The bootstrap is a convenient tool for calculating standard errors of the parameter estimates of complicated econometric models. Unfortunately, the fact that these models are complicated often makes the bootstrap extremely slow or even practically infeasible. This paper proposes an alternative...

Economics places a high premium on completeness of explanation. Typical general-equilibrium accounts of economic phenomena are preferred to partial equilibrium accounts on the ground that important interactions are necessarily omitted in the latter. A similar preference for microfoundational...

Econometricians tend to hold simultaneously two views in tension with each other: an apparent anti-realism that holds that all models are false and at best useful constructs or approximations to true models and an apparent realism that models are to be judged by their success at capturing an...

It is well-known that outliers exist in the type of multivariate data used by financial practitioners for portfolio construction and risk management. Typically, outliers are addressed prior to model fitting by applying some combination of trimming and/or Winsorization to each individual...

Estimation of empirical relationships is prone to bias. Economists have carefully identified and addressed sources of bias in structural and quasi-experimental approaches, but the randomized control trial (RCT) has only recently begun to receive such scrutiny. In this paper, we argue that...

This paper shows how a great philosopher, like Popper, can easily fall back to a common superstitious person. This paper also criticizes the general practice by statisticians to invent ad hoc method or manipulate data to suppress errors. Instead, this paper promotes the Xenophanes spirit of...

Despite growing interest in the use of complex models, such as machine learning (ML) models, for credit underwriting, ML models are difficult to interpret, and it is possible for them to learn relationships that yield de facto discrimination. How can we understand the behavior and potential...

The traditional CAPM beta is almost exclusively calculated over a return period that spans a window length of 60-months, at one-month return frequencies. It is one of the most utilized models in the asset management industry to assess systematic risk. Yet there is limited evidence to suggest...

Haavelmo's seminal 1943 paper is the first rigorous treatment of causality. In it, he distinguished the definition of causal parameters from their identification. He showed that causal parameters are de fined using hypothetical models that assign variation to some of the inputs determining...