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.

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.

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.

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.