Epanechnikov

Cheers treblekicker!

Who does TS at unc-ch?

Double post Sorry - Please delete

According to Repec these are the top schools for Time Series 1 Department of Economics, University of California-San Diego (UCSD), La Jolla 2 Stern School of Business, New York University, New York City 3 Center for Research in Econometric Analysis of Time Series (CREATES), Aarhus Universitet, Aarhus 4 Cowles Foundation for Research in Economics, Yale University, New Haven (5) Finance Department, Stern School of Business, New York University, New York City 5 Faculteit der Economische Wetenschappen en Bedrijfskunde, Vrije Universiteit, Amsterdam 6 Faculty of Economics, University of Cambridge, Cambridge 7 Department of Economics, Harvard University, Cambridge 8 Department of Economics, Duke University, Durham 9 Department of Economics, New York University, New York City 10 Department of Economics, Princeton University, Princeton Field Rankings at IDEAS: Econometric Time Series Which other schools are particularly strong in TS analysis (who is hired there)?

To which assumptions do you refer to? Normality? Linearity? Known parametric distribution? You can rest sure that econometrics (or statistics) are not necessarily linear, normal, parametric and frequentistic.

I generally agree with you but I however feel obliged to note that the scientific process does not necessarily follow this path. More often than not, (2) precedes (or should precede) (1). The best way to point inefficiencies (given the frequently counterintuitive nature of economics) is to test all falsifiable assumptions. Concerning (3) I should note that the new model does not necessarily need to be an upgrade of the old one. It can be (or should better be) a pioneer way to view the world, a view from a completely different perspective. Correct me if I am wrong, but I feel that we sometimes oversimplify not for the sake of intuition but for the sake of the closeness of our solution. We feel more obliged to produce simple formulas (so as to look alike the physical scientists?) than to provide a better fit to the reality.

"people act as if the would solve such problems" I can definitely say that this is an unrealistic assumption. See for example Hyperbolic discounting. How can an individual solve his utility maximization problem if he prefers smaller amounts of utility (or cash) now rather than bigger amounts at a later point of time?

DON'T VISIT THE ABOVE SITE. IT IS AN ATTACK SITE!!!!

"Economics is all about giving you tools to gain insight into complicated problems - but all anybody seems to want is the answers, they don't want to understand what's going on or why. And so they complain that economics can't answer unanswerable questions." That is a very good point.

"My failure led me to think about economists, as opposed to economics, and they’re much easier to figure out. This is how it works. An economist starts with a few axioms, ones that bear a vague similarity to a small part of the human condition under restricted situations and in an idealized world. (You get my drift here?) From those axioms follows a theorem. More often than not this will be a theorem based upon rational behaviour. That theorem gets a name. And that’s the point I identify as being the problem: The jargonizing of complex ideas based upon irrelevant assumptions into an easily used and abused building block on which to build the edifice of nonsense that is modern economics. Small assumption by small assumption, the economist builds up his theories into useless gibberish. By acceptance of each step he is able to kid himself he is making progress. And that’s why I struggle with economics. It is not mathematics where, barring mistakes, each step is true and indisputable and therefore you can accept it, even forget it, and move on. And others can do the same, using everyone else’s results without question. This you cannot do in a soft science. I’ve mentioned this in another blog, beware of anyone talking about ‘results’ in finance or economics, it says more about them and their perception of the world than it does about the subject." Paul Wilmott's Blog: Economics Makes My Brain Hurt

"Hence, these programs have been much more rigorous than any US undergraduate or even terminal master program" I don't understand your reasoning. The fact the everybody used to get a master's in Germany implies the opposite. The master's selection process works out as a filter. Removing the filter imposes the free flow of some problematic subjects. Furthermore a bad master's is not much more rigorous than all good undergraduate degrees!!

"In my opinion for a student entering the graduate school the following few things matter: --the level and rigour of the coursework --intellectual environment --access to the professor --training for publishing research and access to other research networks outside the parent country of the institution" I agree with you. From what I've heard German schools are particularly bad in most of the above (the coursework lasts only 6 months in some schools and it is not that rigorous, Professors are not only inaccessible but also unwilling to supervise!, most schools are intellectually isolated - no common workshops, seminars etc with other universities- and there very limited inter-departmental synergies eg. economics & maths/computer science/psychology/neuro-science departments etc.) On the other side, Dutch (and to some extend Spanish) schools seem to be good in most of the above!

"There are also Klonner (Heidelberg -> Cornell) and Hoderlein ( Mannheim -> Brown), however, they did not get there immideately after they got their PhDs." Clive Granger Nottingham->UCSD-> Nobel :D "I think that in terms of placements Bonn, Toulouse, and the top Spanish schools are pretty much at the same level (but behind LSE)." I don't know how good European schools are in terms of placements. In terms of research output, however, German schools are far behind! e.g. http://www.core.ucl.ac.be/econometrics/Bauwens/Rankings/EuropeanRanking.pdf

For such a huge country, having only one economic department in the top 100 is not a success...

I personally think that there are not any decent economic programmes in Germany.

No my last comment was not meant to be rude at all. As I said, I had difficulties finding good economics departments for time series econometrics and was wondering whether you have some info for me. So you've heard that people at Oxbridge are not treated well. That is a bit worrying since that I am considering Cambridge.... Can anybody name some student friendly departments, preferably good for econometrics? :)

I can not understand why your professors discouraged you. Both universities (Cam and Ox) have got excellent econometrics researchers (Harvey, Perasan, Shephard etc.). I am personally interested in statistics and especially in TS and could not find many schools specializing on my areas of interest. The only US schools I have in mind are Yale (Phillips and others), Princeton (due to J.Fan), Stanford (due to Hansen), Wisconin (due to Bruce Hansen), UCSD and Duke (Bollerslev and others)! You would really help me if you could name some more! What are your professors' field of specialization? Where did you do your undergraduate studies? Could you also let me know who does econometrics at Virginia?

Very few (Economic) schools in the US do serious TS Econometrics research. For somebody interested in this area, Oxbridge and LSE excellent choices. Dutch schools (2*T) are also good but their mother universities lack reputation.

Have you studied at Oxford?

Go to Tilburg.

Oxford for sure

Not at all.

I agree. LSE has a much stronger brand-name in Europe than Northwestern.

Studying at WVU would give a very bad signal to your future employers