Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models ift.tt/S0eoyaV #econometrics #timeseries

Hi #EconTwitter! I couldn't be happier. "Bridging Factor and Sparse Models," co-authored with Jianqing Fan and Ricardo Masini, is now officially forthcoming in the Annals of Statistics. Link for the paper: arxiv.org/abs/2102.11341 #factor #sparsity #econometrics #machinelearning

Hi #EconTwitter! My compilation of #Econometrics-related books & notes is now live! Explore if you need: General Econometrics 📊 Time Series Analysis ⏰ Causal Inference 🔍 Financial Econometrics 💰 Stats, Prob & Machine Learning 🧠 Coding 💻 Comments/suggestions welcome!

Trending in #Economics: ooir.org/index.php?fiel… 1) Appropriate level of clustering in linear regression models (Journal of Econometrics) 2) The inequality impact of consumption tax (Journal of Public Economics) 3) What’s trending in difference-in-differences? 4) Sharpe Ratio analysis in high dimensions

Hi #EconTwitter! Looking forward to the fifth edition of the International Workshop in Financial Econometrics (#IWiFE). Fantastic program in a paradise (Santo André, Bahia). Registration is now open! Check the link: sites.google.com/view/iwife2023… #econometrics

Hi #EconTwitter! The deadline to register for the Fifth International Workshop in Financial Econometrics is August 1st. Last chance to learn the most recent advances in the area. The updated program is available a sites.google.com/view/iwife2023…

Hi #EconTwitter! 𝐉𝐢𝐦 𝐇𝐚𝐦𝐢𝐥𝐭𝐨𝐧 (UCSDEcon) is doing some cool #econometrics work on 𝐩𝐫𝐢𝐧𝐜𝐢𝐩𝐚𝐥 𝐜𝐨𝐦𝐩𝐨𝐧𝐞𝐧𝐭 𝐚𝐧𝐚𝐥𝐲𝐬𝐢𝐬 for stationarity & non-stationary time series! For those interested in measuring common cycles in large dim data, check it out!👇

I've put my lecture notes from my Fall 2022 Quantum Computation course online. math.mit.edu/~shor/435-LN/ I don't guarantee that there aren't any mistakes left in them, although I've tried to eradicate them all. If you find any, feel free to email me.

Time series is the new black? Danish top statistician & climate change scientist finds unacceptable that climate risks are mainly assessed by economists (who know pretty nothing about time series). Maybe it's time that time series gets seriously back into economics curricula?

Hi #EconTwitter! Familiar with 𝐫𝐞𝐠𝐫𝐞𝐬𝐬𝐢𝐨𝐧 and 𝐎𝐋𝐒?😝 If so, check out this paper by Anna Mikusheva (MIT Economics) & Mikkel Sølvsten (Aarhus Universitet). It shows that under weak exogeneity, OLS estimates can be biased if you have many regressors. Solutions provided! Cool👇

Hi #EconTwitter! Interested in the applications of #MachineLearning to #Econometrics? As of today, this book appears to be one of the most compelling collections of scientific works on the topic.⭐️ If you haven't yet, check it out! 👇 link.springer.com/book/10.1007/9…

Hi #EconTwitter! Looking for a short survey on #econometrics & #MachineLearning for forecasting in #economics?📈 Check out this brand new, focused work by Ghysels, Babii (UNC Economics) & @striaukas (Copenhagen Business School). It covers nowcasting, textual data, classification and much more!👇

Hi #EconTwitter! Interested in #MachineLearning methods for macroeconomic 𝗳𝗼𝗿𝗲𝗰𝗮𝘀𝘁𝗶𝗻𝗴? Check out this brand new #econometrics paper where Gilberto Boaretto (PUC-RIO) & Marcelo C. Medeiros (University of Illinois) focus on aggregating disaggregated forecasts. Cool stuff!

Lots of career advice going around for young academics. Here is mine: kindness should not be conditional, just be nice to everyone since science and life are team games. And, once you “make it” never forget that status confers the privilege, and duty, to help others.

Hi #EconTwitter! Looking for a (free) book on linear algebra, covering almost all you need for your #econometrics? This (781 pp.) amazing book by Jean Gallier & Jocelyn Quaintance (Penn), primarly designed for #machinelearning applications, nicely covers all the classic

Hi #EconTwitter! 📊 How can we perform policy evaluation in the absence of a control group? Check out this brand new #econometrics paper by Irene Botosaru, Raffaella Giacomini & Martin Weidner - they highlight the power of forecasting counterfactuals and introduce the novel

Hi #EconTwitter! Using 𝐝𝐢𝐟𝐟𝐞𝐫𝐞𝐧𝐜𝐞-𝐢𝐧-𝐝𝐢𝐟𝐟𝐞𝐫𝐞𝐧𝐜𝐞𝐬 methods for 𝐜𝐚𝐮𝐬𝐚𝐥 𝐢𝐧𝐟𝐞𝐫𝐞𝐧𝐜𝐞? Worrying about the (in)famous 𝐩𝐚𝐫𝐚𝐥𝐥𝐞𝐥 𝐭𝐫𝐞𝐧𝐝𝐬 assumption? Then, you should check out this amazing #econometrics paper by Dalia Ghanem, Pedro H. C. Sant'Anna

Hi #EconTwitter! 🌐 Looking for one of the best #econometrics conferences in 2024? Check out the SOFIE 2024 Conference! As the premier event of the Society for Financial Econometrics, expect groundbreaking #econometrics papers and presentations from leaders in the field.

Hi #EconTwitter! The Annual Conference of The Society for Financial Econometrics submission deadline is approaching! Submit your paper before Jan 26! stern.nyu.edu/sites/default/… #finance #econometrics #financialeconometrics