I am not an econometrician

I am a statistician, but I have worked in a department of predominantly econometricians for the past 17 years. It is a little like an Australian visiting the United States. Initially, it seems that we talk the same language, do the same sorts of things…

Variations on rolling forecasts

Rolling forecasts are commonly used to compare time series models. Here are a few of the ways they can be computed using R. I will use ARIMA models as a vehicle of illustration, but the code can easily be adapted to other univariate time series models….

SAS/IIF grants

Every year, the International Institute of Forecasters in conjunction with SAS offer some small grants to help promote research in forecasting. There are two $5000 grants per year for research on forecasting methodology and applications. This year, app…

Varian on big data

Last week my research group discussed Hal Varian’s interesting new paper on “Big data: new tricks for econometrics”, Journal of Economic Perspectives, 28(2): 3-28.
It’s a nice introduction to trees, bagging and forests, plus a v…

European talks. June-July 2014

For the next month I am travelling in Europe and will be giving the following talks.
17 June. Challenges in forecasting peak electricity demand. Energy Forum, Sierre, Valais/Wallis, Switzerland.
20 June. Common functional principal component models for…

Data science market places

Some new websites are being established offering “market places” for data science. Two I’ve come across recently are Experfy and SnapAnalytx.Experfy provides a way for companies to find statisticians and other data scientists, either …

Structural breaks

I’m tired of reading about tests for structural breaks and here’s why.
A structural break occurs when we see a sudden change in a time series or a relationship between two time series. Econometricians love papers on structural breaks, and a…

To explain or predict?

Last week, my research group discussed Galit Shmueli’s paper “To explain or to predict?”, Statistical Science, 25(3), 289-310. (See her website for further materials.) This is a paper everyone doing statistics and econometrics should …

ARIMA models with long lags

Today’s email question:
I work within a government budget office and sometimes have to forecast fairly simple time series several quarters into the future. Auto.arima() works great and I often get something along the lines of: ARIMA(0,0,1)(1,1,0…

Great papers to read

My research group meets every two weeks. It is always fun to talk about general research issues and new tools and tips we have discovered. We also use some of the time to discuss a paper that I choose for them. Today we discussed Breiman’s classi…

Seven forecasting blogs

There are several other blogs on forecasting that readers might be interested in. Here are seven worth following:
No Hesitations by Francis Diebold (Professor of Economics, University of Pennsylvania). Diebold needs no introduction to forecasters. He …