# 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.

## Stata embraces Bayesian statistics

Stata 14 has just been released. The new and big thing with version 14 is the introduction of Bayesian Statistics. A wide variety of new models can now be estimated...continue reading.