tag:blogger.com,1999:blog-6837159629100463303.post3464583183608605613..comments2023-06-18T01:25:08.748-07:00Comments on Information Transfer Economics: Economics is neither physics nor computer scienceJason Smithhttp://www.blogger.com/profile/12680061127040420047noreply@blogger.comBlogger4125tag:blogger.com,1999:blog-6837159629100463303.post-60390413702518244212014-04-03T16:31:57.001-07:002014-04-03T16:31:57.001-07:00Thanks, Tom! My real job is as an engineer. There ...Thanks, Tom! My real job is as an engineer. There was a pull on physics grad students into finance in the mid-2000s when I finished and I had an opportunity to work on Wall Street -- I didn't take the job (hence the engineering), but it did lead to an interest in economics.<br /><br />I once wrote down this blog's major ideas here (probably the best 30,000 foot view):<br /><br /><a href="http://informationtransfereconomics.blogspot.com/2013/11/three-ideas.html" rel="nofollow">http://informationtransfereconomics.blogspot.com/2013/11/three-ideas.html</a><br /><br />Cheers.Jason Smithhttps://www.blogger.com/profile/12680061127040420047noreply@blogger.comtag:blogger.com,1999:blog-6837159629100463303.post-1886383614048724672014-04-03T15:18:11.229-07:002014-04-03T15:18:11.229-07:00Jason, thanks for the feedback. That paper looks l...Jason, thanks for the feedback. That paper looks like I might be able to understand it. Some of the things you've got going on here on your blog I'm not familiar with at all, but they look intriguing. I'm neither a physicist nor a economist... I'm an engineer who's OK at some kinds of math and I'm interested in macro, but I've never had any formal education in that field. I'm not absorbing much here yet, but your approach has got my attention: very different than some of the usual blogs I read. Thanks.Tom Brownhttps://www.blogger.com/profile/17654184190478330946noreply@blogger.comtag:blogger.com,1999:blog-6837159629100463303.post-54575461202735417232014-04-03T13:50:56.903-07:002014-04-03T13:50:56.903-07:00I have not. About the only econometric thing I'...I have not. About the only econometric thing I've done are a few unit root tests. Reading about it, I would try to remain cautious of implicit modeling when they are used -- an interesting case study comes from this:<br /><br /><a href="http://www.uh.edu/~bsorense/gra_caus.pdf" rel="nofollow">http://www.uh.edu/~bsorense/gra_caus.pdf</a><br /><br />Sims (1972) showed that money Granger-causes output and that output doesn't Granger-cause money (a case for exogenous money against endogenous) ... however Sims later showed that if you include interest rates in the model, it doesn't hold anymore. That is, the original conclusion implicitly assumes a model where interest rates don't matter.Jason Smithhttps://www.blogger.com/profile/12680061127040420047noreply@blogger.comtag:blogger.com,1999:blog-6837159629100463303.post-47007872325292744012014-04-03T13:00:05.154-07:002014-04-03T13:00:05.154-07:00Jason, do you ever do "Granger causality"...Jason, do you ever do "Granger causality" tests? They seem to bee a favorite of Mark Sadowski (for one) and I wonder if you've ever looked into that, or it that fits into your framework in anyway.Tom Brownhttps://www.blogger.com/profile/17654184190478330946noreply@blogger.com