Friday, 2 December 2016

Riccardo Trezzi is immortal

I very much enjoyed reading this new paper by Riccardo Trezzi (US Federal Reserve Board of Governors), forthcoming in Economic Inquiry (sorry I don't see an ungated version anywhere). In the paper, Trezzi creates a time series model of his own ECG, and uses it to estimate his life expectancy:
In this paper, I go well beyond the frontier. I employ time series econometrics techniques to suggest a decomposition of the heart electrical activity using an unobserved components state-space model. My approach is innovative because the model allows not only to study electrical activity at different frequencies with a very limited number of assumptions about the underlying data generating process but also to forecast future cardiac behavior (therefore estimating the date of death), overcoming the “sudden death forecast” issue which typically arises when using standard time-series models.
My results are duo-fold. First, I show how the heart electrical activity can be modeled using a simple state-space approach and that the suggested model has superior out-of-sample properties compared to a set of alternatives. Second, I show that when the Kalman filter is run to forecast future cardiac activity using data of my own ECG I obtain a striking result: the n-step ahead forecast remains positive and well bounded even after one googol period, implying that my life expectancy tends to infinite. Therefore, I am immortal.
And people wonder about the validity of economic forecasts...

[HT: Marginal Revolution]

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