The Zellner Thesis Award in Business and Economic Statistics

We analyze the modifications that occur in indirect inference when a nuisance parameter is not identified under the null hypothesis. We develop a testing procedure adapted to this simulation-based estimation method, and detail its use for detecting the threshold effect in threshold moving average models with contemporaneous and lagged asymmetries. In contrast to existing threshold models, these models allow taking into account the presence of asymmetric effects of current and lagged random shocks. We use them to measure the persistence of shocks to U.S. output.     

作为科学家的统计学家:来自费歇尔和博克斯的启示

数据科学时代要求统计学家需具有与之相适应的心智结构和知识技能组合,但无论统计学家还是数据科学家,他们的首要特点是科学家。如何成为统计领域或者数据科学领域的科学家,可以从统计学家中最为杰出的科学家那里寻找榜样,他们将成为统计学科的英雄人物和学科传奇的一部分,为统计专业教育和统计品牌建设提供思想资源。费歇尔和博克斯为统计学家提供了一个身兼五职的科学家形象,即应用统计学家、数理统计学家、数据分析者、设计者和营销专家的组合,他们的生平和思想对于统计学科建设和专业教育工作都具有益的启发。     

Building Bridges: The Role of an Undergraduate Mentor

I share some advice and lessons that I have learned from working with many wonderful students and colleagues, in my role as Undergraduate Chair of Statistics at Purdue University since 2008. I also reflect on developing, implementing, and sustaining a new living, learning community environment for statistics students.     

The Role of the Statistician: Scientist or Shoe Clerk

A carnival game is described in which a player rolls eight dice or eight marbles into holes. To win, the player must obtain a favorable outcome on a number of plays. The probability distribution for the outcome of a single play is discussed. The distribution of a winning combination of outcomes is discussed and approximated. These probabilities show that the game is essentially unbeatable.     

Multidimensional Poverty: Measurement,Estimation, and Inference

Calibration in macroeconomics involves choosing fre parameters by matching certain moments of simulted models with those of data. We formally examine this method by treating the process of calibration as an econometric estimator. A numerical version of the Mehra-Prescott (1985) economy is the setting for an evaluation of calibration estimators via Monte Carlo methods. While these estimators sometimes have reasonable finite-sample properties they are not robust to mistakes in setting non-free parameters. In contrast, generalized method-of-moments (GMM) estimators have satisfactory finite-sample characteristics, quick convergence, and informational requirements less stringent than those of calibration estimators. In dynamic equilibrium models in which GMM is infeasible we offer some suggestions for improving estimates based on calibration methodology.     

Temporal Disaggregation: Methods,Information Loss,and Diagnostics

This research provides a generalized framework to disaggregate lower-frequency time series and evaluate the disaggregation performance. The proposed framework combines two models in separate stages: a linear regression model to exploit related independent variables in the first stage and a state–space model to disaggregate the residual from the regression in the second stage. For the purpose of providing a set of practical criteria for assessing the disaggregation performance, we measure the information loss that occurs during temporal aggregation while examining what effects take place when aggregating data. To validate the proposed framework, we implement Monte Carlo simulations and provide two empirical studies. Supplementary materials for this article are available online.