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Inflation indices are important inputs into measuring aggregate productivity and cost of living and conducting monetary and economic policy. We want to contribute to the science of inflation measurement based on quality-adjusted (hedonic) prices. The main challenges today are (1) the global trade environment (millions of products); (2) frequent price changes; (3) extremely high turnover for some products
Journal of Business & Economics Statistics2019
This paper investigates the large sample properties of the variance, weights, and risk of high-dimensional portfolios where the inverse of the covariance matrix of excess asset returns is estimated using a technique called nodewise regression. Nodewise regression provides a direct estimator for the inverse covariance matrix using the Least Absolute Shrinkage and Selection Operator (Lasso) of Tibshirani
We examine the impact of "big data" on firm performance in the context of forecast accuracy using proprietary retail sales data obtained from Amazon. We measure the accuracy of forecasts in two relevant dimensions: the number of products (N), and the number of time periods for which a product is available for sale (T). Theory suggests diminishing returns to larger N and T, with relative forecast errors
Games & Economic Behavior2018
We propose to smooth out the calibration score, which measures how good a forecaster is, by combining nearby forecasts. While regular calibration can be guaranteed only by randomized forecasting procedures, we show that smooth calibration can be guaranteed by deterministic procedures. As a consequence, it does not matter if the forecasts are leaked, i.e., made known in advance: smooth calibration can nevertheless
December 05, 2019Matt Taddy, the chief economist for Amazon’s North America Consumer organization, talks about his recent book, and explains why economists should consider pursuing a career at the company.