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Francis Diebold
Father, Blogger, Professor
Father, Blogger, Professor

Francis's posts

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Econometrics, Predictive Modeling, and Causal Estimation
Here are the slides, "Econometrics, Predictive Modeling, and Causal Estimation" , from my talk at the recent conference in honor of Kajal Lahiri 's 70th. They build on an earlier No Hesitations post .

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Time-Series Forecasts (and Forecast Combinations) at Google
Check out this piece on automated forecasting within Google .  It's a fun and quick read. Several aspects are noteworthy.   On the upside: -- Forecast combination features prominently -- they combine forecasts from an ensemble of models.   -- They attempt t...

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On the Inefficiency of Pseudo Out-of-Sample Model Selection
Great to see that Hirano and Wright (HW), "Forecasting with Model Uncertainty", finally came out in Econometrica . (Ungated working paper version here .) HW make two key contributions. First, they characterize rigorously the source of the inefficiency in fo...

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BIg Data, Machine Learning, and he Macroeconomy
Coming soon at Bank of Norway: CALL FOR PAPERS  Big data, machine learning and the macroeconomy  Norges Bank, Oslo, 2-3 October 2017  Data, in both structured and unstructured form, are becoming easily available on an ever
increasing scale. To find patterns...

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13th Annual Real-Time Conference
Great news: The Bank of Spain will sponsor the 13th annual conference on real-time data analysis, methods, and applications in macroeconomics and finance, next October 19th and 20th , 2017, in its central headquarters in Madrid, c/ Alcalá, 48. The real-tim...

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The Latest on the "File Drawer Problem"
The term "file drawer problem" was coined long ago.  It refers to the bias in published empirical studies toward "large", or "significant", or "good" estimates.  That is, "small"/"insignificant"/"bad" estimates remain unpublished, in file drawers (or, in mo...

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Text as Data
"Text as data" is a vibrant and by now well-established field. (Just Google "text as data".) For an informative overview geared toward econometricians, see the new paper,  " Text as Data"  by Matthew Gentzkow, Bryan T. Kelly, and Matt Taddy  (GKT).  (Ungate...

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Forecasting and "As-If" Discounting
Check out the fascinating and creative new paper, " Myopia and Discounting ", by Xavier Gabaix and David Laibson. From their abstract (slightly edited): We assume that perfectly patient agents estimate the value of future events by generating noisy, unbiase...

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ML and Metrics VIII: The New Predictive Econometric Modeling
[Click on "Machine Learning" at right for earlier "Machine Learning and Econometrics" posts.] We econometricians need -- and have always had -- cross section and time series ("micro econometrics" and "macro/financial econometrics"), causal estimation and pr...

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ML and Metrics VII: Cross-Section Non-Linearities
[Click on "Machine Learning" at right for earlier "Machine Learning and Econometrics" posts.] Th e predictive modeling perspective needs not only to be  respected and  embraced in econometrics (as it routinely is , notwithstanding the Angrist-Pischke revisi...
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