Stack Exchange

Richard Hardy

Europe

Ph.D., associate professor with work experience in finance.

Interests: financial econometrics, forecasting, volatility, uncertainty, risk management, model selection and other.

I use R.

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Top Questions
43 votes

Testing for autocorrelation: Ljung-Box versus Breusch-Godfrey

time-series hypothesis-testing autocorrelation asked Apr 23, 2015 at 19:24
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34 votes

Interpretation of mean absolute scaled error (MASE)

time-series forecasting accuracy mase asked Nov 17, 2014 at 11:24
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33 votes

AIC versus cross validation in time series: the small sample case

time-series forecasting cross-validation model-selection aic asked Feb 25, 2015 at 11:36
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32 votes

Can overfitting and underfitting occur simultaneously?

overfitting asked Sep 21, 2020 at 10:25
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31 votes

What is the oracle property of an estimator?

feature-selection model-selection estimators oracle asked Aug 10, 2016 at 8:56
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29 votes

Correlation between OLS estimators for intercept and slope

regression least-squares estimators asked Sep 4, 2015 at 15:01
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27 votes

Paradox in model selection (AIC, BIC, to explain or to predict?)

regression model-selection aic bic paradox asked Oct 17, 2015 at 15:50
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26 votes

Properties of PCA for dependent observations

time-series pca non-independent iid asked Aug 2, 2016 at 10:46
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23 votes

Zero correlation of all functions of random variables implying independence

correlation independence asked Jan 7, 2021 at 8:17
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22 votes

Idea and intuition behind quasi maximum likelihood estimation (QMLE)

maximum-likelihood references intuition quasi-maximum-likelihood asked Dec 5, 2015 at 11:06
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Top Answers
40
Is 50% 100% higher than 25% or is it 25% higher than 25%?
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36
Is an overfitted model necessarily useless?
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29
AIC versus Likelihood Ratio Test in Model Variable Selection
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22
Interpretation of LASSO regression coefficients
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21
Lasso vs. adaptive Lasso
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21
What is the difference between GARCH and ARMA?
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20
Maximum Likelihood Estimation -- why it is used despite being biased in many cases
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19
Which OLS assumptions are colliders violating?
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18
What is the essential difference between neural network and linear regression
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18
What is the time complexity of Lasso regression?
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18
ADF test suggesting incorrectly that series is stationary
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17
Recommendations for non-technical yet deep articles in statistics
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17
Why is using squared error the standard when absolute error is more relevant to most problems?
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17
Distinguish between short run and long run effects
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16
Is leave-one-out cross validation (LOOCV) known to systematically overestimate error?
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16
Intuition of Random Walk having a constant mean
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15
When is quantile regression worse than OLS?
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15
Regularization for ARIMA models
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15
Can I test for correlation between variables before standardize them?
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15
What is/are the "mechanical" difference between multiple linear regression with lags and time series?
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14
How to interpret ARIMA(0,1,0)?
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14
Any disadvantages of elastic net over lasso?
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14
Is it fine to slightly overfit, if its giving you good predictive power?
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14
Why is GARCH(1,1) so popular, especially in academia?
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14
How to determine the critical values of ACF?
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14
What is elastic net regularization, and how does it solve the drawbacks of Ridge ($L^2$) and Lasso ($L^1$)?
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14
Why do we use parametric distributions instead of empirical distributions?
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14
What can we say about population mean from a sample size of 1?
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13
What is the difference between VAR, Dynamic Regressive, and ARMAX models?
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13
Negative BIC in k-means
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