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Always fun to point out is that the NY federal reserve switched their full scale model of the economy to Julia last year[1]. It's also open source, so data scie
by VodkaHaze 10y ago
Always fun to point out is that the NY federal reserve switched their full scale model of the economy to Julia last year[1]. It's also open source, so data scientists interested in macroeconomics can feel free to play around with it.
Moreover, quant-econ, an academic entity dedicated to scientific programming in the social sciences has a few notebooks in python and Julia [2]
[1]https://github.com/FRBNY-DSGE/DSGE.jl https://github.com/FRBNY-DSGE/DSGE.jl
[2] http://quantecon.org/notebooks.html http://quantecon.org/notebooks.html
- amelius 10y agoInteresting. What quantities do economic DSGE models measure for example? And how accurate are these models? Is there some way to play with these models? Or do you need lots of input data, which isn't freely available?
- VodkaHaze 10y agoDSGE models aim to be explanatory models of an economy. They are not the best at predicting (bayesian VARs do better forecasting, there is a tutorial on it in my quant econ link) but they turn out to do forecasting decently well, too. The reason that is is that purely statistical/predictive models of macro are subject to the Lucas Critique [1]. It says roughly, if you observe an economic relationship is happening, but you don't have an explanatory reason why it is, it's a bad idea to use it for policy prescription. The NY fed model has a whitepaper here [2], which should be accessible to the technical data scientist (technical, but not prohibitively so). Their readme points to a few posts on using it, I think the open source code comes with a csv for example input data. There should be publicly accessible macroeconomic data in a few places for you to play with it, say at FRED or the World Bank. I think Julia has a Stata-style api package for FRED data, making the data processing easier. Have fun! [1]https://en.m.wikipedia.org/wiki/Lucas_critique https://en.m.wikipedia.org/wiki/Lucas_critique [2] https://www.google.ca/url?sa=t&source=web&rct=j&url=https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr647.pdf&ved=0ahUKEwikuP3S45nQAhUl_4MKHUgPD7wQFggaMAA&usg=AFQjCNGrvKihOfAe268qPnOtRMvn3LG0vw&sig2=r8LBNM_himWcWbvLWfZ2gg https://www.google.ca/url?sa=t&source=web&rct=j&url=https://...
- economist42 10y agoThe foundation DSGE models are nothing like regular statistical or machine learning models. They are general equilibrium models, a type of mathematical model the falls under the microeconomics area of economics. DSGE try to predict how an economical system will evolve over time, given agents preferences, technologies and institutions, how much will be produced, consumed, traded, prices and how those behave over time, taking into account stochastic impacts, like idk oil price fluctuation. They are beautiful theoretically, since they are micro constructed. See, economists don't like to use aggregates only to make predictions and infer policy impacts due to something called Lucas critique ( https://en.wikipedia.org/wiki/Lucas_critique https://en.wikipedia.org/wiki/Lucas_critique ) which basically means that taking an inflation series create an ARIMA(x,y,z) to predict next weeks CPI is theoretically. invalid. The estimation however, is usually based on Bayesian hierarchical models, taking the constraints imposed by the theoretical model, I believe. Here is a good source for that https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr554.pdf https://www.newyorkfed.org/medialibrary/media/research/staff... DSGE have been criticized for their low predictive power, but it can be said that in that for mid to long term predictions they are more robust for monetary and fiscal policy use.
- conjectures 10y agoWasn't aware DSGEs were often formulated in a Bayesian framework. Learn something every day.
- dekhn 10y agoModels are just datastructures and algorithms; presumably, you mean there is an implementation of those, and that the Fed uses that implementation as the 'official' one. That's fine, but I prefer my models to be language-independent.
- gre 10y agoHow do you have language-independent data structures and algorithms that you can run on a computer?
- dekhn 10y agosorry, I should have made more clear: I want them to publish a model in a file format that can be consumed across a wide range of language. For example, YAML, protobuf, thrift, etc.
- deleted 10y ago[deleted]