IV Estimates via GMM with Clustering in R

April 1, 2014
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IV Estimates via GMM with Clustering in R

In econometrics, generalized method of moments (GMM) is one estimation methodology that can be used to calculate instrumental variable (IV) estimates. Performing this calculation in R, for a linear IV model, is trivial. One simply uses the gmm() function in the excellent gmm package like an lm() or ivreg() function. The gmm() function will estimate […]

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Numbersense Pros: An interview with David Spiegelhalter

April 1, 2014
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Numbersense Pros: An interview with David Spiegelhalter

I am excited to chat with Professor David Spiegelhalter, who is no strangers to our UK audience, and our statistics colleagues. Perhaps his most well-known contribution is the DIC criterion for model selection, introduced by a paper by him and collaborators. He holds the impressive title of Winton Professor for the Public Understanding of Risk at the University of Cambridge (link). He also writes a blog called Understanding Uncertainty (link),…

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This is how an important scientific debate is being used to stop EPA regulation

April 1, 2014
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Environmental regulation in the United States has protected human health for over 40 years. Since the Clean Air Act was enacted in 1970, levels of outdoor air pollution have dropped dramatically, changing the landscape of once heavily-polluted cities like Los … Continue reading →

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Association for Psychological Science announces a new journal

April 1, 2014
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Association for Psychological Science announces a new journal

The Association for Psychological Science, the leading organization of research psychologists, announced a long-awaited new journal, Speculations on Psychological Science. From the official APS press release: Speculations on Psychological Science, the flagship journal of the Association for Psychological Science, will publish cutting-edge research articles, short reports, and research reports spanning the entire spectrum of the […] The post Association for Psychological Science announces a new journal appeared first on Statistical…

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Skeptical and enthusiastic Bayesian priors for beliefs about insane asylum renovations at Dept of Homeland Security: I’m skeptical and unenthusiastic

April 1, 2014
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Skeptical and enthusiastic Bayesian priors for beliefs about insane asylum renovations at Dept of Homeland Security: I’m skeptical and unenthusiastic

I had heard of medical designs that employ individuals who supply Bayesian subjective priors that are deemed either “enthusiastic” or “skeptical” as regards the probable value of medical treatments.[i] From what I gather, these priors are combined with data from trials in order to help decide whether to stop trials early or continue. But I’d never heard of […]

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Calendar charts with googleVis

April 1, 2014
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Calendar charts with googleVis

My little series of posts about the new googleVis charts continues with calendar charts. Google's calendar charts are still in beta, but they provide already a nice heat map visualisation of calendar year data. The current development version of google...

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Correlation with constraints on pairs

April 1, 2014
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An interesting question was posted on http://math.stackexchange.com/726205/…: if one knows the covariances  and , is it possible to infer ? I asked myself a question close to this one a few weeks ago (that I might also relate to a question I...

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Capturing Intraday data, Backup plan

April 1, 2014
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Capturing Intraday data, Backup plan

In the Capturing Intraday data post, I outlined steps to setup your own process to capture Intraday data. But what do you do if you missed some data points due for example internet being down or due to power outage your server was re-started. To fill up the gaps in the Intraday data, you could […]

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The most-cited statistics papers ever

March 31, 2014
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Robert Grant has a list. I’ll just give the ones with more than 10,000 Google Scholar cites: Cox (1972) Regression and life tables: 35,512 citations. Dempster, Laird, Rubin (1977) Maximum likelihood from incomplete data via the EM algorithm: 34,988 Bland & Altman (1986) Statistical methods for assessing agreement between two methods of clinical measurement: 27,181 […] The post The most-cited statistics papers ever appeared first on Statistical Modeling, Causal Inference,…

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Moustache target distribution and Wes Anderson

March 31, 2014
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Moustache target distribution and Wes Anderson

Today I am going to introduce the moustache target distribution (moustarget distribution for brievety). Load some packages first. Let’s invoke the moustarget distribution. This defines a target distribution represented by a SVG file using RShapeTarget. The target probability density function is defined on and is proportional to on the segments described in the SVG files, […]

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Data Analysis for Genomics edX Course

March 31, 2014
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Mike Love (@mikelove) and I have been working hard the past couple of months preparing a free online edX course on data analysis for genomics. Our target audience are the postdocs, graduate students and research scientists that are tasked with … Continue reading →

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Slidify: Data driven presentations

March 31, 2014
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Slidify: Data driven presentations

Publishers note: This blog was posted on August 1, 2013 on the Data Community DC blog, http://datacommunitydc.org/blog/2013/08/data-driven-presentations-using-slidify/ Presentations are the stock-in-trade for consultants, managers, teachers, public speakers, and, probably, you. We all have to present our work at some level, to someone we report to or to our peers, or to introduce newcomers to our […]

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On deck this week

March 31, 2014
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Mon: The most-cited statistics papers ever Tues: American Psychological Society announces a new journal Wed: Am I too negative? Thurs: As the boldest experiment in journalism history, you admit you made a mistake Fri: The Notorious N.H.S.T. presen...

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Student Advice I: Some Good Reading for Good Writing (and Good Graphics)

March 31, 2014
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Student Advice I: Some Good Reading for Good Writing (and Good Graphics)

                            Good writing is good thinking, so when you next hear some pretentious moron boast that ``I don't like to write, I like to think," rest assured, he's ...

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Just gave a talk

March 31, 2014
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I just gave a talk in Milan. Actually I was sitting at my desk, it was a g+ hangout which was a bit more convenient for me. The audience was a bunch of astronomers so I figured they could handle a satellite link. . . . Anyway, the talk didn’t go so well. Two reasons: […]The post Just gave a talk appeared first on Statistical Modeling, Causal Inference, and Social…

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SAS/IML available to all students through SAS Analytics U

March 31, 2014
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SAS/IML available to all students through SAS Analytics U

When spontaneous applause broke out during Dr. Jim Goodnight's presentation at the opening session of SAS Global Forum 2014, I was one of the people cheering the loudest. The SAS CEO had just announced free software for students and professors at universities around the world. The SAS University Edition will […]

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Probabilistic Momentum with Intraday data

March 31, 2014
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Probabilistic Momentum with Intraday data

I want to follow up the Intraday data post with testing the Probabilistic Momentum strategy on Intraday data. I will use Intraday data for SPY and GLD from the Bonnot Gang to test the strategy. Next, let’s examine the hourly perfromance of the strategy. There are lots of abnormal returns in the 9:30-10:00am box due […]

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Teaching Confidence Intervals

March 31, 2014
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Teaching Confidence Intervals

If you want your students to understand just two things about confidence intervals, what would they be? What and what order When making up a teaching plan for anything it is important to think about whom you are teaching, what … Continue reading →

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Teaching Confidence Intervals

March 31, 2014
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Teaching Confidence Intervals

If you want your students to understand just two things about confidence intervals, what would they be? What and what order When making up a teaching plan for anything it is important to think about whom you are teaching, what … Continue reading →

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Phil 6334: March 26, philosophy of misspecification testing (Day #9 slides)

March 31, 2014
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Phil 6334: March 26, philosophy of misspecification testing (Day #9 slides)

  “Probability/Statistics Lecture Notes 6: An Introduction to Mis-Specification (M-S) Testing” (Aris Spanos)   [Other slides from Day 9 by guest, John Byrd, can be found here.]Filed under: misspecification testing, Phil 6334 class material, Spanos, Statistics

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Doing the Right Thing: Are your measures correct?

March 30, 2014
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"A lot of good analysis is wasted doing the wrong thing."Anyone who has worked with data on business problems is probably aware of this adage.  And this past week, I was reminded once again of this fact while analyzing a marketing program.  T...

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Bayesian Data Analysis [BDA3 - part #2]

March 30, 2014
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Bayesian Data Analysis [BDA3 - part #2]

Here is the second part of my review of Gelman et al.’ Bayesian Data Analysis (third edition): “When an iterative simulation algorithm is “tuned” (…) the iterations will not in general converge to the target distribution.” (p.297) Part III covers advanced computation, obviously including MCMC but also model approximations like variational Bayes and expectation propagation […]

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Distributions in d3

March 30, 2014
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Distributions in d3

Something that often comes up is visualizing in 3 dimensions. I don't mean like 3dprinting. I mean more like heatmaps. With heatmaps, you can easily change two variables (the x and y dimensions) and see its impact on a third variable, usually denoted b...

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