We invite submissions in all fields of econometric poetry involving refereeing, frustration of doctoral students, non-identification, endogeneity, model rejection, insignificant parameters and the like. Submission in neighboring fields (statistics, quantitative methods, theoretical economics) are welcome :-)

It is only fair to open this page with a limmerick on the notion of Granger Causality by Julian Alston who possibly started Econometric Poetry in the first place and even had it published.

Julian writes in an email:

"After some mild controversy among the editorial board members, Jim Chalfant and I did publish the first (and so far only) “poem” in the American Journal of Agricultural Economics (February 1989). This limmerick was originally submitted as a serious note inspired by an article by Thurman and Fisher who used Granger causality methods to answer the conundrum: Which came first, the chicken or the egg? "

Causality Limmerick

Note the wonderful footnotes!

The next poem also dates back some years. My emeritus colleage Prof. Joachim Frohn sent me his poem "Dream of a Bielefeld Econometrics Professor" when he heard of the existence of this page devoted to Econometric Poetry. Prof. Frohn says the poem is about 10 years old, another proof that the idea of Econometric Poetry is much older than I previously thought. The poem is in German, but even an non-native reader may be able to appreciate its flow (and some terms). The poem is about a student of business administration who falls in love with Econometrics and becomes alienated from his girl friend (Mary-Lou of Ubbedissen, a small town near Bielefeld). A beautiful piece.

Dream of a University of Bielefeld Econometrics Professor

The term "Econometric Poetry" was possibly coined at the following link containing a beautiful poem on the subject.

Meditation on Statistical Method

by J.V. Cunningham

Plato, despair!

We prove by norms
How numbers bear
Empiric forms,

How random wrong
Will average right
If time be long
And error slight;

But in our hearts
Hyperbole
Curves and departs
To infinity.

Error is boundless.
Nor hope nor doubt,
Though both be groundless,
Will average out.

"Meditation on Statistical Method", by J.V. Cunningham

This next poem is a more recent contribution to Econometric Poetry. It was borne out of frustration by my doctoral student Franziska Julia Peter when trying to make a model that I suggested converge on the data used for our joint paper. We have all been there. Least those who used everyone's friend Gauss together with CML, Optmum, Maxlik and all his little helpers.

"Convergence", by Franziska Julia Peter (December 2007)

Here is a classic by David Pannell. It describes the frustration (obviously a big motivation to write econometric poetry) when being rejected by an obviously arrogant and incompetent editor or refe==================ree. A beautiful piece of work. Ken Kroner once cited it before discussing (no, destroying) a paper at the 1998 High Frequency in Econometrics Conference in Zürich. A memorable moment. Especially for the one who was discussed.

I'm The Referee

by David J. Pannell

You've posted in your paper
To a journal of repute
And you're hoping that the referees
Won't send you down the chute

You'd better not build up a sense of
False security
I've just received your manuscript and
I'm the referee

This power's a revelation
I'm so glad it's come to me
I can be a total bastard with
Complete impunity

I used to be a psychopath
But never more will be
I can deal with my frustrations now that
I'm a referee

Here are two limmericks composed in an Apre-Seminar meeting at the University's seminar house in Oberjoch in June 2005.

The first describes how my diploma student Kerstin Kehrle had to sell her soul (to whom?) to deliver her thesis. She became my doctoral student and out of the thesis grew a joint paper which was recently accepted for publication in the Journal of Economic Dynamics and Control. So the sacrifice seems to pay off after all.

The second is a limmerick composed by my doctoral student Stefan Frey (who receintly received his doctoral degree summa cum laude) with the help of a couple of unknown surrounders. It is dedicated to our hero and nobel laureate Rob Engle. Long live the king!

Econometric Limmericks.pdf

Here is an unfinished poem by Franziska Julia Peter, called "Persistence". It is motivated by Franklin Allen's keynote address at the 2007 European Finance Association meeting in Ljubljana. He specially adressed the PhD students in the audience explaining that persistence rather than brilliance is the key success factor. Franziska's poem contains some fundamental truths about how scientific papers are produced. I guess the poem can claim to define the Golden Rule of paper writing: "Who needs results that match a story, if a story that matches the results can lead you quite as well to glory?".

"Persistence", by Franziska Julia Peter (pdf)

Here comes a very nice contribution to Econometric Poetry from one of my advanced students, Franziska Josefine Weiss. When I introduced the Delta-Method in the Advanced Time Series class this term, I was not aware that this would cause such disturbing yet productive dreams. Note that this is one of the few (or even the first ?) poems that uses mathematical expressions within the verses. The meter works if you spell out these terms correctly. Quite innovative isn't it? Enjoy.

"Delta Method Fear", by Franziska Josefine Weiss (pdf)

Here is a more modern variant of Econometric Poetry found on Youtube (thanks to Stephan Jank for pointing at this link): The Econometrics Rap. Best scenes after 4 min (Lazy Monday). And there's also some good advice for the desparate: "I had to get back to my roots and start with what I believe in: The asymptotic properties of estimators"

http://www.youtube.com/watch?v=T-AgH80QINs

The next poem was written by Markus Herrman, who is currently working on his Phd in philosophy. It shows that not only econometrics can inspire poetry, but rather all fields of science are linked by rhymes and verses.

'Philosopher's Elegy' by Markus Herrmann (pdf)

Here comes a lovely new contribution to Econometric Poetry by one of my students, Tanja Goodwin, who invokes one of my favorite poets and poems

The Road Not Taken

by Tanja Goodwin (with a little help from Robert Frost)

Two roads diverged in the WiWi wood
And sorry I could not travel both
And be a young student, long I stood
And looked down one as far as I could
To where it bent in the undergrowth

The path was neat, the earth smooth as cashmere
All models were elegant and assumptions shone clear.
Over the trees of equations a beautiful rainbow:
The idyllic scene of utopia named "macro".

But suddenly my senses were uptight and quivery
As a breeze struck my body in a cold, warning brush
Distinctly I grasped the odor of treachery
And of parsimony leading into reality's slush.

So I took a good lock at the other dirt track:
A jungle of matrices, omitted variable's attack
Endogeneity's quicksands and causality's trap
Followed by confidence intervals as deceptive as mist
Mortal claws of homoskedasticity call for a venturous twist,
Add to fata morganas of the perfect bootstrap.

But I felt that through the maze of econometrics
Some brave men guide you in the difficult quests
Hand you the large sample theory basics,
Nice tools like IVs and loads of good tests.

At the end I saw sunlight, bright as Prometheus's red torch
Small p-values arranged on Athena's temple porch
Beta-goddesses of significance with a welcoming smile
And false hypotheses banned to external exile

I shall be telling this with a sigh
Somewhere ages and ages hence:
Two roads diverged in a wood, and I -
I took the one less traveled by,
And that has made all the difference.

Spring 2010

Here come two recent contributions to Econometric Poetry by our soul mate Guy Judge. Guy is deputy head of the economics department at the University of Portsmouth (U.K.), and is a principal lecturer in quantitative economics and computing.

 

Carry on Regressing

by Guy Judge

Econometricians are not a total sum of squares
They can be dynamic and follow the trend.
If things are non-stationary they can make a difference.
And they can get their Dickey-Fuller augmented at the end.

They test, test and test again
Adopting Hendry’s main refrain
From general to specific, t, F and chi-squared too
They must look for significance in everything they do.

They can transform things
With a bit of Box and Cox
They can take random walks
And they sometimes work with an Ox.

They use dummies for sex
And like a bit of variance and deviation (from the mean)
They prefer to have their parameters stable
But sometimes have a break-point in between.

Although they sometimes have an identification problem
They know the conditions they must inspect
And with the proper instruments find
What they want in two stages or indirect.

Sometimes they can be found in Monte Carlo
Where they play God in their own domain
Creating many thousand replications
Power with small samples hoping to obtain.

We Are the Disturbances

by Guy Judge

We are the disturbances
You can’t see us but you know we are there
Stochastic, homoskedastic, independent and normal
We must be specified with great care.

We must be added to your expectation
To make the model complete
And although we are mostly small
We are spread about with two tails but no feet.

Here is another wonderful one by Guy Judge, the celebration of our econometric heroes we have all been waiting for (with a humble addition from the Tübingen branch of Econometric Poetry)

Econometrics Hall of Fame

by Guy Judge

For the very first verse we could do a lot worse
Than to remember Jevons and Moore
Were sunspots what made the cycles in trade?
Or was their approach too flawed?A

nd then came the turn of Mitchell and Burns
And Persons played a big part in it too
But Slutsky and Yule knew correlations could fool
With spurious findings thought to be true.

With a Nobel prize for the specially wise
Jan Tinbergen was one of the first
And if Ragnar Frisch could have just one wish
Confluence analysis would still be rehearsed.

And Koopmans and Klein would think it just fine
To be remembered as part of the story
Haavelmo and Stone should also be known
And given their share of the glory.

So remember these names for the big hall of fame
Econometrics Hall of Fame
They were all very smart and played a big part
In the Econometrics Hall of Fame, oh yeah
Econometrics Hall of Fame

Now Engle and Granger could never be strangers
To students with time series data
You can feel the elation of cointegration
We all get it sooner or later.

But the list'd be in vain if we forgot the Great Dane
Soren Johansen, both modest and brilliant a man
Who, with great intuition, proposed an ingenious solutiont
To determine dimension of a vector-spanned space

And Sir David Hendry is one of the best
Remember his mantra to test, test and test
With Durbin and Watson and Sargan before
The LSE school should not be ignored.

And the authors of textbooks deserve our respect
For keeping us all in the loop
Judge, Goldberger and Johnston I would never neglect
Now its Wooldridge, Kennedy and Koop.

Now I may have missed someone off of this list
Who should be here or more widely known
If that is your view then what you should do
Is to add in a verse of your own.

So remember these names for the big hall of fame
Econometrics Hall of Fame
They were all very smart and played a big part
In the Econometrics Hall of Fame, oh yeah
Econometrics Hall of Fame

Guy Judge, April 2010 (with thanks to Joachim Grammig for the Johansen verse)

.. and the powerful play goes on, and you may contribute a verse ;-)

In November 2010, we received following lovely contribution to Econometric Poetry from Canada. Heather Sarsons from the University of British Columbia submitted her

A Tribute to Econometrics

by Heather Sarsons

Econometrics blows my mind
A greater love, I'll never find.
Cauchy-Schwarz, Gauss-Markov Theorem,
I get shivers when I hear them.

All day and all night I dream of regressions
because they answer life's important questions.
What's the effect of gender on the wage rate?
It's lower for females, but ladies, don't hate
Because we can't say anything about causality
or omitted variable bias... we should use an IV.

Micro and macro, I guess they're alright,
But econometrics saves me from heteroskedastic strife.
Econometrics, you're number one
Without you, econ would not be so fun!

(received November 2010 published December 2010)

Tanja Goodwin, Econometric Poetess herself (see above), remarked on Heather's poem that Misters Gauss and Markov have been quite unreceptive to pleas of love recently, which points to the futility of the love of Econometrics (or Econometricans?). But, alas, as Lord Byron writes: "Who never loved, and loved in vain, can neither feel nor pity pain"

Here comes a beautiful new contribution to Econometric Poetry by Irina Dyshko, Msc International Economics and Finance. Like Tanja Goodwin above, Irina used a great poem as a blueprint. In Irina's case Rudyard Kipling's "If" which he wrote for his son in 1895 (http://www.kipling.org.uk/poems_if.htm). Here comes Irina's wonderful variation:

If and only if…

by Irina Dyshko

If you don’t let you fool by non-rejection,
Keeping in mind it does not prove a thing.
And although being aware to know only a tiny fraction
You give it all to make the data “sing”.

If you can bear to see a non-convergence
And think that non-identification does not terrify
But stimulates you to continue researching
And though all hope seems to be gone, you manage to identify.

If you succeed to light the flames of passion
Inside a referee who only felt lukewarm
And once you take his role, you don’t base your impression
On where and whom the author comes from.

If you can take advantage of ideas looming
But manage to let go if coming to a dead end
Your reputation will be always blooming,
And what is more, you’ll be an Econometrician of Tuebingen, my friend.

(Received January 2011, published February 2011)

 

An awesome recent contribution by our Master students Henri Pfleiderer (Economics) and Jacquline Gut (Economics and Finance)

MOSTLY HARMFUL OLS - An econometrics student’s journey
It all began with a big data cloud,
She threw a line in there and was so proud.
All the errors are minimized,
An approach like this can’t be criticised.
“I love Least Squares, the almighty tool”,
Is what she thought. Oh such a fool.
Motivated by what she learned
She moved on but was soon concerned:
Minimizing the residuals is not sufficient,
We need assumptions to interpret the coefficient!
It takes a German and a Russian to make it BLUE
Maybe it’s not always the best thing to do.
And then there is one more mystery:
Heteroscedasticity!
As classes moved on and time went by,
“Correlation vs. Causality” caught her eye.
Are the treatment effects identified?
It depends on how the model’s specified!
All the thinking ruined her nice illusion,
The different residuals caused great confusion.
Despite the mess that was in her head,
She remembered what her professor said,
“I love Least Squares, the useful tool”
Is what he taught. And he’s not a fool.
And suddenly it’s back, her heartfelt passion
For multivariate regression.
Using the almighty tool, the biggest of sensations:
The Law of Iterated Expectations!

By Henri Pfleiderer and Jacqueline Gut

(received November 30, 2022, published Dec 7, 2022)