WiSoFakultät_UniKöln📊 Turning data into business insights with analytics & AI.
🎓 Master Business Analytics & Econometrics (M.Sc.)
✨ Analytics, AI & machine learning
✨ Hands-on skills in R, Python & econometrics
✨ International career opportunities in data & consulting
Christian TestaI've been reading about missForest today
MissForest—non-parametric missing value imputation for mixed-type data
https://academic.oup.com/bioinformatics/article/28/1/112/219101
https://github.com/stekhoven/missForest
Runs much faster than `{mice}` in my experience, and I like the fewer parametric assumptions.
The above article on missForest is David Stekhoven and Peter Bühlmann's most cited article.
#DataScience #statistics #academia #econometrics #Epidemiology
bookandswordblogFun fact: the Europe, Australasia, and Far East index of stock markets includes precisely four Asian countries: Israel, Singapore, Hong Kong, and Japan. Those are the only countries with sufficiently large and stable stock markets that the economists at MSCI put them in the same category as Germany or New Zealand. #investing #econometrics
Tomasz WoźniakAlright! Today we premiered the logo of my subject Quantitative Methods 1. Ofc, it presents linear regression output. My question to you is: what's the applied problem we're talking about here? Can you guess?
Reproduction scripts: https://github.com/donotdespair/naklejki/tree/master/qm1
pennineMaximising the value of a portfolio. Using #Variance, CoVariance and Portfolio Variance. Briefly Variance is the deviation of a stock’s return with its own average returns, Co variance on the other hand is the variance of a stock’s return with respect to another stocks’ return. http://financemetrics.scienceontheweb.net/ Using #Matrix Algebra in a 5 Company Model. #economics #econometrics
I’ve been trying to read more carefully about instrumental variables and make up my mind about when IV arguments are scientifically convincing.
Here's a tension I keep running into:
Should the scientific question alone determine the causal parameter of interest?
Or is it legitimate for the target parameter to reflect an interplay between scientific interest and the identifying assumptions we actually find tenable?
IVs can be difficult to interpret when instruments are weak, who “compliers” are is opaque, exclusion restrictions are debatable, or linear models are used in settings where the true data-generating process may be nonlinear.
On the other hand, when an entire body of (aspirationally causal) literature rests on methods that try to close backdoor paths, IVs offer a genuinely different identification strategy. That seems valuable for evidence triangulation, even if IV analyses have their criticisms.
What do you think? Are you a big IV proponent? Are you an IV critic?
When do you find IV evidence persuasive?
Some literature I've been reading & re-reading:
https://pubmed.ncbi.nlm.nih.gov/16755261/
https://academic.oup.com/ije/article/47/4/1289/3095892
https://pmc.ncbi.nlm.nih.gov/articles/PMC4285626/
https://arxiv.org/abs/2402.09332
https://arxiv.org/abs/2402.05639
#CausalInference #InstrumentalVariables #Econometrics #Statistics #DataScience #HealthPolicy
Instruments for causal inference: an epidemiologist's dream? - PubMed
The use of instrumental variable (IV) methods is attractive because, even in the presence of unmeasured confounding, such methods may consistently estimate the average causal effect of an exposure on an outcome. However, for this consistent estimation to be achieved, several strong conditions must h …
GretlHi @geneshackman ,
#Gretl has a GUI (incl. an editor + terminal). You can steer gretl it via the GUI or via pure scripting.
Website: https://gretl.sourceforge.net/
Additional resources & links : https://github.com/gretl-project/material-on-gretl
Link to manual and references:
https://gretl.sourceforge.net/#man
Let us know if you need more information.
Dennis Alexis Valin DittrichIdentification and Semiparametric Estimation of Conditional Means from Aggregate Data
https://arxiv.org/pdf/2509.20194
Ecological inference is the challenge of estimating subgroup behavior using only aggregate data like geographic averages. This paper introduces a new semiparametric method using debiased #machineLearning to improve estimate accuracy. The approach formalizes identifying assumptions and uses many covariates to minimize statistical bias. Tools for sensitivity analysis and unit-level estimation ensure results remain #robust under varying conditions. Tests on voting and pollution data show this method outperforms traditional models in precision and speed.
#Rstats package: https://corymccartan.com/seine/
#ecologicalinference #machinelearning #statistics #econometrics
https://arxiv.org/pdf/2509.20194
Ecological inference is the challenge of estimating subgroup behavior using only aggregate data like geographic averages. This paper introduces a new semiparametric method using debiased #machineLearning to improve estimate accuracy. The approach formalizes identifying assumptions and uses many covariates to minimize statistical bias. Tools for sensitivity analysis and unit-level estimation ensure results remain #robust under varying conditions. Tests on voting and pollution data show this method outperforms traditional models in precision and speed.
#Rstats package: https://corymccartan.com/seine/
#ecologicalinference #machinelearning #statistics #econometrics
Manoel BittencourtWe updated our resources page w/ links to new datasets, extra Stata/R guides, the new booklet by John Cochrane on inflation, the reader’s guide to optimal monetary policy, Isaiah's thoughts on AI & econ research, etc. It's a public good. #data #macroeconomics #econometrics #development 👉https://heterogeneousagents.substack.com/p/resources-for-economists
Sci-books.comAnalysis of Financial Time Series 3rd Edition by Ruey S. Tsay (PDF)
Author: Ruey S. Tsay
File Type: PDF
Download at https://sci-books.com/analysis-of-financial-time-series-3rd-edition-0470414359/
#Econometrics, #RueyS.Tsay
Author: Ruey S. Tsay
File Type: PDF
Download at https://sci-books.com/analysis-of-financial-time-series-3rd-edition-0470414359/
#Econometrics, #RueyS.Tsay
