Large Vector Auto Regressions

One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine which variables and (their) lags are relevant, especially when there is a mixture of serial correlation (temporal dynamics), high dimensional (spatial) dependence structure and moderate sample size (relative to dimensionality and lags). To this end, an \textit{integrated} solution that addresses these three challenges simultaneously is appealing. We study the large vector auto regressions here with three types of estimates. We treat each variable's own lags different from other variables' lags, distinguish various lags over time, and is able to select the variables and lags simultaneously. We first show the consequences of using Lasso type estimate directly for time series without considering the temporal dependence. In contrast, our proposed method can still produce an estimate as efficient as an \textit{oracle} under such scenarios. The tuning parameters are chosen via a data driven "rolling scheme" method to optimize the forecasting performance. A macroeconomic and financial forecasting problem is considered to illustrate its superiority over existing estimators

Large Vector Auto Regressions

One popular approach for nonstructural economic and financial forecasting is to include a large number of economic and financial variables, which has been shown to lead to significant improvements for forecasting, for example, by the dynamic factor models. A challenging issue is to determine which variables and (their) lags are relevant, especially when there is a mixture of serial correlation (temporal dynamics), high dimensional (spatial) dependence structure and moderate sample size (relative to dimensionality and lags). To this end, an integrated solution that addresses these three challenges simultaneously is appealing. We study the large vector auto regressions here with three types of estimates. We treat each variable's own lags different from other variables' lags, distinguish various lags over time, and is able to select the variables and lags simultaneously. We first show the consequences of using Lasso type estimate directly for time series without considering the temporal dependence. In contrast, our proposed method can still produce an estimate as efficient as an oracle under such scenarios. The tuning parameters are chosen via a data driven "rolling scheme" method to optimize the forecasting performance. A macroeconomic and financial forecasting problem is considered to illustrate its superiority over existing estimators.Time Series, Vector Auto Regression, Regularization, Lasso, Group Lasso, Oracle estimator

Discovering information flow using a high dimensional conceptual space

This paper presents an informational inference mechanism realized via the use of a high dimensional conceptual space. More specifically, we claim to have operationalized important aspects of G?rdenforss recent three-level cognitive model. The connectionist level is primed with the Hyperspace Analogue to Language (HAL) algorithm which produces vector representations for use at the conceptual level. We show how inference at the symbolic level can be implemented by employing Barwise and Seligmans theory of information flow. This article also features heuristics for enhancing HAL-based representations via the use of quality properties, determining concept inclusion and computing concept composition. The worth of these heuristics in underpinning informational inference are demonstrated via a series of experiments. These experiments, though small in scale, show that informational inference proposed in this article has a very different character to the semantic associations produced by the Minkowski distance metric and concept similarity computed via the cosine coefficient. In short, informational inference generally uncovers concepts that are carried, or, in some cases, implied by another concept, (or combination of concepts)

Returns to Graduate and Professional Education: The Roles of Mathematical and Verbal Skills by Major

Students in majors with higher average quantitative GRE scores are less likely to attend graduate school while students in majors with higher average verbal GRE scores are more likely to attend graduate school.  This sorting effect means that students whose cognitive skills are associated with lower earnings at the bachelor’s level are the most likely to attend graduate school.  As a result, there is a substantial downward bias in estimated returns to graduate education.  Correcting for the sorting effect raises estimated annualized returns to a Master’s or doctoral degree from about 5% to 14.5% and 12.6% respectively.  Estimated returns to professional degrees rise from 14% to 20%.  These findings correspond to a large increase in relative earnings received by post graduate degree holders in the United States over the past 20 years.sorting; Phd degree; Master's degree; Professional degree; GRE; Returns; Graduate Education; verbal ability; mathematics ability

Non-Parametric Calibration of Probabilistic Regression

The task of calibration is to retrospectively adjust the outputs from a machine learning model to provide better probability estimates on the target variable. While calibration has been investigated thoroughly in classification, it has not yet been well-established for regression tasks. This paper considers the problem of calibrating a probabilistic regression model to improve the estimated probability densities over the real-valued targets. We propose to calibrate a regression model through the cumulative probability density, which can be derived from calibrating a multi-class classifier. We provide three non-parametric approaches to solve the problem, two of which provide empirical estimates and the third providing smooth density estimates. The proposed approaches are experimentally evaluated to show their ability to improve the performance of regression models on the predictive likelihood