Evening Must-Read: Hal Varian: Big Data

Hal Varian: Big Data: “In this period of ‘big data’…

…it seems strange to focus on sampling uncertainty, which tends to be small with large datasets, while completely ignoring model uncertainty, which may be quite large. One way to address this is to be explicit about examining how parameter estimates vary with respect to choices of control variables and instruments.

In my view, we should accept that people are going to find a way to add the variables that account for the most in the data we have. Thus information-criterion penalties for adding variables need to be turned up to 11…

November 6, 2014

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