Bruce Hansen
@BruceEHansen
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Professor of Economics at University of Wisconsin, econometrician
Madison, Wisconsin
Joined April 2013
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If you are teaching grad econometrics in the spring, consider using Econometrics.
#EconTwitter
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If you are looking for a holiday present (or two) for someone special....!
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If you are teaching graduate level Econometrics coming year, my new twin textbooks are now available on Kindle. Print copies are scheduled to be ready Aug 16 & 23. The Kindle version can be read on most devices, including phones, and PCs!
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Wow, the U.S. Supreme Court has become radical activist. Sad.
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A beautiful bald eagle just flew by my office window, about 20 meters out. Now I need to go give a lecture on Lasso convergence rates.
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@CavaliereGiu
@jmwooldridge
Causality is reversed. I put it in my textbook first, and only afterwards wrote it as a separate paper
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This morning, the Interactions Conference kicks off at UW in Madison, after a multi-year covid pause. We are excited to host a stellar group of both junior and senior scholars at the nexus of applied and methodological econometrics.
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I have reached a new threshold with 10,000+ followers! Thanks for listening!
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@jmwooldridge
Jeff, over the past two months I've had a continuing conversation with Steve Portnoy. He is written a follow-up paper exploring conditions under which unbiased must be linear. At first he thought it obvious, but his proof is advanced, and has conditions
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@jmwooldridge
Two suggested rules for
@jmwooldridge
: (1) Never write simulation code in the evenings; (2) Never write simulation code in Stata
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@jmwooldridge
Three comments: (1) Report p-values, not "significant at the 5% level", as the p-value has more information. (2) Indeed, the 5% threshold has no scientific basis; it is a rule-of-thumb. (3) Researchers should use judgment when evaluating statistical tests, not just rote rules
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@lihua_lei_stat
Lihua, you have no need to apologize, not for an unsubmitted draft, and not to an unhinged rant! I am amused that the exchange has produced a new term: "purported Twitter-proof"
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@jmwooldridge
@stelifanie
The name "tobit" is typically credited to Art Goldberger. Jim Tobin just invented the model and estimator.
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A JMP with an oracle inequality for multivariate dynamic quantile forecasting under misspecification!
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@MarkAhrens
They are aimed at PhD courses. Methods rather than programming is emphasized. Code and illustrations in Stata, R, and Matlab are included in the text
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@MonikaAvilaM
Everything in my textbook was done in Stata, and the code is posted. But frankly, Stata is not a good language for SVAR
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@dlmillimet
@stephenjwild
@SamuelPEngle
Dan, OLS is BUE, not just BLUE. See my paper in Econometrica last year.
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@jmwooldridge
This week there is an advertised job opening for UWisconsin football Head Coach. You could apply!
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@DiogoBMBraga
@causalinf
You can obtain examination copies from the publisher (Princeton University Press).
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@WhiteHouseCEA
Is there an economist in the house? Trend forecasting is dubious unless there is *structural* validity to the trend function. Indeed *within sample* a fitted trend can sometimes be a helpful visualization tool. Out-of-sample it is extremely dangerous.
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@jmwooldridge
Jeff, I've tried to be consistent, to clearly distinguish errors from residuals. But I've noticed that in common discourse, it is very hard for most people. Slippage is so common.
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@CavaliereGiu
@FrancisDiebold
@Penn
I used this for many years in mu undergraduate forecasting course!
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@jmwooldridge
@CavaliereGiu
@lihua_lei_stat
Jeff, yes, the original version assumed independent observations. A referee thought it'd be nice to extend to correlated errors, which I did in the revision , and now regret.
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@YujungHwang3
Legacy privilege is (unfortunately) not up for review in the Harvard/UNC court case, as it does not violate the law. Legacy admission completely skews Harvard admissions.
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@jmwooldridge
Jeff, uniform (flat) priors are not uninformative. To see this, note that a flat prior on theta and h(theta) field different posteriors, if h() is nonlinear
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@rkoenker
@dlmillimet
@stephenjwild
@SamuelPEngle
Roger, yes! One of my points (eliminated by the editor) was that my result demonstrates the essential nature of estimation bias
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@KhizarA24882520
There is a Kindle version available from Amazon, eBook from Google, Nook from Barnes and Noble.
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@maxhfarrell
Probably the correct ratio is 5x econometrics to P&S, but book 2 ran out of space
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@Andrew___Baker
@rlmcelreath
I have a short chapter on Bayesian methods in my Probability book
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@EliseMarifian
In general, referees are not paid. Neither Associate Editors. But some journals pay a small honorarium, or make a charity gift
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@Mylovanov
This is wonderful news for the rule of law. I doubt he will get jail time. I don't know what other options are available, but I think it would be great if he was sentenced to a hefty fine plus community service.
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@CavaliereGiu
@RobTaylorEctrx
@JEconometrics
I seem to recall that your paper used some interesting tools!
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@paulgp
I've been wondering if I should use AI to write mine :) And I do have a few due shortly :(
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@pedrohcgs
@JEconometrics
@agoodmanbacon
Excellent! I was on the committee one year. It is a great accomplishment!
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@ArielKarlinsky
Ariel, thanks, I had not read the blog by Simonsohn, but I fully agree with it. Yes, it is not a new idea to recommend HC3/Jackknife, my paper simply adds to the theory
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@jmwooldridge
@JohnMullahy
After seeing the new football coach arriving via a private jet, I am going to make the case that visiting seminar speakers be given the same treatment
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@jmwooldridge
One way to generate an uninformative prior is to use Jeffries prior, which is proportional to the square root of p(1-p), if I remember correctly
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@CavaliereGiu
@econometricsoc
@jmwooldridge
@BOiPRINCETON
@lucafanelli5
@CMHafner
I don't believe I went to the 1997 meetings. 25 years!
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@adewed00
Yes, the book "Probability and Statistics for Economists" was written for a reader with no prior background in probability, statistics, or econometrics. The primary intended audience is first-semester PhD students in economics
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@CavaliereGiu
@JEconometrics
Congratulations! Unfortunately, the formerly annual dinner has been downgraded to a pre-dinner reception. Giuseppe is a Jolly Good Fellow!
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@babii_andrii
@PinkseJoris
It's relative. Subexponential is thicker than subgaussian, but thinner than a power law (like Pareto)
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@demasschuler
That is correct, by standard definitions. However, we could expand white noise to include all mean zero uncorrelated series, and then I believe mds is strictly nested
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@JohnMullahy
I'm currently reading a Steven King novel with about the same number of pages, so it's not too big. :)
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@realDonaldTrump
It is sad that an American president encourages insurrection and sedition. A sad, weak, egoist
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@edesouza15
@Alessia_metrics
It's not British vs American spelling. It's merely two co-existent customs.
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@causalinf
A t stat is a test of 0. Why is this interesting? You say you are interested in *strength*. Then plot the coefficients. This is where the economic meaning is
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@RobTaylorEctrx
@saigatx
@CavaliereGiu
@jmwooldridge
Portnoy's theorem holds in the case of unconstrained variance matrices
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@eddy_mac_3
@maxhfarrell
What I posted on my website is what I submitted to the publisher. Afterwards, the manuscript was thoroughly copyedited
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