This is the second post of the series about GMM, short for Generalized Method of Moments in Econometrics and Statistics. Interested audience are welcomed to review my last post Generalized Method of Moments (GMM) in R (Part 2 of 3) for the basic ideas of GMM and the application using R package gmm. In the last post, it is illustrated that OLS estimator is just GMM estimator, so exactly the same point estimates of OLS as those of GMM can be observed for the same set of data under the case of linear regression. However, the computed standard errors for…

Source: https://i.ytimg.com/vi/bNWhsHug1rc/maxresdefault.jpg and https://youtu.be/bNWhsHug1rc

In this post basic concepts of Generalized Method of Moments (GMM) are introduced and the applications in R are also discussed. Interested audience can also refer to the video uploaded by Morten Nyboe Tabor. Well, the first stuff to be clarified is that GMM here is the abbreviation for Generalized Method of Moments in Econometrics but NOT Gaussian Mixture Modeling in machine learning. Even though machine learning and furthermore deep learning are also the hot and popular topics in Economics and business schools, traditional theory-driven empirical thoughts are still the central parts of courses. During my teaching tour in the…

In this post I will illustrate the somewhat subtle issue about allowing for the multi-threads of Xgboost within Conda environments under MacOS. Since the birth of evolutionary paper written by Chen, Tianqi, and Carlos Guestrin (2016), XGBoost has been drawing attention and is increasingly popular in academic researched, industrial applications, and main competitions, like Kaggle. It is highly recommended to read through its home page about the basic ideas, and one can find its advantages over other ensemble learning algorithms. Generally speaking, different from the traditional popular random forests generating the averaged scores from the independent trees growing from random…

(The plan for the setups of Sublime Text is deferred, since ST4 is just available recently. Actually I just tried it when it was open to download. However, the key plugin LSP will be substantially upgraded in near future, so maybe I can just wait for it and check it out. Some days ago, I also raised the discussion here, audience who is interested in can also check it. On the other hand, the preliminary setup files can be found here.)

In this post environment setups for data scientists under Garuda Linux will be introduced. The first reason to talk…

This is my FIRST blog after graduation, so just use one of my favorite photos taken in my tour to Kirishima-shi in 2019 to label it. “Life was like a box of chocolates, you never know what you’re gonna get.” Exactly it describes my past experience. I was fascinated by Economics and game theory when I was an undergraduate, but I determined to pursue the PhD degree in Marketing in business school. When I tried preparing the career in academics, I fell in love with Micro-econometrics and machine learning and made up my mind to explore the interaction between business…

Alfred F. SAM

Data Scientist in MassMutual and part-time lecturer in Econometrics and Applied Predictive Modeling.

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