Thoughts on "Factor-Augmented VAR’s"

February 17, 2014
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Let's use the standard term, principal-components regression (PCR). It's irrelevant whether it's a "regular" regression or an autoregression, univariate or multivariate. Econometricians have always liked PCR. (I am no exception.) In this "data-rich" ag...

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On deck this week

February 17, 2014
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Mon: The Washington Post reprints university press releases without editing them Tues: Florida backlash Wed: The replication and criticism movement is not about suppressing speculative research; rather, it’s all about enabling science’s fabled self-correcting nature Thurs: Do differences between biology and statistics explain some of our diverging attitudes regarding criticism and replication of scientific claims? […]The post On deck this week appeared first on Statistical Modeling, Causal Inference, and Social…

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SoFiE Facebook Group and More

February 17, 2014
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SoFiE Facebook Group and More

The next Society for Financial Econometrics (SoFiE) Facebbok Group member will be our 1000th!  If you're not a member of the Facebook group, simply go to https://www.facebook.com/groups/sofienyu/ to join. Related, may I please ask you to...

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The missing value trick for scoring a regression model

February 17, 2014
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The missing value trick for scoring a regression model

A fundamental operation in statistical data analysis is to fit a statistical regression model on one set of data and then evaluate the model on another set of data. The act of evaluating the model on the second set of data is called scoring. One of first "tricks" that I [...]

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R. A. Fisher: how an outsider revolutionized statistics

February 17, 2014
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R. A. Fisher: how an outsider revolutionized statistics

Today is R.A. Fisher’s birthday and I’m reblogging the post by Aris Spanos which, as it happens, received the highest number of views of 2013. by Aris Spanos Few statisticians will dispute that R. A. Fisher (February 17, 1890 – July 29, 1962) is the father of modern statistics; see Savage (1976), Rao (1992). Inspired by William […]

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Probabilistic Momentum

February 17, 2014
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Probabilistic Momentum

David Varadi has recently discussed an interesting strategy in the Are Simple Momentum Strategies Too Dumb? Introducing Probabilistic Momentum post. David also provided the Probabilistic Momentum Spreadsheet if you are interested in doing computations in Excel. Today I want to show how you can test such strategy using the Systematic Investor Toolbox: The Simple Momentum […]

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Sir Francis Galton

February 16, 2014
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Sir Francis Galton

Sir Francis Galton, who gave us the concepts of both correlation, and regression, was born on this day, 16 February, in 1822. Galton was one of the great "polymaths" - he had a finger in every pie he could find - as is described in his Wikipedia entry....

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There’s no need for you to read this one

February 16, 2014
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I had an email exchange with Patrick Steigler the other day that amused me, so I’ll share it with you. Steigler started with the subject line “Taleb and STDEV vs. MAD” and the message: I came across http://www.edge.org/response-detail/25401 and was wondering what your thoughts on the issue might be. My reply: How come they never […]The post There’s no need for you to read this one appeared first on Statistical…

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Bayesian analysis of sensory profiling data III

February 16, 2014
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Bayesian analysis of sensory profiling data III

Last week I extended my Bayesian model. So this week I wanted to test it with different data. There is one other data set with profiling data in R, french fries in the reshape package. 'This data was collected from a sensory experiment conducted at Iow...

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Fisher and Neyman after anger management?

February 16, 2014
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Fisher and Neyman after anger management?

Monday is Fisher’s birthday, and to set the stage for some items to appear, I’m posing the anger management question from a year ago post (please also see the comments from then). Here it is: Would you agree if your (senior) colleague urged you to use his/her book rather than your own –even if you thought doing […]

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More statins for everybody!

February 15, 2014
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More statins for everybody!

The National Institute for Health and Care Excellence (NICE) says in draft guidance which now goes out to consultation that the threshold for GPs to prescribe statins to their patients should halved from the current value of a ...

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The Kernel of Truth in Frequentism: How it’s Implemented Mathematically

February 15, 2014
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From the previous post we need to construct a (Baysian) probability distribution from which has a high probability manifold such that for most elements in . Although simple in conception it’s difficult to see how it’s carried out or how it ...

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Some Things You Should Know About the Jarque-Bera Test

February 15, 2014
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Some Things You Should Know About the Jarque-Bera Test

What test do you usually use if you want to test if the errors of your regression model are normally distributed? I bet it's the Jarque-Bera (1982, 1987) test. After all, it's a standard feature in pretty well every econometrics package. And with very ...

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Mary, Mary, why ya buggin

February 15, 2014
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Mary, Mary, why ya buggin

In our Cliff thread from yesterday, sociologist Philip Cohen pointed to his discussions in the decline in the popularity of the name Mary. One thing that came up was the traditional trendiness of girls’ names. So I thought I’d share my thoughts from a couple of years ago, as reported by David Leonhardt: Andrew Gelman, […]The post Mary, Mary, why ya buggin appeared first on Statistical Modeling, Causal Inference, and…

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Guns are the Tools that People Use Most Often to Kill People

February 15, 2014
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Guns are the Tools that People Use Most Often to Kill People

Intro. A good friend has a habit of re-posting on facebook annoying and silly claims about guns. No, I don't want to de-friend him. Mostly I ban the source of the claims but he finds new sources of material. When I attempt to verify some claims, the ...

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Guns are the Tools that People Use Most Often to Kill People

February 15, 2014
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Guns are the Tools that People Use Most Often to Kill People

Intro. A good friend has a habit of re-posting on facebook annoying and silly claims about guns. No, I don't want to de-friend him. Mostly I ban the source of the claims but he finds new sources of material. When I attempt to verify some claims, the ...

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The Kernel of Truth in Frequentism: The Intuitive Idea

February 14, 2014
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In what sense is Frequentism a special case of Bayesian ideas? The original sin of Frequentism was to take a very special example and claim it was the only example. So it’s worth detailing this special case to see how it fits in the larger Bayesi...

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P-Values …… Again!

February 14, 2014
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P-Values …… Again!

I've had posts about p-values in the past - e.g., see here, here, here, and here. Well, this pesky little devil is back in the news again. Every now and the the "p-value bashers" emerge from the swamp, and this past week it happened again - in Nature.W...

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On the scalability of statistical procedures: why the p-value bashers just don’t get it.

February 14, 2014
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Executive Summary The problem is not p-values it is a fundamental shortage of data analytic skill. In general it makes sense to reduce researcher degrees of freedom for non-experts, but any choice of statistic, when used by many untrained people, … Continue reading →

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Improved icons for Bayesian and frequentist analysis

February 14, 2014
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Improved icons for Bayesian and frequentist analysis

This post presents icons that attempt to capture the essence of Bayesian and frequentist analysis. There are four icons: Bayesian and frequentist approaches to decisions about null values, and Bayesian and frequentist approaches to parameter estimation...

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SharpER, Connecting R to Excel

February 14, 2014
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I have for sometime used the statistical package R  for the majority of data analysis tasks. Typically though data is sent as an Excel file, which is straight froward to import into R but often I want to have a quick look at the data to get a feel for...

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The popularity of certain baby names is falling off the clifffffffffffff

February 14, 2014
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Ubs writes: I was looking at baby name data last night and I stumbled upon something curious. I follow the baby names blog occasionally but not regularly, so I’m not sure if it’s been noticed before. Let me present it like this: Take the statement… Of the top 100 boys and top 100 girls names, […]The post The popularity of certain baby names is falling off the clifffffffffffff appeared first…

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Googling errors

February 14, 2014
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Googling errors

@roguelynn tweeted the other day: If attendees of this weekend’s intro to python workshop leave with one thing, it’ll be to Google your error messages first and foremost. I had just talked about the technique in my Tools for Reproducible Research course, and I had a few recent examples. Gtk-WARNING **: cannot open display: I […]

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