Blog Archives

Automated Time-Series Forecasting at Google

April 20, 2017
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Check out this piece on automated time-series forecasting at Google.  It's a fun and quick read. Several aspects are noteworthy.  On the upside:-- Forecast combination features prominently -- they combine forecasts from an ensemble of models....

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On Pseudo Out-of-Sample Model Selection

April 14, 2017
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Great to see that Hirano and Wright (HW), "Forecasting with Model Uncertainty", finally came out in Econometrica. (Ungated working paper version here.) HW make two key contributions. First, they characterize rigorously the source of the inefficiency in...

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BIg Data, Machine Learning, and the Macroeconomy

April 10, 2017
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Coming soon at Bank of Norway:CALL FOR PAPERS Big data, machine learning and the macroeconomy Norges Bank, Oslo, 2-3 October 2017 Data, in both structured and unstructured form, are becoming easily available on an ever increasing scale. ...

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13th Annual Real-Time Conference

April 10, 2017
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Great news: The Bank of Spain will sponsor the 13th annual conference on real-time data analysis, methods, and applications in macroeconomics and finance, next October 19th and 20th , 2017, in its central headquarters in Madrid, c/ Alcalá, 48. The re...

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The Latest on the "File Drawer Problem"

April 3, 2017
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The term "file drawer problem" was coined long ago. It refers to the bias in published empirical studies toward "large", or "significant", or "good" estimates. That is, "small"/"insignificant"/"bad" estimates remain unpublished, in file drawers (or, ...

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Text as Data

March 28, 2017
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"Text as data" is a vibrant and by now well-established field. (Just Google "text as data".) For an informative overview geared toward econometricians, see the new paper, "Text as Data" by Matthew Gentzkow, Bryan T. Kelly, and Matt Taddy (GKT). (Ungate...

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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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