The Effect [book review]
While it sounds like the title of a science-fiction catastrophe novel or of a (of course) convoluted nouveau roman, this book by Nick Huntington-Klein is a massive initiation to econometrics...continue reading.
Category: Econometrics
Improve General Regression Neural Network by Monotonic Binning
A major criticism on the binning algorithm as well as on the WoE transformation is that the use of binned predictors will decrease the model predictive power due to the...continue reading.
GRNN with Small Samples
After a bank launches a new product or acquires a new portfolio, the risk modeling team would often be faced with a challenge of how to estimate the corresponding performance,...continue reading.
GRNN vs. GAM
In practice, GRNN is very similar to GAM (Generalized Additive Models) in the sense that they both shared the flexibility of approximating non-linear functions. In the example below, both GRNN...continue reading.
BayesCamp prize 2019
Each year at the International Workshop on Computational Economics and Econometrics, I award a BayesCamp prize for the talk with … Morecontinue reading.
Call for papers: spatial analysis, agent-based models … Rome, July
I am a co-organiser of the International Workshop on Computational Economics and Econometrics, taking place this year on 3-5 July … Morecontinue reading.
Co-integration and Mean Reverting Portfolio
In the previous post https://statcompute.wordpress.com/2018/07/29/co-integration-and-pairs-trading, it was shown how to identify two co-integrated stocks in the pair trade. In the example below, I will show how to form a mean...continue reading.
A one-day course in using Stata and R together
I am going to be giving this course on 17 August this year. It is organised by my company BayesCamp … Morecontinue reading.
Model Non-Negative Numeric Outcomes with Zeros
As mentioned in the previous post (https://statcompute.wordpress.com/2017/06/29/model-operational-loss-directly-with-tweedie-glm/), we often need to model non-negative numeric outcomes with zeros in the operational loss model development. Tweedie GLM provides a convenient interface to...continue reading.
Finer Monotonic Binning Based on Isotonic Regression
In my early post (https://statcompute.wordpress.com/2017/01/22/monotonic-binning-with-smbinning-package/), I wrote a monobin() function based on the smbinning package by Herman Jopia to improve the monotonic binning algorithm. The function works well and provides...continue reading.
Estimate Regression with (Type-I) Pareto Response
The Type-I Pareto distribution has a probability function shown as below f(y; a, k) = k * (a ^ k) / (y ^ (k + 1)) In the formulation, the...continue reading.
Fixed Effects, Random Effects, and First Differencing
I came across a stackoverflow post the other day touching on first differencing and decided to write a quick review of the topic as well as related random effects and...continue reading.
So you want to be a data scientist
From HuffingtonPostThe New York Times made it look so easy. Take a few courses in data science and a web-based startup will readily pay top dollars for your newly acquired skills.Since the McKinsey...continue reading.
Exploring P-values with Simulations in R
The recent flare-up in discussions on p-values inspired me to conduct a brief simulation study. In particularly, I wanted to illustrate just how p-values vary with different effect and sample sizes. Here are...continue reading.
More Flexible Approaches to Model Frequency
(The post below is motivated by my friend Matt Flynn https://www.linkedin.com/in/matthew-flynn-1b443b11) In the context of operational loss forecast models, the standard Poisson regression is the most popular way to model...continue reading.
Getting Started with Data Science: Storytelling with Data
Earlier this month, IBM Press and Pearson have published my book titled: Getting Started with Data Science: Making Sense of Data with Analytics. You can download sample pages, including a...continue reading.
Not so sweet sixteen!
In the world of big data and real-time analytics, Microsoft users are still living with the constraints of the bygone days of little data and basic numeracy.If you happen to...continue reading.
Curious about big data in Montreal?
Are you in Montreal and curious about big data? Well here is your chance to attend a session about the same at Concordia University on Tuesday, Nov. 03 at 6:00...continue reading.
Why I use Panel/Multilevel Methods
I don’t understand why any researcher would choose not to use panel/multilevel methods on panel/hierarchical data. Let’s take the following linear regression as an example: , where is a random...continue reading.
Granger Causality Test
# READ QUARTERLY DATA FROM CSV library(zoo) ts1 <- read.zoo(‘Documents/data/macros.csv’, header = T, sep = ",", FUN = as.yearqtr) # CONVERT THE DATA TO STATIONARY TIME SERIES ts1$hpi_rate <- log(ts1$hpi...continue reading.
