How bizarre

Oh dear, another econometrics poem or song. I was talking to a student yesterday who has just started working on his econometrics project where he has to formulate, estimate and test suitable applied econometric models of his own and then write up a report. He was complaining that it was so much harder than doing the weekly computer practicals set by me where all the answers seemed to come out right straight away and each week there was only one issue to worry about, whether it be multicollinearity, autocorrelation or heteroskedastcity. Now in this project he seemed to be facing all these problems at once and none of his results seemed to make sense. Some of the results, he said, were quite bizarre. Then on the way home, listening to the radio, I heard the old OMC hit How bizzare.

So here are some alternative econometrics lyrics (with apologies to OMC):

In all the computer labs
Everything just came out well
Coefficient signs and sizes
Looked OK from what I could tell
Now I’m working on my project
Everything’s just gone awry
The estimates are all crazy
Not in the ranges they should lie

How bizarre, how bizarre, how bizarre
Ooh baby,
It’s making me crazy
Every time I look around
It’s hard to face

I removed a few outliers
Tried different functional forms
Checked for multicollinearity
All the tests I could perform
Econometrics isn’t easy
Nothing seems to turn out right
Toss the output in the waste bin
I’m in a right old plight

How bizarre, how bizarre, how bizarre
Ooh baby,
It’s making me crazy
Every time I look around
It’s hard to face

Stay calm and think about it
Read the text book once again
Check the data file’s not scrambled
Breathe in deep and count to ten
Don’t rush to run regressions
Use the theory to help you out
And a bit of imagination
Don’t get mad and start to shout

How bizarre, how bizarre, how bizarre
Ooh baby,
It’s making me crazy
Every time I look around
It’s hard to face