Your dedicated blogger is about to vanish in the holiday haze, returning early in the new year. Meanwhile, all best wishes for the holidays....
Varieties of RCT Extensibility
Even internally-valid RCT's have issues. They reveal the treatment effect only for the precise experiment performed and situation studie...
Exogenous vs. Endogenous Volatility Dynamics
I always thought putting exogenous volatility dynamics in macro-model shocks was a cop-out. Somehow it seemed more satisfying for volatilit...
Gary Gorton, Harald Uhlig, and the Great Crisis
Gary Gorton has made clear that the financial crisis of 2007 was in essence a traditional banking panic , not unlike those of the ninetheeth...
Dense Data for Long Memory
From the last post , you might think that efficient learning about low-frequency phenomena requires tall data. Certainly efficient estimati...
Big Data for Volatility vs.Trend
Although largely uninformative for some purposes, dense data (high-frequency sampling) are highly informative for others. The massive exam...
StatPrize
Check out this new prize, http://statprize.org/ (Thanks, Dave Giles, for informing me via your tweet.) It should be USD 1 Million, ahead o...
Econometric Analysis of Recurrent Events
Don Harding and Adrian Pagan have a fascinating new book (HP) that just arrived in the snail mail. Partly HP has a retro feel (think: Bry-...
Machine Learning vs. Econometrics, IV
Some of my recent posts on this topic emphasized that (1) machine learning (ML) tends to focus on non-causal prediction, whereas econometric...
Machine Learning vs. Econometrics, III
I emphasized here that both machine learning (ML) and econometrics (E) prominently feature prediction , one distinction being that ML tends...
Machine Learning vs. Econometrics, II
My last post focused on one key distinction between machine learning (ML) and econometrics (E): non-causal ML prediction vs. causal E pre...
Machine Learning vs. Econometrics, I
[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 alw...
Fascinating Conference at Chicago
I just returned from the University of Chicago conference, " Machine Learning: What's in it for Economics? " Lots of cool thi...
On "Shorter Papers"
Journals should not corral shorter papers into sections like "Shorter Papers". Doing so sends a subtle (actually unsubtle) messag...
Time-Series Econometrics and Climate Change
It's exciting to see time series econometrics contributing to the climate change discussion. Check out the upcoming CREATES conference...
Inane Journal "Impact Factors"
Why are journals so obsessed with "impact factors"? (The five-year impact factor is average citations/article in a five-year windo...
On Credible Cointegration Analyses
I may not know whether some \(I(1)\) variables are cointegrated, but if they are, I often have a very strong view about the likely number an...
More on Big Data and Mixed Frequencies
I recently blogged on Big Data and mixed-frequency data , arguing that Big Data (wide data, in particular) leads naturally to mixed-frequenc...
On the Evils of Hodrick-Prescott Detrending
[If you're reading this in email, remember to click through on the title to get the math to render.] Jim Hamilton has a very cool new pa...
More on Nonlinear Forecasting Over the Cycle
Related to my last post , here's a new paper that just arrived from Rachidi Kotchoni and Dalibor Stevanovic, "Forecasting U.S. Rece...
Nearest-Neighbor Forecasting in Times of Crisis
Nonparametric K-nearest-neighbor forecasting remains natural and obvious and potentially very useful, as it has been since its inception lon...
NSF Grants vs. Improved Data
Lots of people are talking about the Cowen-Tabarrok Journal of Economic Perspectives piece, " A Skeptical View of the National Scienc...
On the Superiority of Observed Information
Earlier I claimed that "Efron-Hinkley holds up -- observed information dominates estimated expected information for finite-sample MLE ...
An important Example of Simultaneously Wide and Dense Data
By the way, related to my last post on wide and dense data , an important example of analysis of data that are both wide and dense is the hi...
The Action is in Wide and/or Dense Data
I recently blogged on varieties of Big Data : (1) tall, (2) wide, and (3) dense. Presumably tall data are the least interesting insofar as t...
The HAC Emperor has no Clothes: Part 2
The time-series kernel-HAC literature seems to have forgotten about pre-whitening. But most of the action is in the pre-whitening, as stress...
Contemporaneous, Independent, and Complementary
You've probably been in a situation where you and someone else discovered something "contemporaneously and independently". Des...
DAG Software
Some time ago I mentioned the DAG (directed acyclical graph) primer by Judea Pearl et al. As noted in Pearl's recent blog post , a m...
Regularization for Long Memory
Two earlier regularization posts focused on panel data and generic time series contexts. Now consider a specific time-series context: lon...
Observed Info vs. Estimated Expected Info
All told, after decades of research, it seems that Efron-Hinkley holds up -- observed information dominates estimated expected information f...
Mixed-Frequency High-Dimensional Time Series
Notice that high dimensions and mixed frequencies go together in time series. (If you're looking at a huge number of series, it's hi...
Conditional Dependence and Partial Correlation
In the multivariate normal case, conditional independence is the same as zero partial correlation. (See below.) That makes a lot of things ...
A Little Bit More on Dave Backus
In the days since his passing, lots of wonderful things have been said about Dave Backus. (See, for example, the obituary by Tom Cooley , po...
SoFiE 2016 Hong Kong (and 2017 New York)
Hats off to all those who helped make the Hong Kong SoFiE meeting such a success. Special thanks (in alphabetical order) to Charlotte Chen, ...
Indicator Saturation Estimation
In an earlier post, " Fixed Effects Without Panel Data ", I argued that you could allow for (and indeed estimate) fixed effects i...
Fixed Effects Without Panel Data
Consider a pure cross section (CS) of size N. Generally you'd like to allow for individual effects, but you can't, because OLS with...
Causal Estimation and Millions of Lives
This just in from a fine former Ph.D. student. He returned to India many years ago and made his fortune in finance. He's now devoting ...
No Hesitations at 500K
Some company just emailed to inform me that No Hesitations had made its list of the Top 100 Economics Blogs. I was pretty happy until I de...
Listening to Your Sentences, II
Here's a continuation of this recent post (for students) on listening to writing. OK, you say, Martin Amis interviews are entertaining,...
Martin Amis on How to Write a Great Sentence
It's been a while since I did a piece on good writing, for students. In an old post I said " Listen to your words; push your pr...
Hazard Functions for U.S. Expansions
Glenn Rudebusch has a very nice 2016 FRBSF Letter, "Will the Economic Recovery Die of Old Age?" . He draws on perspective and re...
R/Finance 2016: Applied Finance with R
At R/Finance 2016: Applied Finance with R. Interesting group, with many constituencies, and interesting program, which appears below (or go...
MAM and PAMM Account Broker Comparison Chart
Trading th e Forex requires great skills and indept h knowledge of the financial market. Unfortun ately the statistics or ratio of successf...
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