[If you're reading this in email, remember to click through on the title to get the math to render.]Machine learning (ML) is almost always centered on prediction; think "\(\hat{y}\)". Econometrics (E) is often, but not always, centered on predic...
[If you're reading this in email, remember to click through on the title to get the math to render.]Machine learning (ML) is almost always centered on prediction; think "\(\hat{y}\)". Econometrics (E) is often, but not always, centered on predic...
All told, after decades of research, it seems that Efron-Hinkley holds up -- observed information dominates estimated expected information for finite-sample MLE inference. It's both easier to calculate and more accurate. Let me know if you disagree.[Ef...
I've had Angrist-Pischke's Mostly Harmless Econometrics: An Empiricist's Companion (MHE) for a while, but I just got around to reading it. (By the way, a lower-level follow-up was just published.)There's a lot to like about MHE. It'...
I concluded my previous post with:Consider, for example, the following folk theorem: "Under asymmetric loss, the optimal prediction is conditionally biased." The folk theorem is false. But how can that be?What's true is this: The conditional mean is th...
A mind-blowing optimal prediction result will come next week. This post sets the stage.My earlier post, "Musings on Prediction Under Asymmetric Loss," got me thinking and re-thinking about the predictive conditions under which the conditional mean is o...
At a seminar dinner at Duke last week, I asked the leading young econometrician at the table for his forecast of the Next Big Thing, now that the partial-identification set-estimation literature has matured. The speed and forcefulness of his answer -- ...
As has been known for more than a half-century, linear-quadratic-Gaussian (LQG) decision/control problems deliver certainty equivalence (CE). That is, in LQG situations we can first predict/extract (form a conditional expectation) and then simply plug ...
Some of the comments engendered by the Black Swan post remind me of something I've wanted to say for a while: In sharp contrast to much popular perception, the financial crisis wasn't caused by models or modelers.Rather, the crisis was c...
Speaking of the newly-updated draft of Econometrics, now for some fun. Here's a question from the Chapter 6 EPC (exercises, problems and complements). Where does your reaction fall on the A-B spectrum below?Nassim Taleb is a financial markets trader (a...
