Blog Archives

Machine Learning and Macro

October 15, 2017
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Earlier I posted here on machine learning and central banking.  Here's something related.  Last week Penn's Warren Center hosted a timely and stimulating conference, "Machine Learning for Macroeconomic Prediction and Policy".  ...

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Long Memory in Realized Volatility

October 7, 2017
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A noteworthy aspect of long memory in realized asset return volatility is that in many leading cases it's basically undeniable on the basis of a variety of evidence -- the question isn't existence but rather strength.  Hence it's useful to have a ...

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Long Memory in Realized Volatility

October 7, 2017
By

A noteworthy aspect of long memory in realized asset return volatility is that in many leading cases it's basically undeniable on the basis of a variety of evidence -- the question isn't existence but rather strength.  Hence it's useful to have a ...

Read more »

Economics Working Papers now in arXiv

October 1, 2017
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Economics working papers are now a part of arXiv.  This is great news, as arXiv is the premier working paper hosting platform in mathematics and the mathematical / statistical sciences.  The Economics arXiv will start with...

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Economics Working Papers now in arXiv

October 1, 2017
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Economics working papers are now a part of arXiv.  This is great news, as arXiv is the premier working paper hosting platform in mathematics and the mathematical / statistical sciences.  The Economics arXiv will start with...

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Egalitarian LASSO for Forecast Combination

September 24, 2017
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Here's a new one.  It was something of a long and winding road.  We introduce simple "egalitarian LASSO" procedures that set some combining weights to zero and shrink those remaining toward equality.  The feasible versions don't work ver...

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National Bank of Poland

September 22, 2017
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National Bank of Poland

It strikes me that I'm seeing progressively more research in dynamic predictive modeling from the National Bank of Poland.  A few recent examples appear below.  Related information is here.  Nice job.AuthorTitleKarol SzafranekBagged...

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Machine Learning Meets Central Banking

September 17, 2017
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Machine Learning Meets Central Banking

Here's a nice new working paper from the Bank of England.  There's nothing new methodologically, but there are three fascinating and detailed applications / case studies (banking supervision under imperfect information, UK CPI inflation forecastin...

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2017 NBER-NSF Time Series Meeting

September 11, 2017
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Just back from 2017 NBER-NSF Time Series at Northwestern.  Quite a feast -- my head is spinning.  Program dumped below; formatted version here.  Many thanks to the program committee for producing this event, and more generally for keepin...

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More on New p-Value Thresholds

September 4, 2017
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I recently blogged on a new proposal heavily backed by elite statisticians to "redefine statistical significance", forthcoming in the elite journal Nature Human Behavior. (A link to the proposal appears at the end of this post.) I have a bi...

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