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NAEC Innovation LAB Workshops and Seminars

 

 

The NAEC Innovation LAB is developing innovative projects drawing on talents from across Directorates and mixing different skills, including as part of the OECD Smartdata Framework. As a platform for collaboration with wider communities, the LAB is helping develop links and make use of expertise and data outside the Organisation, including in national governments, academic institutions, think-tanks and the private sector.

10 December 2019 - NAEC-Ecole Polytechnique Workshop on Econophysics and Policy

Researchers from Ecole Polytechnique presenting on Econophysics

Econophysics is an interdisciplinary research field, applying theories and methods originally developed by physicists in order to solve problems in economics, usually those including uncertainty or stochastic processes and nonlinear dynamics.

Econophysics has tended to concentrate on financial markets, and these represent an ideal laboratory for testing economics concepts using the terabytes of data generated every day by financial markets to compare theories with observations. The dynamics of financial markets, and more generally of economic systems, may reflect the same underlying mechanisms that are familiar to physicists.

As models become more realistic, analytics often have to give way to numerical simulations and this is well-accepted in physics.

A presentation from researchers from Ecole Polytechnique on the following themes with discussants from OECD directorates:

  • Tipping points in macroeconomic agent-based models
  • Confidence collapse in a multi-household, self-reflexive DSGE model
  • Ergodicity-breaking, synchronisation and cooperation
  • Endogenous liquidity crises in financial markets
  • Crowding of factors in financial markets
  • Firm growth rates
  • Input/ouput critical networks 
  • Self-trapping effects in a dynamic utility landscape

> Watch the webcast

4 December 2019 - Using New Forms of Data & Machine Learning to Understand Cities

Daniel Arribas-Bel, University of Liverpool, discusses his work on big data, machine learning and cities.

His recent work integrates novel data sources and machine learning to better quantify different aspects of urban environments. Two main experiments:  Peskett et al. (2019), which uses street-level imagery, deep learning and hierarchical modelling to build an indicator of vegetation public exposure at the neighborhood level; and Arribas-Bel, Garcia-Lopez & Viladecans-Marsal (forthcoming), where all building footprints from the Spanish cadastre are used to delineate city boundaries in a meaningful way, accounting only for territory developed at a minimum density threshold. The two examples highlight the opportunities and challenges on the use of novel data and methods in the study of cities and urban activities.

References:
Stubbings, P.; Peskett, J.; Rowe, F.; Arribas-Bel, D. A Hierarchical Urban Forest Index Using Street-Level Imagery and Deep Learning. Remote Sens. 2019, 11, 1395. Open Access and available at: https://www.mdpi.com/2072-4292/11/12/1395

Arribas-Bel, D.; Garcia-Lopez, M. A.; Viladencas-Marsal, E. (forthcoming). Building(s and) cities:Delineating urban areas with a machine learning algorithm. Journal of Urban Economics.

28 November 2019 - Applying AMB in Financial Markets.

Robert Hillman of www.neuronadvisers.com leads a LAB discussion on applying AMB in financial markets, based on his experience at a hedge fund.

Reviewing the recent revival of behavioral heterogenous agent models in finance, discussing the key features and drivers, and relating them to earlier models, focusing on three potential practical insights. First, the extent to which agent-based models (ABM) offer a means of generating long-horizon asset price simulations and compare results with returns produced using other common simulation methods. Showing that ABM driven simulations can lead to different policy recommendations for those attempting to plan long term, such as pension plan managers and advisors. Second, demonstrating how ABMs can be used to produce conditional return forecasts (scenarios) and provide useful information regarding the implications of those outcomes. Finally, using ABMs to provide insights into the growing interest in factor timing. Research will demonstrate that ABM should stand alongside other methods such as bootstrapping and scenario analysis to provide greater insights regarding the risk and likely performance of investment strategies.

15 November 2019 - Macroeconomic Random Forests: Applying Machine-learning to Macro Forecasting.

Philippe Goulet Golombe (PhD candidate at UPenn)

Over the last decades, an impressive amount of non-linearities have been proposed to reconcile reduced-form macroeconomic models with the data. Many of them amount to having regression coefficients evolving through time: threshold/switching/smooth-transition regression; structural breaks and random walk time-varying parameters.

While all of these schemes are reasonably plausible in isolation, Golombe argues that these are much more in agreement with the data if they are combined. For instance, we can think that a VAR can both exhibit switching behavior and be subject to structural breaks. Without proper algorithms, the exploration of the space of time-variations remain wishful thinking. To this end, he proposes Macroeconomic Random Forests (MRFs). The method recasts many standard macroeconomic non-linearities as a tree structure where each terminal node contain a small macro model. MRFs can be understood as Generalized Time-Varying Parameters when taking the view that Random Forests are adaptive kernel estimators. Combined with novel factors specifically extracted to enhance the MRF’s performance, the new approach exhibit clear forecasting gains over both standard non-linear time series models and vanilla Random Forests.

 

14 November 2019 - Applying Machine Learning to Housing Markets

Xavier Timbeau, Directeur principal, OFCE/Sciences Po, will lead a LAB discussion on his on-going work applying machine learning.

Housing cost prediction using random forest or gradient boost modelisation has become popular. Kaggles have been won repeatedly, forecast performance is undisputed and commercial applications are based on those performances, especially the ability to extrapolate prices from one place to another. The Boston Housing dataset is one famous example of the brilliant application of machine learning techniques and of the current domination of the XGBoost algorithm.

We propose to open the black box a little bit. Usually, economists and social scientists are more interested in understanding than in forecast. But the machine learning stuff is less developed than traditional linear (or their nonlinear extension) workhorse model of empirics. Using partial dependence graphs, variable importance and bootstrapping, it is however possible to get back important tools to assess the impact of a factor on the variable of interest. Machine learning displays then an important characteristic: it a very good generalisation of the linear model, with sparse non-linearity and sufficient parsimony. Apart from a very different approach to find maximum to a likelihood question, the final outcome can be looked at as very close to a standard model. The power of the approach is to elegantly solve problems like variable specifications or spatial autocorrelation and to be able to extract as much information as possible from rich datasets. Some applications, like calculating a price index, classifying spatial areas or evaluating transport policy will also be briefly presented.

15 October 2019 - Impact of Structural Reforms: a Country-centric Assessment with Double-Post Lasso

Eleonora Mavroeidi (OECD Environment Directorate) and Nicolas Woloszko (OECD Economics Department)

A “work in progress” LAB Discussion on on-going work with Double-Post Lasso to explore non-linearities and country-specificities in the impact of structural reforms.

The impact of structural reforms on employment: a country-centric assessment with Double-Post Lasso

The paper uses Double Post-Lasso, a machine learning modelling technique (Belloni, Chernozhukov and Hansen, 2011) to provide a “country-centric” assessment of the effect of structural policies on labour market outcomes. The model produces estimates of the effect of policies for each country that depend on country characteristics, and sheds light on policy interactions. As distinct from most machine learning algorithms, it yields a symbolic representation (i.e. a model), with enhanced interpretability with regard to alternative “black-box” non-linear modelling techniques. This approach also has several advantages compared to standard panel regressions. First, estimates of causal effects are significantly more robust. Second, the analysis accounts for non-linearities, policy interactions, cross-country heterogeneity, and differential timing effects across policies. Third, it exploits cross-country variance by safely dropping some of the country-fixed effects while preventing omitted variable bias thanks to the use of “double selection”. The analysis of labour market policies using the SPIDER database (Égert, Gal and Wanner, 2017) exhibits heterogeneous country effects while ensuring consistency with previous OECD estimates. An increase in unemployment benefits is shown to have a negative effect on employment in countries with high excess coverage such as France or Greece and a strong positive effect on employment in countries with low excess coverage such as Japan or Korea.

1 October 2019 - MOLES: OECD’s new model for the environmental and economic assessment of urban policies

Walid OUESLATI and Ioannis TIKOUDIS from OECD Environment Directorate

Discussion of the structure and different applications of MOLES: a new urban Computable General Equilibrium (CGE) model with microsimulation elements developed in the Environment Directorate. It has many features of an Agent-Based Model (ABM) but is also embedded in a more traditional framework.

The model is tailored to examine the economic and environmental impact of policies targeting the housing and transportation markets in modern cities. Such policies include constraints in long run housing supply (e.g. building height restrictions, no-development zones), property taxation and interventions in the transport system (e.g. fuel and kilometre taxes, public transport subsidies, incentives for electromobility).

Presentation of the final results from the application of MOLES in a sprawled urban area (Auckland, New Zealand). The study explores three central questions. The first is whether the rate of technological change and cost reductions in the electric vehicle industry will be able to achieve significant reductions in greenhouse gas emissions from urban transport. The second concerns the effectiveness of these policy interventions in achieving emission reduction targets. The third question looks at how transport and land use policies affect living costs and housing affordability in urban areas. The findings indicate that policy inaction can prevent urban transport from reaching carbon neutrality any time soon. Under the reference scenario, in which no substantial policy change occurs, total emissions from road transport will continue increasing, while 60% of the per capita emissions in 2018 will still be produced in 2050. Stringent policies that promote public transport and electric vehicles, as well as interventions that give rise to a more compact urban form may reduce the latter number to 30%. The economic impact of these interventions is shown to be particularly diverse: the various policies may yield very different welfare effects, whose magnitude also depends on the time they are implemented. Therefore, the analysis does not only focus on highlighting the policies that curb greenhouse gas emissions and increase welfare, but also on identifying the order at which these policies should be implemented.

5 September 2019 - Connectivity Counts: How is the Geography of International Trade Linkages Changing and What is the Effect on International Shock Transmission?

Eleonora Mavroeidi, Policy Analyst, OECD Environment Directorate

A discussion of a paper which studies the evolution of interconnectivity and centrality of international trade before and after the global financial crises and the variation in the contagion of pre and post-crisis trade shocks. Using network analysis of the OECD inter-country input-output (ICIO) data reveals that changes in the geographical patterns of global value chains (GVCs) during the period 2005-2015 were primarily driven by the increased centrality in the production chain of China and its industries, as well as service sectors across countries. Such changes together with increased participation in GVCs in 2015 and the evolution towards fewer but larger international clusters, imply that trade restriction shocks transmit faster and the cost of negative shocks will be higher than before. Lastly, the impact varies across countries. Shocks in more central countries, such as China and the United States, results in a larger and faster contagion in 2015 compared to 2005, as well as compared to less central economies.

> Watch the webcast

1-3 July 2019 - Fundamentals of Machine Learning for Economists

Michal Andrle, Senior Economist at the IMF Research Department

The course will be a set of lectures and example applications (Matlab/Python code examples will be provided) based on a course that Michal and his colleagues gave at the IMF (programme).

The course aims to provide an in-depth overview of the main concepts and techniques of machine learning. It is aimed both at those who are interested in understanding or eventually applying these statistical techniques and those with some or no experience of machine learning, aiming to give a stronger underlying framework and set out the breadth of issues. In addition, he will cover “causal inference”, which is of particular interest at the OECD given our efforts to identify the impact of policy on outcomes. This will draw on the very recent literature in this area and will focus on the idea of acknowledging specification/model searching in statistical inference and the concept of “principled” model search using adaptive ML approaches (lasso, random forests).

17 April 2019 - NAEC masterclasses

NAEC and its partners held master classes with some of the world’s leading practitioners on complexity, network analysis and agent-based modelling

>> Agenda (pdf) >> Watch the webcast - am / pm

Complexity Economics

Led by Alan Kirman, Chief Advisor for NAEC, CAMS-EHESS, Paris

=> Complexity and Economics (pdf)

Elena Rovenskaya, Programme Director, Advanced Systems Analysis, IIASA

=> Towards a Systems Perspective on National Well-being (pdf)

Agent-Based Modelling

Led by Robert Axtell, Chair of the Department of Computational Social Science at George Mason University, and Santa Fe Institute

Networks and Systemic Risk

Led by Thomas Hurd, Professor of Mathematics, McMaster University, Toronto

=> Introduction to Financial Networks and Systemic Risk (pdf)

Macroeconomics

Led by Matheus Grasselli, Professor of Mathematics, McMaster University and the Fields Institute, Toronto

=> An Introduction to Stock-flow Consistent Models in Macroeconomics (pdf)

8 April 2019 - Causal Machine Learning: Heterogeneous Impacts of a Welfare Experiment

A presentation, organised by the NAEC Innovation LAB and the Centre of Entrepreneurship, SME, Regions and Cities, by Anthony Strittmatter, Professor for Econometrics at the Swiss Institute for Empirical Economic Research (SEW-HSG), University of St. Gallen in Switzerland

Abstract: Recent studies have proposed causal machine learning (CML) methods to estimate conditional average treatment effects (CATEs). In this study, I investigate whether CML methods add value compared to conventional CATE estimators by re-evaluating Connecticut’s Jobs First welfare experiment. This experiment entails a mix of positive and negative work incentives. Previous studies show that it is hard to tackle the effect heterogeneity of Jobs First by means of CATEs. I report evidence that CML methods can provide support for the theoretical labor supply predictions. Furthermore, I document reasons why some conventional CATE estimators fail and discuss the limitations of CML methods.

12 February 2019 - Why Big Data Needs Small Data

Professor Roberto Rigobon, Professor of Applied Economics at the MIT Sloan School of Management

A discussion on how to combine big and small data to construct better national statistics in the context of MIT and Harvard’s Billion Prices project. Professor Rigobon will talk about the advantages and the limitations of using big data technique for economic measurement and the possible extension to our area of expertise, measuring competition with prices in services sectors and the links with policy regulations. He will illustrate with concrete examples the IT architecture put in place to collect unstructured data from the web and online retail platforms, such as Walmart and Amazon, the process designed to transform these data into a structured dataset suitable for the daily measurement of CPI inflation in a set of countries. From his experience, we will consider the feasibility of replicating such an approach in the context of the NAEC Innovation LAB and discuss future collaboration.

>> Watch the webcast

7 February 2019 - Brainstorm on Big Data

Big data has the potential to shed new light on policy questions but also requires researchers to approach problems in a different way. The OECD’s Smart Data Strategy is addressing a range of issues around big data and the use of new sources of data. The NAEC Innovation LAB can help in developing applications of big data to policy questions.

A discussion bringing together several OECD directorates to look at how big data could be used to bring new policy insights and how, practically, we can develop some projects that would show this and provide a stronger foundation for working with such data in the future. The aim is to identify the most promising policy questions where big data could be applied in the OECD, what the approach might be and what sources of data would be required.

24 January 2019 - Development Co-operation Directorate (DCD) FLITS Project

Frans Lammersen, Senior Policy Analyst, OECD Development Co-operation Directorate, and colleagues

Discussion about the DCD FLITS project, which aims to break down silos between different DCD communities (i.e. policy, statistics and evaluation).  Through the use of a so-called intelligent reader tool or semantic analysis, the project will contribute to efforts to create the ONE Sight for developing, accessing and sharing information and knowledge on OECD’s work-in-progress and the NAEC Innovation LAB for diversifying and strengthening the OECD’s analytical tools.

14-16 January 2019 - 10 Years After the Crisis - Modelling Meets Policy Making

The 2008 financial crisis posed unprecedented challenges to practitioners and policy makers around the world. Researchers responded in tandem by re-examining the approaches to model financial markets and their interactions with the real economy. Agent-based models, networks, dynamical systems, and mean-field games became part of the emerging research area of systemic risk alongside more traditional economic models.

In a joint OECD NAEC-Fields Institute workshop in Toronto, leading academic experts and policy makers reflected on the lessons learned over the past 10 years and discussed recent advances in modelling of the financial system with the aim of a sustainable, inclusive and stable economy.

=> Summary of conference (pdf)

The first day of the workshop featured mini-courses targeted towards graduate students, postdoctoral fellows and other young researchers

Complexity Economics
Alan Kirman, NAEC Initiative

Agent-Based Models in Economics

Blake LeBaron, Brandeis International Business School
Alissa Kleinnijenhuis, University of Oxford

Asset Price Bubbles: Economics, Mathematics, and Statistics

Matheus Grasselli, McMaster University

Networks and Systemic Risk
Thomas Hurd, McMaster University

Blockchains and Distributed Ledgers in Retrospective and Perspective

Alex Lipton, Co-Founder and CTO, Silamoney and MIT

29 November 2018 - Machine learning and interpretability

Marcin Detyniecki, Head of Data Science and R&D, AXA Data Innovation Lab

Discussion on machine learning and interpretability, which is key to convincing policymakers to use the results of machine learning.

>> Watch the webcast

15 November 2018 - Agent-based modelling/networks

Eleonora MavroediOECD Economics Department

A discussion on the use of agent-based modelling/networks, drawing on her participation in the Sante Fe Institute Complex System Summer School and on-going projects.

23 October 2018 - Policy Experiments

Andy Haldane, Chief Economist and Executive Director of Monetary Analysis and Statistics at the Bank of England

His seminar on "Policy Experiments (pdf)" endorsed the work of the NAEC Innovation LAB.


As a scientific method, economists have gone from telling stories, to using empirics to developing models. All still have an important role in the policy domain – indeed, the role of each is being reshaped and improved by new data and new technologies. The missing ingredient, at least for macro-economic policy purpose so far, has been experimental methods. These hold great promise for the future, as recent examples in the monetary policy and regulatory policy domain illustrate.

>> Watch the webcast

27 June 2018 - Modelling housing using Agant Based Modelling (ABM)

Marc Hinterschweiger and Arzu Uluc (Bank of England) and Adrián Carro of the Institute for New Economic Thinking (INET)

The Bank of England/Oxford team led an in-depth discussion of their work using ABM to model the housing market at the Bank of England which went into depth on the design, calibration and simulation of their model.

>> Watch the webcast

7 June 2018 - Semantics

Neil Thompson (MIT)

Neil Thompson presented his paper on “Science Is Shaped by Wikipedia: Evidence From a Randomized Control Trial” with a focus on the technical aspects of his work on semantic analysis and discussed the use of AI-based techniques in economics. Caroline Paunov, of the OECD Science, Technology and Innovation Directorate, introduced the seminar by providing a short discussion of the relevance of semantics for work conducted in the OECD context and giving concrete examples of applications in the field of science, technology and innovation policy analysis.

31 May 2018 - presentation by DataIKU

The pilot OECD Smart Data Science Platform

The Collaborative Data Science platform from DataIku complements the existing ‘smart data sandbox’ with data science features made easy to access and use by analysts (machine learning, text mining, policy simulation or exploration of large data). It was selected by a panel of OECD experts as part of 2017 call for tender ‘data services and solutions’. DataIKU presented the platform and illustrated its value with several examples relevant in the OECD context. Analysts were also invited to present their potential uses of the project and 10 projects were selected for pilot.

20 October 2017 - Financial markets, network analysis and ABMs

A technical workshop on methodologies and tools for understanding financial markets with Rick Bookstaber, one of the world’s leading risk managers, and Jean-Philippe Bouchaud, Capital Fund Management and École Polytechnique.
>>  Watch the webcast

ABM background paper (pdf)
Presentation - JP Bouchaud (pdf)
Presentation - R Bookstaber (pdf)

29 September 2017 - New perspectives on the labour market: Policy applications using agent-based modelling (ABM)

In a session on macro-economic insights on labour markets using ABM Jean-Philippe Bouchaud (Capital Fund Management and École Polytechnique) discussed a methodology, inspired by statistical physics, that helps in understanding large macro-economic fluctuations. A session on Micro insights on the Labour Markets Using ABM, with Gérard Ballot, Université Paris 2 Panthéon-Assas, and Jean-Daniel Kant, Université Pierre et Marie Curie (UMPC), reviewed French Labour Laws using a model of the recent French labour market (An agent-based approach to evaluate the impact of economic dismissals facilitation on the French labor market).

>> Watch the webcast (OECD only)

ABM background paper (pdf)
Annotated agenda (pdf)
Presentation ABM - J-P Bouchaud / Presentation ABM - A Mourougane / Presentation ABM - G Ballot et JD Kant / Presentation ABM - P Fialho