Monday, August 4, 2014

The Black Swan Spectrum

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 (and Wharton graduate) turned pop author. His book, The Black Swan, deals with many of the issues raised in this chapter. "Black swans"' are seemingly impossible or very low-probability events -- after all, swans are supposed to be white -- that occur with annoying regularity in reality. Read his book. Where does your reaction fall on the A-B spectrum below? 
A. Taleb offers crucial lessons for econometricians, heightening awareness in ways otherwise difficult to achieve. After reading Taleb, it's hard to stop worrying about non-normality, model misspecification, and so on.
B. Taleb belabors the obvious for hundreds of pages, arrogantly "informing"' us that non-normality is prevalent, that all models are misspecified, and so on. Moreover, it takes a model to beat a model, and Taleb offers nothing new.
The book is worth reading, regardless of where your reaction falls on the A-B spectrum.