pierre.chausse@uwaterloo.ca
Office: HH 101
Personal website
BA (Montréal); MA (Queen's); MPhil (Yale); PhD (Québec à Montréal)
Areas of specialization: Applied and theoretical econometrics; Generalized empirical likelihood; Generalized method of moments
Research interests
I am interested in improving estimation methods based on moment conditions when the number of conditions is large or infinite. In particular, I focus on the generalized empirical likelihood method when the number of conditions requires the Lagrange multiplier to be regularized. This approach allows us to use the information contained in the moment conditions efficiently and without having to do an arbitrary selection.
Biography
The University of Waterloo offered me my first position as an Assistant Professor in July 2010. It represents the starting point of a new career and the end of a long journey toward my PhD that started in 1990 when I entered the undergraduate program of economics at the Université de Montréal. I knew I wanted to become an economist from the beginning, but it is only at the third year, while taking graduate courses in econometrics, that I decided to become a professor. I was not only interested to learn new techniques, I was also beginning to enjoy teaching my classmates when they were asking for help.
My first choice was to go to the United States, but I decided to go to Queen's University in 1993 to do a master's, to be more prepared and to improve my English. At Queen's, I wrote an essay in which I was estimating the core inflation using the Kalman filter with conditionally heteroscedastic errors. The following year I entered the PhD program at Yale University and completed all the requirements except my thesis. In 1999, I decided to put an end to my PhD and came back to Canada, where I could better take care of my new daughter.
While at Yale, I received the Raymond Powell Teaching Prize for the microeconomics course I gave to master's students in development economics. It made me consider becoming a full time lecturer. I slowly started with one course to Masters of Business Administration's (MBA) at École des Hautes Études commerciales de Montréal (HÉC Montreal) and ended up teaching between 15 and 20 courses per year at HÉC Montreal, the Université de Montréal and L'Université du Québec à Montréal (UQÀM) between 2000 to 2004. During that period, I taught courses such as microeconomics, macroeconomics, econometrics, mathematical economics and financial economics for both graduate and undergraduate students. I even had the chance to go to Guinea to teach microeconomics to Guinean professors as part of an education reform program financed by the World Bank. I was enjoying teaching, but something was missing. Many graduate students were coming to me to get help with their research because my door was always open. I then realized that I was missing research.
Therefore, in 2004 I decided to register at UQÀM as a PhD student to finish my degree. Because I did not want my family to suffer from this decision, I completed my PhD while being a full time lecturer, teaching an average of 12 courses per year. While doing my PhD and teaching, I developed an R package for the generalized method of moments. I am glad now to be part of the econometric community and hope I can make significant contributions.
Selected publications
- P. Chaussé, J. Liu, and G. Luta, "A Simulation-Based Comparison of Covariate Adjustment Methods for the Analysis of Randomized Controlled Trials" (2016), International Journal of Environmental Research and Public Health, volume 13, number 4.
- P. Chaussé,"Computing generalized method of moments and generalized empirical likelihood with R" (2010), Journal of Statistical Software, volume 34, number 11, pages 1-35.
Working papers
- "Generalized Method of Moments (GMM) estimation of a stochastic volatility model with realized volatility: a monte carlo study (PDF)" (2012), with Dinghai Xu (Submitted)
- "Generalized empirical likelihood for a continuum of moment conditions (PDF)" (2011) (Submitted)