Sbagliando s'impera

Jared Bernstein è un economista del lavoro statunitense ed è attualmente tra i consulenti di Barack Obama. Potete trovare qui una sua biografia un po’ meno sintetica.

reuters.com

Ha un blog – On the Economy: Facts, Thoughts and Commentary by Jared Bernstein – da cui ho tratto l’articolo che segue (pubblicato il 5 luglio 2012, alla vigilia della pubblicazione dei dati di giugno sull’occupazione negli USA, e ripreso da Salon.com).

Forecasting and Tomorrow’s Jobs Report

I had a chat with a friend the other day – a prominent academic economist whose name I won’t disclose so he doesn’t get shunned in the faculty room – wherein we bemoaned the state of a) micro-theory (predicts implausible elasticities that never show up in the data; marginal product theory – a core premise – looking ever more suspect*) and b) macro-theory (a terrible muddle these days, as Paul K stresses).

But we agreed that econometrics still rules. Sure, there are those who practice eCONomeTRICKS, but “we regard them with scorn” (extra points for those who can source that quote without Google—even more points for those who can identify why it fits in an econometrics post).

I used to have decent econometrics – statistical analysis of economic data – chops, especially for a former musician/social worker, but alas, no more. I can still reliably run reduced form regressions and the Kalman Filter using the structural (or “state-space”) model I associate with Andrew Harvey (see previous link). But I simply haven’t kept up with the cutting edge stuff, though luckily, I know folks who have.

All of which brings me to the fool’s errand of forecasting employment growth for tomorrow’s jobs report. The consensus is for about 100K. I run a couple of models. At this point in the month, I run a regression of the log changes in payrolls on the lagged quarterly payroll growth, the monthly average of 4-wk UI claims, and the ADP (again, all in log changes) and forecast one month ahead (using the actual UI and ADP data for June).

I also try to tease out the longer term trend using the Kalman filter on the NSA data – this is a very good way to get at the underlying recent trend, which right now is running at around 90K, which is actually close to what I get with the standard time series regression noted above. So that’s about what I expect tomorrow, though given the confidence interval of 100K around these data along with the monthly revisions, the firm birth/death modeling – well, I don’t know anyone who has a great track record on this one.

However, that’s less a critique of econometrics than a warning about realistic expectations when forecasting high-frequency data.

salon.com

Poche mie considerazioni:

1. Beati i cittadini di paesi (che non sono moltissimi, temo) in cui un consulente del governo può permettersi di avere un blog e di dire liberamente la sua “senza filtro” e senza doversi nascondere dietro un nom de plume.
2. l’asterisco nel primo capoverso rinvia a questa gustosa nota:
   The great Joe Stiglitz gave a talk recently at the LSE on his new book on inequality (I also interviewed Joe the other day).  Anyway, a bit into the interview, he tells the LSE students, and I’m paraphrasing, “You know, that marginal product theory you’re learning around wage setting—it’s not true…you still have to learn it, but it doesn’t really work.”
3. Paul K è chiaramente Paul Krugman.
4. eCONomeTRICKS è un gioco di parole.
5. Ho dovuto usare Google, ma “we regard them with scorn” è un verso della canzone The Folk Song Army di Tom Lehrer.
6. Per la cronaca, il dato pubblicato oggi è + 80.000.