
Anna Mikusheva refines time-series econometrics tools to improve forecasting - user_235711
http://newsoffice.mit.edu/2015/timing-devices-anna-mikusheva-0813
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animefan
I did my PhD in econometrics. Reading this article, it looks like it was a
general interest article profiling a professor who just got tenure. So if
people are asking "how is this relevant to me", "how can I use this" or
"should I learn more", the answers are most likely "it's not", "you can't",
and "no". Not trying to be negative here, it's just that there are dozens of
people getting tenure in econometrics every year at a similar level, all
working on things that might seem to have some relevance to what HN readers
are working on. From a HN readers perspective, there is nothing unique or
special that I see here.

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Rainymood
Hi! I'm currently (next year) getting my Master's in econometrics. I got my
Bachelor Econometrics almost cum laude (7.95). My thesis was on using
computational linguistics (Latent Dirichlet Allocation) to extract information
from financial transcripts, which was cool. Do you feel like your PhD has been
'worth it'? I've been struggling with this question if I want to do a PhD. I
have always loved academia and learning new things but I dont see really
myself with a career in academia, maybe as a backup plan (how stupid that
might sound).

Sorry for bothering you!

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animefan
I think the most important test is "do you care deeply about or are fascinated
by the subject in question". If the answer is yes, then a PhD is not a bad
idea (conditional on ok job prospects, inside or outside academia). A PhD will
almost never be a better decision than a Masters degree from a financial
perspective. But it can result in a _different_ and perhaps more interesting
career even in industry.

If you are considering economics, one thing you have to understand is that
econometrics is _very_ oriented towards economics, and if you are more
interested in statistics per se, you would probably be better off in a stats
program. There is very little machine learning in econometrics even today.

~~~
Rainymood
Thanks for taking the time to reply back, I really appreciate it.

Would you recommend working hard as hell and focus on getting my Master's cum
laude, or get in some work experience on the side?

How long did your PhD take? I recently talked with an actuary PhD graduate and
he did his in 3 yrs in The Netherlands, I also spoke to a graduate who did his
at Cornell in 5 yrs.

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grayclhn
The lecture notes for Mikusheva's graduate time series class are available
through OCW: [http://ocw.mit.edu/courses/economics/14-384-time-series-
anal...](http://ocw.mit.edu/courses/economics/14-384-time-series-analysis-
fall-2013/)

The math behind her research is a bit daunting...the course notes aren't
trivial, but there's more intuition presented there than if you try to dive
into her publications.

addendum: just to add ---- the course notes give a pretty good picture of the
background knowledge necessary to be a time-series econometrician. If you're
interested in the subject, check them out.

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sun_n_surf
Time series econometrics on HN? Wow. I have a PhD in Econometrics too. I have
met her at seminars and she is a wonderful lady with some good quality
publications. But this is a fluff piece and she doesn't have any seminal
contributions to the field. I wonder if PCB Phillips has ever made an
appearance on HN.

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baldeagle
Here is a link to her MIT page that contains here papers. I tried skimming
one, but couldn't follow it; however, Based in the article I'm more interested
in econometrics and might pursue that study further.

[http://economics.mit.edu/faculty/amikushe/papers](http://economics.mit.edu/faculty/amikushe/papers)

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grayclhn
Her time series course notes are [relatively] more accessible:
[http://ocw.mit.edu/courses/economics/14-384-time-series-
anal...](http://ocw.mit.edu/courses/economics/14-384-time-series-analysis-
fall-2013/) A less technical but less up to date time series reference is
Cochrane's free book:
[http://faculty.chicagobooth.edu/john.cochrane/research/paper...](http://faculty.chicagobooth.edu/john.cochrane/research/papers/time_series_book.pdf)

"Econometrics" is just "statistics for economic applications." Time-series
plays a big role (because macroeconomics and finance) but self-selection is
really the dominant thread. People tend to make choices that they expect to
benefit from, and it is often important to account for that in estimation. If
that sounds cool to you, definitely check out econometrics. Somewhat shameless
plug, but there's a list of the free resources I'm aware of at
[http://www.econometricslibrary.org/](http://www.econometricslibrary.org/)

~~~
animefan
I always thought that the primary difference between econometrics and
statistics was the focus on causality/endogeneity. But I guess that in most
cases, the endogeneity is caused by self-selection, e.g. selection into a
treatment group, so both viewpoints are valid.

~~~
grayclhn
That's a good point and I probably agree with you. "Self-selection" was my
quick attempt to translate "endogeneity" into english :)

