José Luis “Pepe” Montiel Olea
Associate Professor, Economics
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.
- Assistant Professor, Economics, Columbia University 2016-2022
- Assistant Professor, Economics, New York University, 2013-2016
- 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: