New Faculty: José Luis Montiel Olea

José Luis “Pepe” Montiel Olea

Associate Professor, Economics

Academic focus:

Econometrics (theoretical and applied), machine learning, statistical decision theory

Current research project:

Here is a short description of what I have been working on recently:

1) I have been studying the theoretical properties of penalized root-mean-squared error estimators for linear models (e.g., the square-root LASSO). In particular, I am interested in the generalization performance of these procedures and their representation as Best (Worst-Case) Linear Predictors.

2) I am also very interested in the use of topic models for the analysis of text data. In particular, I have been working on understanding the extent to which the existence of "anchor words" -- a common identifying assumption in this literature -- is testable.

Previous positions:

  • Assistant Professor, Economics, Columbia University 2016-2022
  • Assistant Professor, Economics, New York University, 2013-2016

Academic background:

  • Ph.D., Economics, Harvard University, 2013
  • M.A, Economic theory, Instituto Tecnológiico Autónomo de México, 2008
  • B.A, Economics, Instituto Tecnológiico Autónomo de México, 2006

Last book read:

“Men without Women” by Haruki Murakami

In your own time/when not working:

I have a 19 month old boy at home, so I do not get a lot of my own time :). But if I find some of it, I am definitely working out (I really like tennis and doing gym work).  

Courses you’re most looking forward to teaching:

I will be teaching two new courses that will hopefully cover econometrics, machine learning, and statistical decision theory.

What most excites you about Cornell:

Interdisciplinary work seems to be a core component of the ethos of the university! I am really excited about this, and I hope I can find new co-authors and friends in this vibrant community!

Twitter handle/blog url:


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