diet); (2) choice of which patch type to feed in (i.e., optimal patch choice); (3) optimal allocation of time to different patches; and (4) optimal patterns and speed of movements. In this review we discuss each of these categories separately, dealing with both the theoretical developments and the data that permit tests of the predictions. The review is selective in the sense that we emphasize studies that either develop testable predictions or that attempt to test predictions in a precise quantitative manner. We also discuss what we see to be some of the future developments in the area of optimal foraging theory and how this theory can be related to other areas of biology. Our general conclusion is that the simple models so far formulated are supported are supported reasonably well by available data and that we are optimistic about the value both now and in the future of optimal foraging theory. We argue, however, that these simple models will requre much modification, espicially to deal with situations that either cannot easily be put into one or another of the above four categories or entail currencies more complicated that just energy.

Citation classic - optimal foraging - a selective review of theory and tests

Knowledge Management

Econometric policy evaluation: A critique

This paper examines macromonetary data for behavioral stability over Alan Greenspan's tenure as chairman of the Federal Reserve System. Five self-affine fractal analysis techniques for estimating the Hurst exponent, Mandelbrot-Levy characteristic exponent, and fractal dimension are employed to explore the data's fractal properties. Techniques employed are rescaled-range analysis, power-spectral density analysis, roughness-length analysis, the variogram or structure function method, and wavelet analysis. Formal hypothesis tests provide evidence of a change in monetary policy behavior between the 1989-1996 and 1997-2003 periods. This change is manifested both in the behavior and distribution of the month-to-month changes in the monetary aggregates, ratios, and multipliers, and in the behavior and distribution of macroeconomic data. Strong evidence is presented that U.S. monetary policy became actively interventionist after December 1996, and that the effectiveness of the Federal Reserve System has been lowered compared to the earlier period.

Monetary Policy Regimes in Macroeconomic Data: An Application of Fractal Analysis

We develop and apply a set of hypothesis tests with which to study changes in the angular distribution of points in delay space. Crack and Ledoit (1996) plotted daily stock returns against themselves with one day's lag. The graph shows these points collected along several rays from the origin. They correctly attribute this ``compass rose'' pattern to discreteness in the data. Our testing procedures allow one to test for changes in Crack and Ledoit's compass rose pattern. Our case study gives an example of such a change in distribution being caused by a change in regime. We plot the number of points along a given ray of the compass rose against the angle of that ray. This creates a ``theta histogram'' which describes the angular distribution of the points in delay space. We compare this distribution to a standard theta histogram created by a simple bootstrap procedure. We apply our technique to an important episode of Russian monetary history. Generally, the finance ministry actively intervened to influence the ruble exchange rate. The one exception was during Nicolai Bunge's tenure as finance minister. Bunge's successor, Ivan Vyshnegradsky, was an unusually vigorous interventionist. Hypothesis tests support the view that Vyshnegradsky's activism caused a disproportionate number of points of the compass rose to accumulate on the main diagonals in delay space.

The Angular Distribution of Asset Returns in Delay Space

This volume contains papers given at the third biennial Wirth Institute for Austrian and Central European Studies Conference on Austrian Economics. The conference was held at a beautiful waterfront facility of Simon Fraser University on October 15 and 16, 2010. In spite of all warnings to expect fog and rain in the Pacific Northwest, the weather was sunny and mild, as were the spirits of the conferees. Our topic title, “Austrian Views on Experts and Epistemic Monopolies,” was perhaps a bit misleading because some of the views represented were not “Austrian.” Indeed, the editorial mission of Advances in Austrian Economics has been to promote dialogue between the “Austrian” tradition of economics and other traditions both within in economics and beyond. Participants discussed the problem of experts from several Austrian and non-Austrian perspectives. While representing different points of view, the participants did tend toward the view that experts may pose a problem in one way or another, especially when they enjoy an epistemic monopoly.

Chapter 1 Speaking of Experts: An Introduction to the Volume

Introduction to the Schutz Interview

In "monopoly epistemics", one privileged actor is asked to identify the truth. In "democratic epistemics", several independent parties are asked. In an experiment contrasting them, democratic epistemics reduced the systemic error rate by two-thirds, supporting the claim that replacing monopoly epistemics with democratic epistemics would reduce error rates in forensic science and other areas. It also suggests first, the potential of "epistemic systems design", which employs the techniques of economic systems design to address issues of veracity, rather than efficiency, and second, the value of "experimental epistemology", which employs experimental techniques in the study of science. Research of the sort described here puts evolutionary epistemology into practice by seeking to find the proper design principles for error-correcting social institutions. Length 52 pages

Roger Koppl

Papers

Monetary Policy Regimes in Macroeconomic Data: An Application of Fractal Analysis

The Angular Distribution of Asset Returns in Delay Space

Chapter 1 Speaking of Experts: An Introduction to the Volume

Introduction to the Schutz Interview

The Science Game: An Experiment on Reducing errors in Forensic Science and Other Areas