Archive for econometrics

ENSEA & CISEA 2019

Posted in Books, pictures, Statistics, Travel, University life with tags , , , , , , , , , , , on June 26, 2019 by xi'an

I found my (short) trip to Abdijan for the CISEA 2019 conference quite fantastic as it allowed me to meet with old friends, from the earliest days at CREST and even before, and to meet new ones. Including local students of ENSEA who had taken a Bayesian course out of my Bayesian Choice book. And who had questions about the nature of priors and the difficulty they had in accepting that several replies were possible with the same data! I wish I had had more time to discuss the relativity of Bayesian statements with them but this was a great and rare opportunity to find avid readers of my books! I also had a long chat with another student worried about the use or mis-use of reversible jump algorithms to draw inference  on time-series models in Bayesian Essentials, chat that actually demonstrated his perfect understanding of the matter. And it was fabulous to meet so many statisticians and econometricians from West Africa, most of them French-speaking. My only regret is not having any free time to visit Abidjan or the neighbourhood as the schedule of the conference did not allow for it [or even for a timely posting of a post!], especially as it regularly ran overtime. (But it did provide for a wide range of new local dishes that I definitely enjoyed tasting!) We are now discussing further opportunities to visit there, e.g. by teaching a short course at the Master or PhD levels.

French Econometrics [discussion]

Posted in Books, pictures, Statistics, University life with tags , , , , , , , on November 30, 2018 by xi'an

This Friday, I am briefly taking part in the 10th French Econometrics Conference as a discussant of Anna Simoni’s (CREST) talk, based on a paper co-written with Sid Chib and Minchul Shin. The conference is located at the Paris School of Economics (PSE), on Paris South End, in an impressive new building. The topic of the paper is a Bayesian empirical likelihood approach to the econometrics notion of moments model. Which I discussed here during ISBA last summer since Sid spoke (twice!) there.

drivers are not interested in maths formulas

Posted in Kids, pictures, Statistics, Travel, Wines with tags , , , , , , , on January 1, 2018 by xi'an

An appalling discussion on the French public radio (France Inter) this morning about reducing the average speed on bidirectional roads from 90 km/h to 80 km/h, when the representative of “40 millions d’automobilistes”, a driver lobby with a few hundred thousands members, called the chain to protest against this potential move by the Macron government. With arguments ranging from being unjust for the rural parts of the country [the reduction in speed adds seven minutes per hour!], to predicting the regulation to be ignored by most drivers, to a lack of democracy [as if driving a car was a fundamental right! What’s next?! The right to bear arms?!], and finally to denying arguments based on econometric models [dismissed as “maths formulas”], like Nilsson’s.

non-identifiability in Venezia

Posted in Books, pictures, Statistics, Travel, University life with tags , , , , , , , , , on November 2, 2016 by xi'an

Last Wednesday, I attended a seminar by T. Kitagawa at the economics seminar of the University Ca’ Foscari, in Venice, which was about (uncertain) identifiability and a sort of meta-Bayesian approach to the problem. Just to give an intuition about the setting, a toy example is a simultaneous equation model Ax=ξ, where x and ξ are two-dimensional vectors, ξ being a standard bivariate Normal noise. In that case, A is not completely identifiable. The argument in the talk (and the paper) is that the common Bayesian answer that sets a prior on the non-identifiable part (which is an orthogonal matrix in the current setting) is debatable as it impacts inference on the non-identifiable parts, even in the long run. Which seems fine from my viewpoint. The authors propose to instead consider the range of possible priors that are compatible with the set restrictions on the non-identifiable parts and to introduce a mixture between a regular prior on the whole parameter A and this collection of priors, which can be seen as a set-valued prior although this does not fit within the Bayesian framework in my opinion. Once this mixture is constructed, a formal posterior weight on the regular prior can be derived. As well as a range of posterior values for all quantities of interest. While this approach connects with imprecise probabilities à la Walley (?) and links with robust Bayesian studies of the 1980’s, I always have difficulties with the global setting of such models, which do not come under criticism while being inadequate. (Of course, there are many more things I do not understand in econometrics!)

Assistant Professor position @ WU

Posted in Mountains, Statistics, Travel, University life, Wines with tags , , , , , , , on August 15, 2016 by xi'an

wien2There is an opening for an assistant professor non-tenure position in Vienna, WU, in Sylvia Früwirth-Schnatter’s group. With deadline September 7, 2016. The requested profile is

– PhD in applied mathematics or in statistics with a strong mathematical background
– Enthusiastic interest in research in Bayesian statistics, exemplified through publications in international journals in topics including, but not limited to, Bayesian non-parametric methods, Bayesian inference for high-dimensional and complex data, Bayesian time series analysis and state space modelling, efficient Markov chain Monte Carlo methods
– Interest in applications in economics, finance, and business
– Excellent programming skills (e.g. in R or Matlab)
– German language skills are not a prerequisite

Here are the details for those interested in this exciting opportunity!

SADA’16

Posted in pictures, Statistics, Travel, University life with tags , , , , , , , , , , , , on April 28, 2016 by xi'an

delayed & robbed in London [CFE-CMStatistics 2015]

Posted in Kids, pictures, Statistics, Travel, University life, Wines with tags , , , , , , , , , , , , , , on December 26, 2015 by xi'an

London by Delta, Dec. 14, 2011Last Sunday, I gave a talk on delayed acceptance at the 9th International Conference on Computational and Financial Econometrics (CFE 2015), joint with CMStatistics 2015, in London. This was a worthwhile session, with other talks by Matias Quiroz, on subsampling strategies for large data, David Frazier, on our joint paper about the consistency of ABC algorithms, and James Ridgway not on Pima Indians! And with a good-sized audience especially when considering the number of parallel sessions (36!). Earlier that day, I also attended an equally interesting session on the calibration of misspecified Bayesian models including talks by Peter Green [with a potential answer to the difficulty of parameters on the boundaries by adding orthogonal priors on those boundaries] and Julien Stoehr. calibrating composite likelihoods on Gaussian random fields. In the evening I went to a pub I had last visited when my late friend Costas Goutis was still at UCL and later enjoyed a fiery hot rogan josh.

While I could have attended two more sessions the next morning, I took advantage of the nice café in the Gower Street Waterstones to work a few hours with co-authors (and drink a few litres of tea from real teapots). Despite this quite nice overall experience, the 36 parallel session and the 1600 plus attendants at the conference still make wonder at the appeal of such a large conference and at the pertinence of giving a talk in parallel with so many other talks. And on about all aspects of statistics and econometrics. One JSM (or one NIPS) is more than enough! And given that many people only came for delivering their talk, there is very little networking between research teams or mentoring of younger colleagues, as far as I can tell. And no connection with a statistical society (it would be so nice if the RSS annual conference could only attract 1600 people!). Only a “CMStatistics working group” of which I discovered I was listed as a member [and asked for removal, so far with no answer]. Whose goals and actions are unclear, except to support Elsevier journals with special issues apparently constructed on the same pattern as this conference was organised, i.e., by asking people to take care [for free!] of gathering authors on a theme of their choice. And behind this “working group” an equally nebulous structure called ERCIM

While the “robbed” in the title could be interpreted as wondering at the reason for paying such high registration fees (£250 for very early birds), I actually got robbed of my bicycle while away at the conference. Second bike stolen within a calendar year, quite an achievement! This was an old 1990 mountain bike I had bought in Cornell and carried back to France, in such a poor state that I could not imagine anyone stealing it. Wrong prior, obviously.