Archive for Bayesian econometrics
Tomorrow I am off to Venezia for three days, attending the ESOBE 2016 workshop, where ESOBE stands for European Seminar on Bayesian Econometrics. This year it is indeed taking place in Venezia, Università Ca’ Foscari, in this beautiful building on the Gran Canale, and I have been invited to give a talk. Excited to get back to this unique place, hoping the high water will not be too high to prevent getting around (at random as usual).
On December 4-5, Université Paris-Dauphine will host the 6th French Econometric Conference, which celebrates Christian Gouriéroux and his contributions to econometrics. (Christian was my statistics professor during my graduate years at ENSAE and then Head of CREST when I joined this research unit, first as a PhD student and later as Head of the statistics group. And he has always been a tremendous support for me.)
Not only is the program quite impressive, with co-authors of Christian Gouriéroux and a few Nobel laureates (if not the latest, Jean Tirole, who taught economics at ENSAE when I was a student there), but registration is free. I will most definitely attend the talks, as I am in Paris-Dauphine at this time of year (the week before NIPS). In particular, looking forward to Gallant’s views on Bayesian statistics.
Today 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?!What 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!).
Just 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.