Blog Archives

Bayesian Random Projection (More on Terabytes of Economic Data)

August 20, 2017
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Some additional thoughts related to Serena Ng's World Congress piece (earlier post here, with a link to her paper):The key newish dimensionality-reduction strategies that Serena emphasizes are random projection and leverage score sampling.  I...

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Analyzing Terabytes of Economic Data

August 14, 2017
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Serena Ng's World Congress piece is out as an NBER w.p.  It's been floating around for a long time, but just in case you missed it, it's a fun and insightful read:Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Datab...

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On Theory, Measurement, and Lewbel’s Assertion

August 12, 2017
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Arthur Lewbel, insightful as always, asserts in a recent post that:The people who argue that machine learning, natural experiments, and randomized controlled trials are replacing structural economic modeling and theory are wronger than wrong....

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Commodity Connectedness

August 6, 2017
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Commodity Connectedness

Forthcoming paper here. We study connectedness among the major commodity markets, summarizing and visualizing the results using tools from network science.Among other things, the results reveal clear clustering of commodities into groups clos...

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Regression Discontinuity and Event Studies in Time Series

July 30, 2017
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Check out the new paper, "Regression Discontinuity in Time [RDiT]: Considerations for Empirical Applications", by Catherine Hausman and David S. Rapson.  (NBER Working Paper No. 23602, July 2017.  Ungated copy here.) It's interesting in ...

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Time-Series Regression Discontinuity

July 25, 2017
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I'll have something to say in next week's post.  Meanwhile check out the interesting new paper, "Regression Discontinuity in Time: Considerations for Empirical Applications", by Catherine Hausman and David S. Rapson, NBER Working Paper No. 23602, ...

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On the Origin of "Frequentist" Statistics

July 23, 2017
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Efron and Hastie note that the "frequentist" term "seems to have been suggested by Neyman as a statistical analogue of Richard von Mises' frequentist theory of probability, the connection being made explicit in his 1977 paper, 'Frequentist Probabi...

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July 12 NBER Discussion Slides

July 13, 2017
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Here are my slides from yesterday.

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On the Identification of Network Connectedness

July 9, 2017
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I want to clarify an aspect of the Diebold-Yilmaz framework (e.g., here or here).  It is simply a method for summarizing and visualizing dynamic network connectedness, based on a variance decomposition matrix.  The variance decomposition is n...

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Bayes, Jeffreys, MCMC, Statistics, and Econometrics

July 3, 2017
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In Ch. 3 of their brilliant book, Efron and Tibshirani (ET) assert that:Jeffreys’ brand of Bayesianism [i.e., "uninformative" Jeffreys priors] had a dubious reputation among Bayesians in the period 1950-1990, with preference going to subjective analy...

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