Archive for Bayesian econometrics

R/Rmetrics in Paris [alas!]

Posted in Mountains, pictures, R, Statistics, Travel, University life with tags , , , , , , , , , , , , , , , , , , , on June 30, 2014 by xi'an

Bernard1Today I gave a talk on Bayesian model choice in a fabulous 13th Century former monastery in the Latin Quarter of Paris… It is the Collège des Bernardins, close to Jussieu and Collège de France, unbelievably hidden to the point I was not aware of its existence despite having studied and worked in Jussieu since 1982… I mixed my earlier San Antonio survey on importance sampling approximations to Bayes factors with an entry to our most recent work on ABC with random forests. This was the first talk of the 8th R/Rmetrics workshop taking place in Paris this year. (Rmetrics is aiming at aggregating R packages with econometrics and finance applications.) And I had a full hour and a half to deliver my lecture to the workshop audience. Nice place, nice people, new faces and topics (and even andouille de Vire for lunch!): why should I complain with an alas in the title?!Bernard2What happened is that the R/Rmetrics meetings have been till this year organised in Meielisalp, Switzerland. Which stands on top of Thuner See and… just next to the most famous peaks of the Bernese Alps! And that I had been invited last year but could not make it… Meaning I lost a genuine opportunity to climb one of my five dream routes, the Mittelegi ridge of the Eiger. As the future R/Rmetrics meetings will not take place there.

A lunch discussion at the workshop led me to experiment the compiler library in R, library that I was unaware of. The impact on the running time is obvious: recycling the fowler function from the last Le Monde puzzle,

> bowler=cmpfun(fowler)
> N=20;n=10;system.time(fowler(pred=N))
   user  system elapsed 
 52.647   0.076  56.332 
> N=20;n=10;system.time(bowler(pred=N))
   user  system elapsed 
 51.631   0.004  51.768 
> N=20;n=15;system.time(bowler(pred=N))
   user  system elapsed 
 51.924   0.024  52.429 
> N=20;n=15;system.time(fowler(pred=N))
   user  system elapsed 
 52.919   0.200  61.960 

shows a ten- to twenty-fold gain in system time, if not in elapsed time (re-alas!).

The 8th Rimini Bayesian Econometrics Workshop

Posted in Running, Statistics, Travel, University life with tags , , on March 19, 2014 by xi'an

Miami Beach, Aug. 04, 2011Just reporting the announcement for the 8th Rimini Bayesian Econometrics Workshop, June 9-10, 2014, in the very pleasant beach resort of Rimini, workshop that I attended a few years ago:

This Workshop is organized by the Rimini Centre for Economic Analysis (RCEA) and will be run within the  RIMINI CONFERENCE in ECONOMICS and FINANCE RCEF-2014 

Call for papers:  Authors should submit an extended abstract of up to 500 words by Monday 31st of March 2014. Please include with the submission JEL classification codes for the paper, keywords as well as JEL classification codes of the author(s) specialization field(s). Complete papers may be submitted but the extended abstract is required. In case of more than one author, please note the corresponding author. Proposals for sessions, consisting of three papers, are particularly welcome. If you are interested in submitting a session please send the session topic, paper titles and names of authors and arrange for the abstracts to be sent to the addresses provided below.

Au Luxembourg

Posted in pictures, Statistics, Travel, University life with tags , , , , , , on December 3, 2013 by xi'an

luxemIn a “crazy travelling week” (dixit my daughter), I gave a talk at an IYS 2013 conference organised by Stephen Senn (formerly at Glasgow) and colleagues in the city of Luxembourg, Grand Duché du Luxembourg. I enjoyed very much the morning train trip there as it was a misty morning, with the sun rising over the frosted-white countryside. (I cannot say much about the city of Luxembourg itself though as I only walked the kilometre from the station to the conference hotel and the same way back. There was a huge gap on the plateau due to a river in the middle, which would have been a nice place to run, I presume…)

One of the few talks I attended there was about an econometric model with instrumental variables. In general, and this dates back to my student’s years at ENSAE, I do not get the motivation for the distinction between endogenous and exogenous in econometrics models. Especially in non-parametric models as, if we do not want to make parametric assumptions, we have difficulties in making instead correlation hypotheses… My bent would be to parametrise everything under the suspicion of this everything being correlated with everything. The instrumental variables econometricians seem so fond of appear to me like magical beings, since we have to know they are instrumental. And because they seem to allow to always come back to a linear setting, by eliminating the non-linear parts. Sounds like a “more for less” free-lunch deal. (Any pointer would be appreciated.) The speaker there actually acknowledged (verbatim) that they are indeed magical and that they cannot be justified by mathematics or statistics. A voodoo part of econometrics then?!

A second talk that left me perplexed was about a generalised finite mixture model. The model sounded like a mixture along time of individuals, ie a sort of clustering of longitudinal data. It looked like it should be easier to estimate than usual mixtures of regressions because an individual contributed to the same regression line for all the times when it was observed. The talk was uninspiring as it missed connections to EM and to Bayesian solutions, focussing instead on a gradient method that sounded inappropriate for a multimodal likelihood. (Funny enough, the choice in the number of regressions was done by BIC.)

impressions from Princeton

Posted in Books, pictures, Statistics, Travel, University life with tags , , , on April 6, 2012 by xi'an

This one-day trip to Princeton was quite profitable thanks to the exchanges I had with the members of the econometrics department there. In particular, I really appreciated the interactive way the Gregory Chow seminar was run and the way the audience got quickly focused on the central issue of ABC, namely running inference under limited information (provided by the summary statistics). What is most interesting (to me) is that (a) the discussants focused on the limiting normal distribution as a way to bypass (in)sufficiency and (b) they did not seem to deem the use of an insufficient summary statistics a major drawback of the method. I also took advantage of this trip to correct a restricted and misguided impression on the existence of unbiased estimators, to discuss about loss functions for set estimation and empirical likelihood, and to mention the interesting paradox of the normal mean norm (Example 4.2.8 in The Bayesian Choice) where the MLE based on the distribution of the estimator of the norm improves upon this initial estimator…


A Bayesian Nobel recipient

Posted in Statistics, University life with tags , , , on October 11, 2011 by xi'an

Chris Sims, who got the Nobel Prize in Economics yesterday, or more precisely the Sveriges Riksbank Prize in Economic Sciences, has [also] done work in Bayesian econometrics. See for instance his talk on Why Econometrics Should Always and Everywhere Be Bayesian. Or his analysis of a counterexample of Larry Wasserman’s. He even has a tech report on adaptive Metropolis-Hastings algorithms (that apparently did not get published). He has also been teaching Bayesian statistics and econometrics at Princeton for many years, so this is a cool day for Bayesian stats! (The picture of a switching regime estimation on his webpage is actually similar to a rendering of mine from the late 90’s, when I was working on semi-Markov switching AR models with Catalin Starica, except I cannot find any trace but for the Splus code!)


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