Tuesday, July 25, 2017

Time-Series Regression Discontinuity

I'll have something to say in next week's post.  Meanwhile check out the interesting new paper, "Regression Discontinuity in Time: Considerations for Empirical Applications", by Catherine Hausman and David S. Rapson, NBER Working Paper No. 23602, July 2017.  (Ungated version here.)

Sunday, July 23, 2017

On the Origin of "Frequentist" Statistics

Efron and Hastie note that the "frequentist" term "seems to have been suggested by Neyman as a statistical analogue of Richard von Mises' frequentist theory of probability, the connection being made explicit in his 1977 paper, 'Frequentist Probability and Frequentist Statistics'".  It strikes me that I may have always subconsciously assumed that the term originated with one or another Bayesian, in an attempt to steer toward something more neutral than "classical", which could be interpreted as "canonical" or "foundational" or "the first and best".  Quite fascinating that the ultimate "classical" statistician, Neyman, seems to have initiated the switch to "frequentist".

Sunday, July 9, 2017

On the Identification of Network Connectedness

I want to clarify an aspect of the Diebold-Yilmaz framework (e.g., here or here).  It is simply a method for summarizing and visualizing dynamic network connectedness, based on a variance decomposition matrix.  The variance decomposition is not a part of our technology; rather, it is the key input to our technology.  Calculation of a variance decomposition of course requires an identified model.  We have nothing new to say about that; numerous models/identifications have appeared over the years, and it's your choice (but you will of course have to defend your choice). 

For certain reasons (e.g., comparatively easy extension to high dimensions) Yilmaz and I generally use a vector-autoregressive model and Koop-Pesaran-Shin "generalized identification".  Again, however, if you don't find that appealing, you can use whatever model and identification scheme you want.  As long as you can supply a credible / defensible variance decomposition matrix, the network summarization / visualization technology can then take over.


Monday, July 3, 2017

Bayes, Jeffreys, MCMC, Statistics, and Econometrics

In Ch. 3 of their brilliant book, Efron and Tibshirani (ET) assert that:
Jeffreys’ brand of Bayesianism [i.e., "uninformative" Jeffreys priors] had a dubious reputation among Bayesians in the period 1950-1990, with preference going to subjective analysis of the type advocated by Savage and de Finetti. The introduction of Markov chain Monte Carlo methodology was the kind of technological innovation that changes philosophies. MCMC ... being very well suited to Jeffreys-style analysis of Big Data problems, moved Bayesian statistics out of the textbooks and into the world of computer-age applications.
Interestingly, the situation in econometrics strikes me as rather the opposite.  Pre-MCMC, much of the leading work emphasized Jeffreys priors (RIP Arnold Zellner), whereas post-MCMC I see uniform at best (still hardly uninformative as is well known and as noted by ET), and often Gaussian or Wishart or whatever.  MCMC of course still came to dominate modern Bayesian econometrics, but for a different reason: It facilitates calculation of the marginal posteriors of interest, in contrast to the conditional posteriors of old-style analytical calculations. (In an obvious notation and for an obvious normal-gamma regression problem, for example, one wants posterior(beta), not posterior(beta | sigma).) So MCMC has moved us toward marginal posteriors, but moved us away from uninformative priors.

Thursday, June 29, 2017

More Slides: Forecast Evaluation, DSGE Modeling, and Connectedness

The last post (slides from a recent conference discussion) reminded me of some slide decks that go along with some forthcoming papers.  I hope they're useful.

Diebold, F.X. and Shin, M. (in press), "Assessing Point Forecast Accuracy by Stochastic Error Distance," Econometric Reviews.  Slides here.

Diebold, F.X., Schorfheide, F. and Shin, M. (in press)"Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility," Journal of Econometrics.  Slides here.

Demirer, M., Diebold, F.X., Liu, L. and Yilmaz, K. (in press), "Estimating Global Bank Network Connectedness", Journal of Applied Econometrics.  Slides here.

Monday, June 26, 2017

Slides from SoFiE NYU Discussion

Here are the slides from my pre-conference discussion of Yang Liu's interesting paper, "Government Debt and Risk Premia", at the NYU SoFiE meeting. The key will be to see whether his result (that debt/GDP is a key driver of the equity premium) remains when he controls for expected future real activity. (See Campbell and Diebold, "Stock Returns and Expected Business Conditions: Half a Century of Direct Evidence," Journal of Business and Economic Statistics, 27, 266-278, 2009.)

Wednesday, June 7, 2017

Structural Change and Big Data

Recall the tall-wide-dense (T, K, m) Big Data taxonomy.  One might naively assert that tall data (big time dimension, T) are not really a part of the Big Data phenomenon, insofar as T has not started growing more quickly in recent years.  But a more sophisticated perspective on the "size" of T is whether it is big enough to make structural change a potentially serious concern.  And structural change is a serious concern, routinely, in time-series econometrics.  Hence structural change, in a sense, produces Big Data through the T channel.

Saturday, May 27, 2017

SoFiE 2017 New York

If you haven't yet been to the Society for Financial Econometrics (SoFiE) annual meeting, now's the time.  They're pulling out all the stops for the 10th anniversary at NYU Stern, June 21-23, 2017.  There will be a good mix of financial econometrics and empirical finance (invited speakers here; full program here). The "pre-conference" will also continue, this year June 20, with presentations by junior scholars (new/recent Ph.D.'s) and discussions by senior scholars. Lots of information here. See you there!

Monday, May 22, 2017

Big Data in Econometric Modeling

Here's a speakers' photo from last week's Penn conference, Big Data in Dynamic Predictive Econometric Modeling.  Click through to find the program, copies of papers and slides, a participant list, and a few more photos.  A good and productive time was had by all!