Blog Archives

Forecasting and "As-If" Discounting

March 21, 2017
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Check out the fascinating and creative new paper, "Myopia and Discounting", by Xavier Gabaix and David Laibson. From their abstract (slightly edited):We assume that perfectly patient agents estimate the value of future events by generating noisy, unbia...

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ML and Metrics VIII: The New Predictive Econometric Modeling

March 19, 2017
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[Click on "Machine Learning" at right for earlier "Machine Learning and Econometrics" posts.] We econometricians need -- and have always had -- cross section and time series ("micro econometrics" and "macro/financial econometrics"), causal estimation a...

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ML and Metrics VII: Cross-Section Non-Linearities

March 13, 2017
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[Click on "Machine Learning" at right for earlier "Machine Learning and Econometrics" posts.]The predictive modeling perspective needs not only to be respected and embraced in econometrics (as it routinely is, notwithstanding the Angrist-Pisc...

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ML and Metrics VI: A Key Difference Between ML and TS Econometrics

March 6, 2017
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[Click on "Machine Learning" at right for earlier "Machine Learning and Econometrics" posts.] Continuing: So then, statistical machine learning (ML) and time series econometrics (TS) have lots in common. But there's also an interesting difference...

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Machine Learning and Econometrics V: Similarities to Time Series

February 26, 2017
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[Notice that I changed the title from "Machine Learning vs. Econometrics" to "Machine Learning and  Econometrics", as the two are complements, not competitors, as this post will begin to emphasize. But I've kept the numbering, so this is number fi...

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Econometrics: Angrist and Pischke are at it Again

February 20, 2017
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Check out the new Angrist-Pischke (AP), "Undergraduate Econometrics Instruction: Through Our Classes, Darkly". I guess I have no choice but to weigh in. The issues are important, and my earlier AP post, "Mostly Harmless Econometrics?", is my all-time m...

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Predictive Loss vs. Predictive Regret

February 13, 2017
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It's interesting  to contrast two prediction paradigms.A.  The universal statistical/econometric approach to prediction:  Take a stand on a loss function and find/use a predictor that minimizes conditionally expected loss.  Note tha...

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Data for the People

February 5, 2017
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Data for the People, by Andreas Weigend, is coming out this week, or maybe it came out last week. Andreas is a leading technologist (at least that's the most accurate one-word description I can think of), and I have valued his insights ever since we we...

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Randomization Tests for Regime Switching

January 30, 2017
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I have always been fascinated by distribution-free non-parametric tests, or randomization tests, or Monte Carlo tests -- whatever you want to call them.  (For example, I used some in ancient work like Diebold-Rudebusch 1992.)  They seem almos...

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Bayes Stifling Creativity?

January 23, 2017
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Some twenty years ago, a leading Bayesian econometrician startled me during an office visit at Penn. We were discussing Bayesian vs. frequentist approaches to a few things, when all of a sudden he declared that "There must be something about Bayesian a...

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