Showing posts with label People. Show all posts
Showing posts with label People. Show all posts
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".
Wednesday, March 30, 2016
Honoring Gregory Chow, Econometrics Pioneer
Full Text Available
Frontiers of Economics in China (FEC)
Dwight H. Perkins
Front. Econ. China. 2016, 11 (1): 1-6. DOI: 10.3868/s060-005-016-0001-5
Zhiqi Chen
Front. Econ. China. 2016, 11 (1): 7-8. DOI: 10.3868/s060-005-016-0002-2
Jushan Bai,Xu Han
Front. Econ. China. 2016, 11 (1): 9-39. DOI: 10.3868/s060-005-016-0003-9
Yanqin Fan,Ruixuan Liu,Dongming Zhu
Front. Econ. China. 2016, 11 (1): 40-59. DOI: 10.3868/s060-005-016-0004-6
Ming-Jen Chang,Ping Wang,Danyang Xie
Front. Econ. China. 2016, 11 (1): 60-87. DOI: 10.3868/s060-005-016-0005-3
Zili Yang
Front. Econ. China. 2016, 11 (1): 88-103. DOI: 10.3868/s060-005-016-0006-0
Yongsheng Xu
Front. Econ. China. 2016, 11 (1): 104-122. DOI: 10.3868/s060-005-016-0007-7
Ming Lei,Zihan Yin
Front. Econ. China. 2016, 11 (1): 123-141. DOI: 10.3868/s060-005-016-0008-4
X. Henry Wang,Bill Z. Yang
Front. Econ. China. 2016, 11 (1): 142-155. DOI: 10.3868/s060-005-016-0009-1
Yanrui Wu
Front. Econ. China. 2016, 11 (1): 156-172. DOI: 10.3868/s060-005-016-0010-5
Frank H. Liu
Frontiers of Economics in China (FEC), Higher Education Press
F15, Fortune Tower 1, 4 Huixin East St., Chaoyang District, Beijing 100029, P. R. China
Tel: 010-58556312, 13911937357
Website: http://journal.hep.com.cn/fec
QQ: 3542958, Wechat: FEC2006
Thursday, September 24, 2015
Coolest Paper at 2015 Jackson Hole
The Faust-Leeper paper is wild and wonderful. The friend who emailed it said, "Be prepared, it’s very different but a great picture of real-time forecasting..." He got it right.
Actually his full email was, "Be prepared, it’s very different but a great picture of real-time forecasting, and they quote Zarnowitz." (He and I always liked and admired Victor Zarnowitz. But that's another post.)
The paper shines its light all over the place, and different people will read it differently. I did some spot checks with colleagues. My interpretation below resonated with some, while others wondered if we had read the same paper. Perhaps, as with Keynes, we'll never know exactly what Faust-Leeper really, really, really meant.
I read Faust-Leeper as speaking to factor analysis in macroeconomics and finance, arguing that dimensionality reduction via factor structure, at least as typically implemented and interpreted, is of limited value to policymakers, although the paper never uses wording like "dimensionality reduction" or "factor structure".
If Faust-Leeper are doubting factor structure itself, then I think they're way off base. It's no accident that factor structure is at the center of both modern empirical/theoretical macro and modern empirical/theoretical finance. It's really there and it really works.
Alternatively, if they're implicitly saying something like this, then I'm interested:
Small-scale factor models involving just a few variables and a single common factor (or even two factors like "real activity" and "inflation") are likely missing important things, and are therefore incomplete guides for policy analysis.
Or, closely related and more constructively:
We should cast a wide net in terms of the universe of observables from which we extract common factors, and the number of factors that we extract. Moreover we should examine and interpret not only common factors, but also allegedly "idiosyncratic" factors, which may actually be contemporaneously correlated, time dependent, or even trending, due to mis-specification.
Enough. Read it for yourself.
[General note: My use of terms like "factor modeling" throughout this post should be broadly interpreted to include not only explicit reduced-form statistical/econometric dynamic factor modeling, but also structural DSGE modeling.]
Actually his full email was, "Be prepared, it’s very different but a great picture of real-time forecasting, and they quote Zarnowitz." (He and I always liked and admired Victor Zarnowitz. But that's another post.)
The paper shines its light all over the place, and different people will read it differently. I did some spot checks with colleagues. My interpretation below resonated with some, while others wondered if we had read the same paper. Perhaps, as with Keynes, we'll never know exactly what Faust-Leeper really, really, really meant.
I read Faust-Leeper as speaking to factor analysis in macroeconomics and finance, arguing that dimensionality reduction via factor structure, at least as typically implemented and interpreted, is of limited value to policymakers, although the paper never uses wording like "dimensionality reduction" or "factor structure".
If Faust-Leeper are doubting factor structure itself, then I think they're way off base. It's no accident that factor structure is at the center of both modern empirical/theoretical macro and modern empirical/theoretical finance. It's really there and it really works.
Alternatively, if they're implicitly saying something like this, then I'm interested:
Small-scale factor models involving just a few variables and a single common factor (or even two factors like "real activity" and "inflation") are likely missing important things, and are therefore incomplete guides for policy analysis.
Or, closely related and more constructively:
We should cast a wide net in terms of the universe of observables from which we extract common factors, and the number of factors that we extract. Moreover we should examine and interpret not only common factors, but also allegedly "idiosyncratic" factors, which may actually be contemporaneously correlated, time dependent, or even trending, due to mis-specification.
Enough. Read it for yourself.
[General note: My use of terms like "factor modeling" throughout this post should be broadly interpreted to include not only explicit reduced-form statistical/econometric dynamic factor modeling, but also structural DSGE modeling.]
Sunday, July 19, 2015
Introducing Ben Connault
I should introduce Benjamin ("Ben") Connault, Penn's newly-hired young econometrician, arriving from Princeton any day now. We're extremely grateful to Bo Honoré, Ulrich Müller, Andriy Norets, and Chris Sims for sending him our way.
Frank is the de facto required name for male Penn econometricians (as in Frank Schorfheide, Frank DiTraglia, and yours truly), but Ben somehow managed to dodge the requirement. At any rate, if his name is highly original by Penn's standard, so too is his research, by any standard. Very much to his credit, Ben is an independent thinker whose econometrics isn't easily catagorized. Just check him out for yourself. We look forward to great things from him.
Welcome, Ben!
Frank is the de facto required name for male Penn econometricians (as in Frank Schorfheide, Frank DiTraglia, and yours truly), but Ben somehow managed to dodge the requirement. At any rate, if his name is highly original by Penn's standard, so too is his research, by any standard. Very much to his credit, Ben is an independent thinker whose econometrics isn't easily catagorized. Just check him out for yourself. We look forward to great things from him.
Welcome, Ben!
Monday, February 16, 2015
Heroic Econometrics Teachers: Tom Rothenberg and Dennis Sargan
I'm not sure why this popped into my head just now.
There have been many fine graduate econometrics teachers/mentors; their armies of well-trained students now populate top universities. But two seem to me to have transcended the rest, achieving an almost mystical status: Tom Rothenberg and Denis Sargan. They trained many dozens of students on both sides of the Atlantic, and more generally they influenced the perspectives and careers of many thousands. (See, for example, the Rothenberg tribute volume edited by two fine Rothenberg students, Don Andrews and Jim Stock, and the Sargan bio by two fine Sargan students, David Hendry and Peter Phillips.) How did Rothenberg and Sargan do it? What was their secret? Surely an ethic of selfless giving played a huge role.
An interesting and puzzling thing (to me at least) is that, perhaps amazingly in our small academic world, I never met Tom or Denis. My loss, for sure.
There have been many fine graduate econometrics teachers/mentors; their armies of well-trained students now populate top universities. But two seem to me to have transcended the rest, achieving an almost mystical status: Tom Rothenberg and Denis Sargan. They trained many dozens of students on both sides of the Atlantic, and more generally they influenced the perspectives and careers of many thousands. (See, for example, the Rothenberg tribute volume edited by two fine Rothenberg students, Don Andrews and Jim Stock, and the Sargan bio by two fine Sargan students, David Hendry and Peter Phillips.) How did Rothenberg and Sargan do it? What was their secret? Surely an ethic of selfless giving played a huge role.
An interesting and puzzling thing (to me at least) is that, perhaps amazingly in our small academic world, I never met Tom or Denis. My loss, for sure.
Monday, October 13, 2014
Lawrence R. Klein Legacy Colloquium
In Memoriam
The Department of Economics of the University of
Pennsylvania, with kind support from the School of Arts and Sciences, the
Wharton School, PIER and IER, is pleased is pleased to host a colloquium, "The Legacy of Lawrence R. Klein: Macroeconomic Measurement, Theory, Prediction and Policy," on Penn’s campus, Saturday, October 25, 2014. The full program and related information are here. We look forward to
honoring Larry’s legacy throughout the day. Please join us if you can.
Featuring:
- Olav Bjerkholt, Professor of Economics, University of Oslo
- Harold L. Cole, Professor of Economics and Editor of International Economic Review, University of Pennsylvania
- Thomas F. Cooley, Paganelli-Bull Professor of Economics, New York University
- Francis X. Diebold, Paul F. Miller, Jr. and E. Warren Shafer Miller Professor of Economics, University of Pennsylvania
- Jesus Fernandez-Villaverde, Professor of Economics, University of Pennsylvania
- Dirk Krueger, Professor and Chair of the Department of Economics, University of Pennsylvania
- Enrique G. Mendoza, Presidential Professor of Economics and Director of Penn Institute for Economic Research, University of Pennsylvania
- Glenn D. Rudebusch, Executive Vice President and Director of Research, Federal Reserve Bank of San Francisco
- Frank Schorfheide, Professor of Economics, University of Pennsylvania
- Christopher A. Sims, John F. Sherrerd ‘52 University Professor of Economics, Princeton University
- Ignazio Visco, Governor of the Bank of Italy
Wednesday, March 5, 2014
Fun with Mike Steele Quotes and Rants
Check out the web page of my Penn Statistics buddy, Mike Steele, probabilist, statistician and mathematician extraordinaire. (And that's just his day job. At night he battles the really hard stuff -- financial markets.) Among other things, you'll like his Favorite Quotes and Semi-Random Rants.
Saturday, February 22, 2014
Check Out the Society of Quantitative Analysts (SQA)
If you're in or around Manhattan, in industry or interested in academic-industry crossover (and who wouldn't be?), the Society of Quantitative Analysts is for you. A totally class act. Check out, for example, Director Jonathan Reiss and and next week's speaker Clara Vega.
February 24, 2014 You are invited to attend the free-of-charge research symposium "Quantitative Investing with News and Sentiment Analytics" sponsored by RavenPack and Deltix, on February 24, 2014, from 10am to 5pm, at The Cornell Club (6 East 44th Street, New York, NY). The organizers have invited several leading quantitative finance practitioners and academics to present work they have been doing on equities, credit and macro with news analytics. Confirmed Speakers •Nicholas Colas, Chief Market Strategist, ConvergEx Group •Clara Vega, Senior Economist, Federal Reserve •Sasha Migdal, CEO, MigdalResearch LLC •Andrea Ghiringhelli, Director R&D, Fitch Solutions •Ian Watt, Economist & Country Insights Specialist, Roubini Global Economics •Jeremiah Green, Assistant Professor, Penn State University •David Marra, CEO, Arialytics •Ilya Gorelik, CEO, Deltix •Peter Hafez, Director of Quant Research, RavenPack March 5, 2014 Dr. Merav Ozair (SQA board member) will be holding a webinar on March 5th at 12pm for PRMIA on "FOREX Markets: Trading, Regulations and Risk". About the Presenter: Dr. Merav Ozair has over 12 years’ of business and consulting experience. Currently her work and expertise center on volatility modeling, market microstructure and developing statistical (econometric) investing and trading strategies. Her previous business experience includes developing business strategies to enhance business growth; evaluating the viability of potential public offerings; estimating the market value of business for M&A; performing fundamental and valuation analysis; developing models for performance attribution, and; analyzing operating risk and risk management on a company’s level. Dr. Ozair has over 15 years’ teaching experience and currently she has been teaching at the Finance and Risk Engineering (FRE) program at NYU – Market Microstructure, Financial Econometrics and Portfolio Management. She has earned her PhD in Accounting and Finance from Stern Business School at NYU, and her research interests include market microstructure, volatility modeling and financial econometrics. She is also the founder of Mackabie Capital a financial service provider which bridges fundamental and quantitative methods to enable money managers in their pursuit for better alpha generating strategies, risk control and execution. She also holds a CPA and a CQF. For further information visit: www.mackabiecapital.com March 20-22, 2014 Professionals are welcome to attend the Quinnipiac Global Asset Management Education (G.A.M.E.) IV Forum on Thursday March 20, 2014 at the Sheraton New York Times Square Hotel to hear keynote speaker panels discuss the: Global Economy, Alternative Assets versus Equities, Corporate Governance, Global Markets and provide a Fed & Washington Perspective. Last year, more than 1000 college students, faculty and investment professionals participated in this very dynamic investment conference, representing 43 countries, 44 states, Puerto Rico and the District of Columbia. Pre-registration is required and on-site registration will not be available. Members and friends of SQA are able to save $200 per professional registration by using the Promotion Code SQA14. In addition, professional group registrations of five or more will save an additional $50 per registration. Our online registration is open with a link provided below. ADDITIONAL INFORMATION: Registration: http://www.regonline.com/eventinfo.asp?eventid=1277206 Web Site: http://game.quinnipiac.edu Email: game@quinnipiac.edu Phone: 203-582-5400 Overview YouTube Video: http://youtu.be/GTjETSW73Qo Confirmed Keynote Speakers Include: Keynote Panels: • Global Economy Douglas Coté, CFA, Chief Market Strategist & Senior Portfolio Manager, ING Investment Management Bob Doll, CFA, Chief Equity Strategist & Senior Portfolio Manager, Nuveen Asset Management LLC Dr. John Silvia, Managing Director & Chief Economist, Wells Fargo Securities Richard Yamarone, Senior Economist, Bloomberg Brief • Alternatives vs. Equities Rich Bernstein, Chief Executive Officer, Richard Bernstein Advisors LLC Michael Khouw, Managing Director & Primary Strategist, DASH Financial Joe Kinahan, Chief Strategist, TD Ameritrade Benjamin A. Pace III, Managing Director & Chief Investment Officer, Deutsche Bank Private Wealth Management • Fed & Washington Perspective Tom Keene, Editor-At-Larger, Bloomberg News • Corporate Governance Al Angrisani, President & Chief Investment Officer, Harris Interactive Gary Katz, President & Chief Investment Officer, International Securities Exchange Edward Knight, JD, Executive Vice President, General Counsel & Regulatory Officer, NASDAQ OMX Group Inc John D. Rogers, CFA, President & Chief Executive Officer, CFA Institute • Global Markets Ralph Acampora, CMT, Senior Managing Director, Altaira Ltd Guy Adami, Managing Director, Drakon Capital & Fast Money Contributor, CNBC Abby Joseph Cohen, CFA, Senior Investment Strategist & President Global Markets Institute, Goldman Sachs Dr. David Kelly, CFA, Managing Director & Chief Global Strategist, J.P. Morgan Funds
August 11-16, 2014
The SQA is once again proud to partner with SYMMYS and Attilio Meucci for the 6-day annual intensive course "Advanced Risk and Portfolio Management Bootcamp" at New York University. The course is worth 40 CE units of CFA Institute and 40 CPE units of GARP. The ARPM Bootcamp (http://symmys.com/ arpm-bootcamp) provides in-depth understanding of buy-side modeling from the foundations to the latest advanced statistical and optimization techniques, in nine intense, heavily quantitative hours each day, with theory, live simulations, review sessions and exercises. Topics include portfolio construction, factor modeling, copulas, liquidity, risk modeling, and much more. Also features Gala Dinner with world-renowned speakers such as Rob Almgren, Peter Carr, Bruno Dupire, Jim Gatheral, Bob Litterman, Bob Litzenberger, Andrew Lo, Fabio Mercurio, Steven Shreve. See a short video http://www.youtube.com/watch?v=BUnrgjNxBWk To register with the SQA discounted partner rate go to http://www.symmys.com/arpm-bootcamp/registration, then see 1) "Registration Type", select "Partner"; 2) go to "Specify", select "Other"; 3) go to "Specify", type "SQA", or contact ARPM at arpm.bootcamp@symmys.com |
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