Roger Koenker

Honorary Professor of unmeaning.

[Roger Koenker @rkoenker]

@IrvineWelsh We can now append felonious fanta faced falangist ...

[Roger Koenker @rkoenker]

@paulnovosad I still recall Cecilia presenting this paper in a seminar at UIUC before it was published, and I still regard it as one of the most careful and original applied micro talks I've ever encountered.

[Giuseppe Cavaliere @CavaliereGiu]

Hi #EconTwitter!📈

Interested in Empirical Bayes methods and their applications in #economics?

Don't miss the next Chamberlain Seminar tutorial (this Friday, November 17, at 9am PT / noon ET / 5pm London) titled

Empirical Bayes: Methods and Applications

by @rkoenker (@ucl ) & @PpM_O (@Cornell), with moderation by Alberto Abadie (@MIT). ⭐️

Cool stuff!

Link to registration: https://t.co/DWiTofw7o3

[Roger Koenker @rkoenker]

@predict_addict @ChristophMolnar This is a truly, madly deeply irritating view. Is Stein shrinkage outmoded because it arrived in the 50's?
QR is a general way to estimate conditional quantile functions, comes with asymptotic inference and underlies a central conformal inference paper.https://t.co/Wbob8eISIs

[Roger Koenker @rkoenker]

@NialFriel Indeed, and I see it as quite a challenge to those who adhere to the medieval notion of science as a bunch of alchemists toiling alone in their garrets hoping to strike it rich with the aid of the patent system. Or their hegemonic corporate counterparts.

[Roger Koenker @rkoenker]

@SolomonKurz Haavelmo thought that all our "little" misspecification errors satisfied a Lindeberg condition.

[Roger Koenker @rkoenker]

@predict_addict @selcukorkmaz Practical decision making is a big subject, only a small part of which is covered by prediction intervals.

[Roger Koenker @rkoenker]

@predict_addict @selcukorkmaz Actually, to be fair, in this example, conformalization doesn't make a perceptible difference to what one can see with total variation penalized ordinary quantile regression.
https://t.co/iBGXciG6dT

[Roger Koenker @rkoenker]

@KevinDenny @selcukorkmaz It would be except that regression is inherently conditional, so unconditional quantile regression is a bit of an oxymoron.

[Roger Koenker @rkoenker]

@HOS_ASA It is important to read beyond the title of this!

https://t.co/F0pHWmFTe0

[Roger Koenker @rkoenker]

@JohnMullahy agree!

[Roger Koenker @rkoenker]

@stephensenn @yudapearl This is admirably clear. I can't resist mentioning the connection to one of my favorite ancient papers:
https://t.co/ie8BHh3Ka8

[Roger Koenker @rkoenker]

@JohnMullahy I wrote something similar in R for students presenting pieces of problem sets. Of course this sort of thing is subject to: https://t.co/u2uYuEpXD1

[Roger Koenker @rkoenker]

@jmwooldridge rational inattention and the erratic errata

[Roger Koenker @rkoenker]

@f2harrell @vandy_biostat My mantra: Every parameter would like to grow up to be a distribution.

[Roger Koenker @rkoenker]

@and_joy_ All of Alfred Marshall qualifies, and Joan Robinson had a knack for writing mathematical arguments without mathematics thereby making them unnecessarily obscure.

[Roger Koenker @rkoenker]

@jmwooldridge Rao visited UIUC in 1983. There was a lunch in a dive called "The Hip Pocket", someone asked him about the Cramer-Rao inequality, and he replied that "it was much less deep than a random line from Ramanujan's notebooks." Respect.

[Roger Koenker @rkoenker]

So many brilliant ideas: Two of my favorites:
Hotelling, H. (1939). Tubes and spheres in n-space and a class of statistical problems. Am J of Math, and Hotelling, H. (1933) Review of Secrist, JASA, 28, 463-4. Don't forget marketing ice cream.

[ASA History of Statistics Special Interest Group @HOS_ASA]

In Aug 1931 Harold Hotelling (1895-1973) 🇺🇸published ‘The Generalization of Student's Ratio’. He generalized Student's t-test to the simultaneous test of hypotheses of differences between means for multiple joint normally distributed variables. 1/2

[Roger Koenker @rkoenker]

"When you prove a theorem, then you get a solid basement once and forever.”

[Roger Koenker @rkoenker]

@predict_addict @DataSciFact Sure, but Thomas Bayes younger brother, Empirical Bayes was ok, even Neyman like him.