The Importance of Reproducible Research

Transcription

1 The Importance of Reproducible Research Christian Kleiber Universität Basel Berne, Workshop Improving Data Access and Research Transparency (DART) in Switzerland

2 Outline 1 Introduction 2 Reproducibility (in economics) 3 Case studies in forensic econometrics Confidence intervals for breakpoints in time series Data problems Complete separation in a binary response model Complete separation in a regression model for count data 4 Some suggestions 5 References Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

3 Introduction Computation-based science publication is currently a doubtful enterprise because there is not enough support for identifying and rooting out sources of error in computational work. Donoho (Biostatistics 2010) We argue that, with some exceptions, anything less than the release of source programs is intolerable for results that depend on computation. The vagaries of hardware, software and natural language will always ensure that exact reproducibility remains uncertain, but withholding code increases the chances that efforts to reproduce results will fail. Ince, Hatton, Graham-Cumming (Nature 2012) Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

4 Introduction Q1: What is replication, reproduction, etc.? Old definition: (replication in the wide sense) Getting similar results using different data, different methods,... New definition: (replication in the narrow sense) Getting the exact same (!) tables, figures, etc. as the original publication. Emerging terminology: computational reproducibility Q2: Why work reproducibly? more impact, citations, feedback,... better computing environments more effective advising An emerging community standard in various fields. Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

5 Introduction Some recent papers from various fields: Donoho DL, Maleki A, Shahram M, Rahman I, Stodden V (2009). Reproducible research in computational harmonic analysis. Computing in Science & Engineering, 11(1), Donoho D (2010). An invitation to reproducible computational research. Biostatistics, 11(3), Ince DC, Hatton L, Graham-Cumming J (2012). The case for open computer programs. Nature, 482, Peng RD, Dominici F, Zeger SL (2006). Reproducible epidemiologic research. American J Epidemiology, 163, Vandewalle P, Kovacevic J, Vetterli M (2009). Reproducible research in signal processing. IEEE Signal Processing Magazine, 26(3), And a recent book: Stodden V, Leisch F, Peng RD (eds) (2014). Implementing Reproducible Research. Chapman & Hall. Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

6 Introduction Traditional issues: Why are some publications not reproducible? Data are not available. Data available, but code is not. Data and code are available, but there are data problems, numerical problems, software problems,... Recent threats to reproducibility: Data explosion, big data. Rise of computational science (simulation-based inference, etc.). Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

7 Reproducibility in economics 1982 J Money, Credit and Banking (JMCB) Data Storage and Evaluation Project, funded by NSF Dewald, Thursby and Anderson (AER 1986) find: only 2 out of 54 works replicable Our findings suggest that inadvertent errors in published empirical articles are a commonplace rather than a rare occurrence.... we recommend that journals require the submission of programs and data at the time empirical papers are submitted Replication policy at American Economic Review: Data and code New JMCB study (McCullough, McGeary and Harrison, JMCB 2006): now 14 out of 62 replicable McCullough and Vinod (AER 2003) attempt replication of an entire issue of AER Since 2004: mandatory (?) data and code archives at American Economic Review, Econometrica, Review of Economic Studies, J Political Economy, Review of Economics and Statistics Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

8 Reproducibility in economics Neglected issue: Simulations (Kleiber and Zeileis 2013). JAE JoE Freq of manuscripts in total with simulation Freq of data availability in archive 31 0 proprietary 6 0 not available 0 12 none used 3 3 Freq of simulation types Monte Carlo Resampling 15 3 Simulation-based estimation 13 3 Nonstandard distributions 2 0 Prop of all manuscripts with simulation indicating software used providing code with code available upon request Prop of simulation manuscripts with replication files with random seed Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

9 Case studies in forensic econometrics Examples: (mainly taken from my own work) Evaluation of a nonstandard distribution in time series econometrics A classical panel data set with (too) many versions Non-existing estimates in a binary response model Non-existing estimates in a count data regression model Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

10 Confidence intervals for breaks in time series Example: Breaks in the US real interest rate, Bai and Perron (J Applied Econometrics 2003): Regression on a constant, standard errors for break points via HAC methods with automated bandwidth selection. Point estimates of break dates are fully reproducible... but only 2 out of 3 confidence intervals. Computational task: confidence intervals require quantiles from a non-standard distribution. Issues: coding error software fault Details: Zeileis and Kleiber (J Applied Econometrics 2005). Data and computational tools available in R package strucchange. Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

11 Confidence intervals for breaks in time series RealInt Time Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

12 Confidence intervals for breaks in time series Asymptotics of break points: Limiting distribution is distribution of where argmax V (s) s V (s) = { W1 ( s) s /2 for s 0, ξ(φ2 /φ 1 )W 2 (s) ξs/2 for s > 0. A two-sided Brownian motion with different scales and linear drifts. Right branch of limiting distribution: G(x) = { ξ x exp φ 2π ( d + 2 ξ 2φ x ) Φ } 8φ x ξ2 ( ξ 2 φ + c exp(ax)φ( b x) ) x (x > 0) Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

13 Confidence intervals for breaks in time series P(argmaxV x) T^1 T^2 T^ x Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

14 Confidence intervals for breaks in time series P(argmaxV x) GAUSS R x Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

15 Data problems: Grunfeld data Grunfeld Y (1958). The Determinants of Corporate Investment. Unpublished Ph.D. Dissertation, University of Chicago. Originally, an empirical study of corporate investment, with a panel of large US firms over a period of 20 years ( ): [1] "General Motors" "US Steel" "General Electric" [4] "Chrysler" "Atlantic Refining" "IBM" [7] "Union Oil" "Westinghouse" "Goodyear" [10] "Diamond Match" Later used for illustrations in econometric methodology, notably panel and SUR models. Used in numerous textbooks, including Maddala (1977): Econometrics (10 firms) Greene (2003): Econometric Analysis, 5e (5 firms) Greene (2008): Econometric Analysis, 6e (10 firms) Baltagi (2008): Econometric Analysis of Panel Data, 4e (10 firms) In fact, there are 11 firms... and also more data (years for some firms). Complete and correct data available in R package AER, accompanying Kleiber and Zeileis (2008): Applied Econometrics with R. Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

16 Data problems: Grunfeld data Theil Fomby, Hill, Johnson Grunfeld select 10 Boot, de Wit (all but AS) selects 2 (GE, WH) select 3 (WH, GE, GM) 2 errors Maddala Vinod, Ullah 2 errors + selects 5 (GM, US, GE, CH, WH) 1 error? Griffiths, Hill, Judge Hill, Griffiths, Lim Greene/1st Greene/5th Baltagi/Econ Baltagi/Panel Greene/6th Kleiber, Zeileis Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

17 Complete separation Example: Data from Maddala GS (2001). Introduction to Econometrics, 3rd ed, J. Wiley. Data on 44 US states for Variables are rate Murder rate per 100,000 (FBI estimate, 1950). convictions No. of convictions divided by no. of murders in executions Average number of executions during divided by convictions in time Median time served (in months) of convicted murderers released in income Median family income in 1949 (in 1,000 USD). lfp Labor force participation rate in 1950 (in percent). noncauc Proportion of population that is non-caucasian in southern Region (factor). Stokes H (2004). On the advantage of using two or more econometric software systems to solve the same problem. J Economic and Social Measurement, 29, Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

18 Complete separation Problem: Coefficient on southern somewhat unusual... Logit model estimated using defaults: Estimate Std. Error z value Change of convergence controls: Reason: no yes FALSE 9 0 TRUE Estimate Std. Error z value quasi-complete separation Hence MLE does not exist... Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

19 Count data regression Example: Recreation demand Cross-sectional data (n = 659) on the number of recreational boating trips to Lake Somerville, TX, in 1980, based on a survey administered to 2,000 registered leisure boat owners in 23 counties in eastern Texas. Variable Description trips Number of recreational boating trips. quality Facility s subjective quality ranking on scale 1 5. ski Was the individual engaged in water-skiing? income Annual household income (in 1,000 USD). userfee Did the owner pay an annual user fee at Lake Somerville? costc Expenditure when visiting Lake Conroe (in USD). costs Expenditure when visiting Lake Somerville (in USD). costh Expenditure when visiting Lake Houston (in USD). Data are used in various publications, among them Sellar, Stoll and Chavas, Land Economics 1985 Ozuna and Gomez, Empirical Economics 1995 Gurmu and Trivedi, J Business and Economic Statistics 1996 Cameron and Trivedi, Regression Models for Count Data, CUP 2013 Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

20 Count data regression trips trips Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

21 Count data regression Source: Ozuna and Gomez, Specification and Testing of Count Data Recreation Demand Functions, Empirical Economics Methodology: Poisson and negative binomial regression. Footnote says: It should be noted that one of the anonymous referees re-estimated the models used in this study using the same data set and he obtained different parameter estimates. The referee and the authors of this article agreed that the problem was in the software used to estimate the models. The referee used LIMDEP 6.0 for the Poisson and MICROFIT 3.0 for the NLS models whereas the authors used GAUSS 3.0. This is an important observation since the parameter estimates affect consumer surplus. Researchers should thus be cautious of the software they use to estimate the models. Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

22 Summary Summary of problems: Breakpoint estimation: closed source, coding errors Grunfeld: ancient data Complete separation in binary response: statistical and software issues Complete separation in count data: statistical and computational issues Implicit issues: In econometrics (and other social sciences?), software development is often considered as a subsidiary activity. By implication, the established econometrics journals currently do not publish papers on software development. Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

23 Some suggestions: Authors How to improve on the current situation? Authors: release data and code If journal does not have an archive: use e.g. RePEc code archives. publish case studies that document problems Journals: mandatory archives for data and code (ideally, an editorial function) require data and code already at submission publish case studies, replications, etc. Instructors: use archives in teaching all of this also applies to computational economics and computational social science Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

24 Some suggestions: Technology Technology for econom(etr)ics: Version control system (svn, Dropbox,...) Data in.txt/.csv (no proprietary formats please) L A TEX Statistical software... Most of these tools were unavailable 50 (or 40, 30, 20, 10...) years ago, but now the technology is available and we should use it. Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

25 Some suggestions: Technology Computational tools for reproducible research: Desirable: more than data and code fully replicable analyses. One solution: Example: literate programming R function Sweave() combines R and L A TEX See Leisch (2002) for more information. Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

26 Some suggestions: Technology Sweave() example: (source code from Zeileis and Kleiber, 2005)... Confidence intervals for the breakpoints can be computed from the fitted \texttt{bp.ri} object for any number of breaks (smaller than the maximal number of breaks admissible) using the \texttt{confint} method from \texttt{strucchange}. A function for estimating the covariance matrix, here \texttt{kernhac}, may again be supplied. <<eval=true, echo=false, results=hide>>= library("strucchange") data("realint") bp.ri <- breakpoints(realint ~ 1, h = 15) cis <- confint(bp.ri, breaks = 3, vcov = This returns the breakpoints and corresponding confidence intervals (at the default 95\% level) coded by... Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

27 Some suggestions: Computational tools Computational tools section from Kleiber and Zeileis (2013): Our results were obtained using R with the packages strucchange 1.4-6, and lattice and were identical on various platforms including PCs running Debian GNU/Linux (with a amd64 kernel) and Mac OS X, version Normal random variables were generated from uniform random numbers obtained by the Mersenne Twister currently R s default generator by means of the inversion method. The random seed and further technical details are available in the code supplementing this paper. Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

28 References Econom(etr)ics: Anderson RD, Greene WH, McCullough BD, Vinod HD (2008). The role of data/code archives in the future of economic research. J Economic Methodology, 15(1), Kleiber C, Zeileis A (2010). The Grunfeld data at 50. German Economic Review, 11(4), Kleiber C, Zeileis A (2013). Reproducible econometric simulations. J Econometric Methods, 2(1), Lovell MC, Selover DD (1994). Econometric software accidents. Economic J, 104, McCullough BD, Vinod HD (1999). The numerical reliability of econometric software. J Economic Literature, 37, McCullough BD, Vinod HD (2003). Verifying the solution from a nonlinear solver: A case study. American Economic Review, 93, Newbold P, Agiakloglou C, Miller J (1994). Adventures with ARIMA software. International J Forecasting, 10, Zeileis A, Kleiber C (2005). Validating multiple structural change models A case study. J Applied Econometrics, 20, Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29

29 References Other fields: Buckheit JB, Donoho DL (1995). WaveLab and reproducible research. Dept. of Statistics, Stanford University, Tech. Rep Donoho DL, Maleki A, Shahram M, Rahman I, Stodden V (2009). Reproducible research in computational harmonic analysis. Computing in Science & Engineering, 11(1), Donoho D (2010). An invitation to reproducible computational research. Biostatistics, 11(3), Ince DC, Hatton L, Graham-Cumming J (2012). The case for open computer programs. Nature, 482, Leisch F (2002). Sweave: Dynamic generation of statistical reports using literate data analysis. In Härdle W, Rönz B (eds.), Compstat 2002 Proc. in Computational Statistics, pp Physica Verlag, Heidelberg. Peng RD, Dominici F, Zeger SL (2006). Reproducible epidemiologic research. American J Epidemiology, 163, Vandewalle P, Kovacevic J, Vetterli M (2009). Reproducible research in signal processing. IEEE Signal Processing Magazine, 26(3), Christian Kleiber (Universität Basel) The Importance of Reproducible Research DART Workshop, Berne, / 29