Blog Archives

Structural Change and Big Data

June 7, 2017
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Recall the tall-wide-dense (T, K, m) Big Data taxonomy.  One might naively assert that tall data (big time dimension, T) are not really a part of the Big Data phenomenon, insofar as T has not started growing more quickly in recent years.  But...

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SoFiE 2017 New York

May 27, 2017
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If you haven't yet been to the Society for Financial Econometrics (SoFiE) annual meeting, now's the time.  They're pulling out all the stops for the 10th anniversary at NYU Stern, June 21-23, 2017.  There will be a good mix of financial ...

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Big Data in Econometric Modeling

May 22, 2017
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Big Data in Econometric Modeling

Here's a speakers' photo from last week's Penn conference, Big Data in Dynamic Predictive Econometric Modeling.  Click through to find the program, copies of papers and slides, a participant list, and a few more photos.  A good and productive...

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Statistics in the Computer Age

May 15, 2017
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Efron and Tibshirani's Computer Age Statistical Inference (CASI) is about as good as it gets. Just read it. (Yes, I generally gush about most work in the Efron, Hastie, Tibshirani, Brieman, Friedman, et al. tradition.  But there's good r...

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Replicating Anomalies

May 8, 2017
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I blogged a few weeks ago on "the file drawer problem".  In that vein, check out the interesting new paper below. I like their term "p-hacking". Random thought 1:  Note that reverse p-hacking can also occur, when an author wants low p-v...

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Network Tools for Understanding High-Dimensional Dynamic Models

May 4, 2017
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The slides from my "overview" IMF talk two weeks ago proved popular, so here are some different overview slides on a different topic ("Estimating and Understanding High-Dimensional Dynamic Stochastic Econometric Models"), from my talk at last week's NY...

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One Millionth Birthday…

April 30, 2017
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One Millionth Birthday…

 ...in event time.  It's true, yesterday No Hesitations passed 1,000,000 page views.  Totally humbling.  I am grateful for your interest and support.

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Predictive Modeling and Causal Estimation

April 29, 2017
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Predictive Modeling and Causal Estimation

Here are the slides, "Econometrics, Predictive Modeling, and Causal Estimation", from my talk at the recent conference at the IMF in honor of Kajal Lahiri's 70th (group photo above). They build on an earlier No Hesitations post.

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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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