Predicting the past - Tilburg University, The Netherlands

This is quite different from the traditional model selection methodology. The most
important, and rather surprising, result that Andrey proved is that diagnostics (coming
from the world of model selection) and sensitivity statistics are essentially independent.
Hence, knowledge of one tells us nothing about the other. Clearly, this reinforces the need
to take sensitivity analysis seriously.
I would have liked to go one step further and use sensitivity analysis to build a proper
framework for specific-to-general modeling. I have an intuitive aversion against generalto-specific
modeling, the most common modeling methodology. Instead I am a firm
believer in specific-to-general modeling, because I believe that we should start simple
and then extend, rather than start general and then shrink. But my many attempts in this
direction have all led to nothing. Maybe Pieter can help me here.
Pieter’s view on econometrics
Music: Vincenzo De Crescenzo (1875-1964)
Title: Tarantella sincera
Lyrics: Pieter Nieuwint
The prediction of the past, which is the theme of this oration
(Finding out what happened, and not only that, but how and why),
Is the art of economic modeling and estimation,
Which I find incomprehensible, no matter how I try.
Still, Jan Magnus has a wonderful profession,
And I’m simply overwhelmed by the idea of being present at this overwhelmingly
important academic session.
When I hear that prediction of the past
Is now possible, I tend to think: at last!
But one question must be asked:
Is the method computationally fast?
14 Predicting the past