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Category Archives: Statistics and Probability
Ergodicity Versus History: A Critical Commentary on the Work of Ole Peters
Lars Syll linked to a fantastic interview with the mathematician Ole Peters the other day that dealt with the topic of ergodicity and how it relates to economic and financial markets. First, a comment on the source. The interview was … Continue reading
Disturbing Distributions in Economic Statistics
Lars Syll has recently published an excellent post on the dilemma of probability theory when applied to the social sciences in general and economics in particular. Syll argues that in order to apply probability theory — which is deeply embedded … Continue reading
Posted in Economic Theory, Statistics and Probability
10 Comments
A Quick Note on Michael Emmett Brady’s Paper on Keynes and Probability
“Ask and it will be given to you; seek and you will find; knock and the door will be opened to you.” — Matthew 7:7 Michael Emmett Brady’s paper Keynes, Mathematics and Probability: A Reappraisal is a bizarre piece of … Continue reading
Posted in Economic Theory, Statistics and Probability
1 Comment
An Excellent Guide to Using Gretl
For those that don’t know Gretl is a freeware econometrics package. Despite not costing anything I’ve found it to be a very useful econometrics program that can do pretty much anything — or, at least, anything that I’ve ever wanted … Continue reading
Posted in Statistics and Probability
4 Comments
Historians, Avoid the Mistakes We Economists Made!
A friend of mine recently drew my attention to something he thought would be of interest to this blog. Apparently something of a controversy has arisen regarding a recent study in the Proceedings of the National Academy of the Sciences … Continue reading
Posted in Philosophy, Statistics and Probability
4 Comments
Faith-Based Arguments in Empirical, Causal and Probabilistic Reasoning
David Hume is today the philosopher most often associated with what might be termed ‘radical empiricism’. The problem, of course, as I have pointed out on this blog before, is that he was not the originator of what should properly … Continue reading
Posted in Philosophy, Statistics and Probability
2 Comments
The Holy Grail: Distractions in Econometrics and Economic Modelling
Lars Syll ran an interesting piece today on the “confounder” problem in econometrics. This is basically the problem of how do we tell that if there is a relationship between, say, A and B that it is not, in actual … Continue reading
Posted in Philosophy, Statistics and Probability
3 Comments
Econometraps: The Repetition of a Major Confusion in Six Major Econometrics Textbooks
In the recent issue of the Real World Economics Review there was a rather interesting, if somewhat dense, article by Judea Pearl and Bryant Chen entitled Regression and Causation: A Critical Examination of Six Econometrics Textbooks. Lars Syll, who was … Continue reading
Posted in Statistics and Probability
13 Comments
Keynes’ Philosophy: Induction, Analogy and Probability
In a recent post I dealt with Keynes’ opinions on the application of statistics and theories based on probability (e.g. econometrics). There I noted that Keynes thought that much applied work failed because it improperly deployed the use of Analogy … Continue reading
Posted in Philosophy, Statistics and Probability
2 Comments
Keynes on the Use and Abuse of Statistics and Probability
Much of Keynes’ A Treatise on Probability appears to have been written with the popularisation of the study of statistics that was emerging at the turn of the 20th century in mind. This makes it a rather remarkable document because … Continue reading
Posted in Statistics and Probability
2 Comments
Fixing the Economists 