Week 1 of Econometrics Office Hours went well. Thanks to everyone who signed up or asked questions! Sessions continue next week, same time. Sign up at donskerclass.github.io/OfficeHours.ht… or by form at forms.gle/d9HzmFobQhvz5W…

Thanks to participants in week 2! From next week I am opening up the video link. Please still send questions in advance via email or form if you want a considered response. donskerclass.github.io/OfficeHours.ht… x.com/DonskerClass/s…

"I have thousands of variables in my dataset, is causal discovery even feasible?" The art of focusing on what's relevant. 🧵 1/n #causality #causaltwitter #machinelearning

Computing pseudospectra today with pseudospectral methods. (These are near identically named concepts which are essentially unrelated.)

מגניב. אנחנו כבר לוקחים את שיחות הוידאו כמובנות מאליהן ולא ממש נהנים מהן כתחליף לאינטראקציה רגילה, אבל הטכנולוגיה הזו פתחה אפשרויות שלא ניתן היה לדמיין בעבר. x.com/DonskerClass/s…

The Double Pareto Log Normal distribution is commonly used for modeling economic inequality, but is hard to fit. I tried variational Parallel Tempering in Pigeons.jl and it seems to work well, so I'm sharing my tiny code exercises. github.com/donskerclass/P…

Office hours this week are moved to 9:00-11:00AM Eastern US due to scheduling. Potentially an opportunity for those in time zones where regular hours were inconvenient. Sign up: forms.gle/yhjPrQRNhpSAdh…

New paper! arxiv.org/abs/2405.08675 tldr: automatic differentiation can be used to derive efficient influence functions and construct efficient estimators.

I'll be in NYC tomorrow, then New Haven for ACM SIGecom #EC24 all next week, presenting at the Computational Methods for Economic Dynamics workshop. This is a new community for me, so I'm expecting to learn a lot. sites.google.com/g.harvard.edu/…

I had a good time at ACM SIGecom Economics and Computation #EC24 and apparently took ~25 pages of notes. Something to come back to after processing what I learned. donskerclass.github.io/misc/ACMECtalk…