Blog Archives

More on the Problem with Bayesian Model Averaging

December 10, 2017
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I blogged earlier on a problem with Bayesian model averaging (BMA) and gave some links to new work that chips away at it. The interesting thing about that new work is that it stays very close to traditional BMA while acknowledging that all models are m...

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The Problem With Bayesian Model Averaging…

December 3, 2017
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The problem is that one of the models considered is traditionally assumed true (explicitly or implicitly) since the prior model probabilities sum to one. Hence all posterior weight gets placed on a single model asymptotically -- just what you don't wa...

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Modeling With Mixed-Frequency Data

November 26, 2017
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Here's a bit more related to the FRB St. Louis conference.The fully-correct approach to mixed-frequency time-series modeling is: (1) write out the state-space system at the highest available data frequency or higher (e.g., even if your highest frequenc...

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More on Path Forecasts

November 20, 2017
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I blogged on path forecasts yesterday.  A reader just forwarded this interesting paper, of which I was unaware.  Lots of ideas and up-to-date references.

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Forecasting Path Averages

November 16, 2017
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Consider two standard types of \(h\)-step forecast:(a).  \(h\)-step forecast, \(y_{t+h,t}\), of \(y_{t+h}\)(b).  \(h\)-step path forecast, \(p_{t+h,t}\), of \(p_{t+h} =  \{ y_{t+1}, y_{t+2}, ..., y_{t+h} \}\).Clive Granger used to e...

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FRB St. Louis Forecasting Conference

November 15, 2017
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Got back a couple days ago.  Great lineup.  Wonderful to see such sharp focus.  Many thanks to FRBSL and the organizers (Domenico Giannone, George Kapetanios, and Mike McCracken).  I'll hopefully blog on one or two of the papers sho...

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Artificial Intelligence, Machine Learning, and Productivity

November 8, 2017
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As Bob Solow famously quipped, "You can see the computer age everywhere but in the productivity statistics".  That was in 1987.  The new "Artificial Intelligence and the Modern Productivity Paradox: A Clash of Expectations and Statistics," NB...

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Regression on Term Structures

November 6, 2017
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An important insight regarding use of dynamic Nelson Siegel (DNS) and related term-structure modeling strategies (see here and here) is that they facilitate regression on an entire term structure.  Regressing something on a curve might initia...

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What’s up With "Fintech"?

October 29, 2017
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It's been a while, so it's time for a rant (in this case gentle, with no names named).Discussion of financial technology ("fintech", as it's called) seems to be everywhere these days, from business school fintech course offerings to high-end academic f...

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Pockets of Predictability

October 22, 2017
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The possibility of localized "pockets of predictability", particularly in financial markets, is obviously intriguing.  Recently I'm noticing a similarly-intriguing pocket of research on pockets of predictability.  The following paper, fo...

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