Category: Econometrics

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.


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.

Model Non-Negative Numeric Outcomes with Zeros

As mentioned in the previous post (, 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.

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.

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.

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.