Friday, December 10, 2010

Stats Nerd Post

. Friday, December 10, 2010

Fortunately, I learned time series from the estimable Jim Stimson, so I would never make such a mistake:

Apparently, the frequency with which the words "simulation" and "Monte Carlo" appear in physics journals has a statistically significant correlation with average incomes in Argentina, the number of doctoral degrees granted in the USA and the number of collaborations at CERN. What they don't publish is that, via the spurious regression phenomenon, their dataset will also show a statistically significant correlation with anything else that has gone up over the period in a sufficiently smooth fashion.

(NB: physicists should only feel a little bit ashamed of this; most econometrics papers before the early 70s also suffered from the problem of regressing two nonstationary series on each other and then patting yourself on the back for getting a high r^2).

These are physicists, not rubes. I will say that every political science conference I go to I see time series results presented without any discussion of trends in the series, or without any corrections to (probably) correlated errors. It's... disheartening. It's gotten to the point where I distrust almost every time series I see unless the researcher is very specific and up-front about his modeling decisions.


Stats Nerd Post




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