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The Econometrics Poem You've Been Waiting For

Guy Judge is deputy head of the economics department at the University of Portsmouth (U.K.), and is a principal lecturer in quantitative economics and computing. He is also a football (soccer) fanatic, a 50-year fan of Watford Football Club and contributor to that team’s now-defunct fanzine, BsaD (Blind, Stupid and Desperate).
Like our friend Dan Hamermesh, who put a summary of his introductory microeconomics class in rap form for the sake of his students, Judge regaled his econometrics students with an original poem in his year-end lecture. It is delightful, and delightfully English.

Carry on Regressing
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.

Here’s another short poem that Judge wrote for his students. I am particularly fond of the “stochastic, homoskedastic” line.

We Are the Disturbances
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.