Blog Archives

Impulse Responses From Smooth Local Projections

January 16, 2017
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Check out Barnichon-Brownlees (2017) (BB).  As proposed and developed in Jorda (2005), they estimate impulse-response functions (IRF's) directly by projecting outcomes on estimates of structural shocks at various horizons, as opposed to inver...

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Math Rendering Problem Fixed

January 13, 2017
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The problem with math rendering in the recent post, "All of Machine Learning in One Expression", is now fixed (I hope).  That is, the math should now look like math, not LaTeX code, on all devices. 

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All of Machine Learning in One Expression

January 9, 2017
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Sendhil Mullainathan gave an entertaining plenary talk on machine learning (ML) in finance, in Chicago last Saturday at the annual American Finance Association (AFA) meeting. (Many hundreds of people, standing room only -- great to see.) Not ...

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Torpedoing Econometric Randomized Controlled Trials

January 3, 2017
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A very Happy New Year to all! I get no pleasure from torpedoing anything, and "torpedoing" is likely exaggerated, but nevertheless take a look at "A Torpedo Aimed Straight at HMS Randomista". It argues that many econometric randomized controlled t...

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Holiday Haze

December 18, 2016
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Holiday Haze

Your dedicated blogger is about to vanish in the holiday haze, returning early in the new year. Meanwhile, all best wishes for the holidays.  If you're at ASSA Chicago, I hope you'll come to the Penn Economics party, Sat. Jan. 7, 6:00-8:00, Sherat...

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Varieties of RCT Extensibility

December 11, 2016
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Even internally-valid RCT's have issues. They reveal the treatment effect only for the precise experiment performed and situation studied. Consider, for example, a study of the effects of fertilizer on crop yield, done for region X during a heat wave....

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Exogenous vs. Endogenous Volatility Dynamics

December 5, 2016
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I always thought putting exogenous volatility dynamics in macro-model shocks was a cop-out.  Somehow it seemed more satisfying for volatility to be determined endogenously, in equilibrium.  Then I came around:  We allow for shocks with e...

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Gary Gorton, Harald Uhlig, and the Great Crisis

November 28, 2016
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Gary Gorton has made clear that the financial crisis of 2007 was in essence a traditional banking panic, not unlike those of the ninetheeth century.  A key corollary is that the root cause of the Panic of 2007 can't be something relatively new, li...

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Updated "Dense Data for Long Memory"

November 22, 2016
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See here.

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Dense Data for Long Memory

November 21, 2016
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From the last post, you might think that efficient learning about low-frequency phenomena requires tall data. Certainly efficient estimation of trend, as stressed in the last post, does require tall data. But it turns out that efficient estimation of...

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