Blog Archives

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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Impulse Responses From Smooth Local Projections

January 16, 2017
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Check out Barnichon-Brownlees (2017) (BB).  As proposed and developed in Jorda (2005), they estimate impulse-response functions (IRF's) directly by projecting outcomes on estimates of structural shocks at various horizons, as opposed to inver...

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Math Rendering Problem Fixed

January 13, 2017
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The problem with math rendering in the recent post, "All of Machine Learning in One Expression", is now fixed (I hope).  That is, the math should now look like math, not LaTeX code, on all devices. 

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All of Machine Learning in One Expression

January 9, 2017
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Sendhil Mullainathan gave an entertaining plenary talk on machine learning (ML) in finance, in Chicago last Saturday at the annual American Finance Association (AFA) meeting. (Many hundreds of people, standing room only -- great to see.) Not ...

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Torpedoing Econometric Randomized Controlled Trials

January 3, 2017
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A very Happy New Year to all! I get no pleasure from torpedoing anything, and "torpedoing" is likely exaggerated, but nevertheless take a look at "A Torpedo Aimed Straight at HMS Randomista". It argues that many econometric randomized controlled t...

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Holiday Haze

December 18, 2016
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Holiday Haze

Your dedicated blogger is about to vanish in the holiday haze, returning early in the new year. Meanwhile, all best wishes for the holidays.  If you're at ASSA Chicago, I hope you'll come to the Penn Economics party, Sat. Jan. 7, 6:00-8:00, Sherat...

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