Francisco Blasques receives Vidi grant

Francisco Blasques is one of the six VU Amsterdam reseachers who has received a Vidi Grant in May. Francisco's research deals with Econometric methods for incorrect models. We asked him some questions about his research project and what he will be doing with the grant.

06/25/2019 | 3:18 PM

Could you tell us a bit more about the research you’re going to do?
“The research project is all about improving prediction accuracy by finding which observations in a sample of data are the most relevant and informative. The first step in this journey is to recognize that econometric models provide simplistic and stylized description of economic phenomena. These models do not provide an exact account of the vastly complex economic system. On the contrary, their formulation is simplistic and provides only a very crude characterization of complex phenomena in economics, finance and business.”

Interestingly enough, it can be shown that if we make use of ‘simplistic’ models, then every time we collect data, some of the observations in that sample of data will be more informative than others for prediction. This research project will try to improve econometric methods and techniques for prediction and forecasting by identifying those observations that are informative and bringing them to the spotlight.”

What made you choose this specific topic?
“I’ve been interested in the econometrics of incorrect models for a long time. Already during my PhD, I spent most of the time researching models that are so complex that cannot be described by any simple trackable method. The solution I pursued during my PhD research involved the use of very flexible methods (called semi-nonparametric methods) that can describe very complex data sets. These methods include as a special case the now very popular artificial neural networks and deep learning techniques. 

“This time, I hope to tackle the problem from another angle! Rather than attempting to devise models that can describe very complex problems, but often become less transparent and insightful in the process (i.e. they become something like a black box that delivers results but that does not help us make sense of the world),  I now will focus on improving the performance of simple models that can help us understand how the world works.”

What does it mean to you and the research that you have received the grant?

“Mostly, I guess it means that I will be focusing for some years on developing a single strand of research. This will be a novelty for me. As researchers, we typically work on several different projects at the same time, making use of vastly different techniques, with very different goals, and ultimately different applications. Focusing most of my time on a single topic will be an interesting challenge. 

What can people find you doing the next year? 
“I will be working on my research and teaching. No big differences in that respect!”

The SBE faculty congratulates Fransico on his hard work and on receiving the grant.