2 votes

Predicting $x_t$ knowing something about $\Delta^2 x_t$

The first difference operator $\Delta$ is the difference between the identity $\mathbb I$ and the backshift operator $B$ given by $$(Bx)_t = x_{t-1};$$ that is, $$(\Delta x)_t = ((\mathbb I - B)x)_t = ...
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  • 287k
1 vote

Can I use non-stationary variables in forecasting problem

One big problem you face is the way that Cox PH models incorporate the effects of time-varying covariates. Those models assume that the current hazard of an event is related to the current covariate ...
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  • 62k
1 vote
Accepted

Best practice for Post-Double Selection LASSO (pdslasso)

Let me first briefly summarize the setting: We have a scalar treatment variable $D_i$, a grouping variable $Z_i$ (driver of heterogeneity) and high-dimensional controls $X_i$. $X_i$ can be high-...
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  • 123
1 vote
Accepted

If the variance of two variables are equal, then the covariance is the variance?

In short, no. Consider the counterexample that if two normal variables both have unit variance, their covariance could be zero. Alternatively, for geometric motivation, consider that two vectors can ...
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  • 3,341
1 vote

When to use fixed effects vs using cluster SEs?

@Kishore Gawande referenced the NBER working paper by Alberto Abadie, Susan Athey, Guido W. Imbens, and Jeffrey Wooldridge but I think it would be useful to repeat the key conclusions here as (per my ...
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  • 934

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