It has been over one month since this year's final Econometrics 1 lecture. For years, the final lecture had been a notorious one for most students. Marked by students' weary faces, all counting their precious and scarce hours of sleep awaiting the exam week. But this year, the lecture was memorable for a whole different reason; for during the lecture, the professor, dr. Christiaan Heij, was awarded the “De Desiderius” by the Dean Prof. Patrick Groenen on behalf of the Executive Board of Erasmus University Rotterdam for a plethora of achievements.
Some weeks after the said event, Estimator conducted an online interview with Mr. Heij. During the interview, we covered numerous topics, from his studies and career to his thoughts on the prospects of the field Econometrics. He also shared a short story from when he came to Rotterdam to sit his job interview. So, if you want to find out more about the professor, the field of Econometrics and the spirit of the people of Rotterdam, read on!
Photo(s) by: Michelle Muus, ©Erasmus School of Economics
Having to choose between Mathematics, Physics and Econometrics as a subject to pursue at university, could you talk us through the reasons why you chose the last option?
Well, that's a long time ago when information gathering was more difficult. Nowadays you can just search on the internet for any questions or even attend the universities' open days to learn more about the programs. That didn't exist in my time. But, of course, you did get an idea of what physics, mathematics, and economics were from high school. I liked mathematics but especially physics because of its inspiring connection with the real world. I also had an economics teacher who knew that econometrics existed and who admired the people developing mathematical models in economics.
Physics was also very interesting in high school as I felt like I started to understand better how the world works, which really appealed to me. My teacher focused more on the theory rather than the practical aspects, although we did small experiments which would be done in teams. I was, well, a little bit clumsy so my teammate would do the practical work while I would do the calculations. So that's how I decided to do physics as I thought it was best suited, but with econometrics and mathematics still at the back of my mind.
However, when it came to the first day of university, we got an introductory lecture with about forty students where the study dean explained future job prospects which revolved around laboratories and doing experiments, very different to what I had initially imagined. After the lecture I expressed my concerns and the dean invited me to come to his office the next day to discuss my study choice. There he advised me that being interested mostly in theoretical physics is fine but only 1 in 1000 would be able to make a career out of it. And that's when I knew it wasn't a good environment for me and decided to switch to econometrics. And it was even on that same afternoon that I decided to make the switch and immediately bought the econometrics books.
I also felt a little more pleasant in the group of econometrics students rather than the physics group because there was a broader interest in the world. In physics you had more Beta-type persons whereas the econometrics group was more interested in society. Later on, I started doing a mathematics degree alongside my econometrics program as I had initially anticipated a higher level of mathematics in econometrics.
Do you feel like obtaining a mathematics degree has helped you in your econometrics career and how?
Certainly, it's the way of thinking and how things come together in developing an approach in econometrics. The ideas behind this are based on practical needs and on mathematical principles. So yes, it has certainly changed my way of thinking.
And a question about this. So, you had already enrolled for physics and the introductory lecture was on your first day of university. That's really interesting here and actually just thinking about how different everything could have been, how your life and ours would have been different.
Ha, yes, you would have had a different teacher. That's an interesting thought but it's always difficult to think of things that haven't occurred. There is a movie, 'The unbearable lightness of being', about this subject. It's about people making difficult decisions in life and later on it makes little sense to speculate what would have happened if you had made the other decision. Because in life you always have to do your best making a decision but you never know if it was the best one. One thing I'm sure of is that if I had not been in Rotterdam then someone else would have been, because Rotterdam does, of course, not depend on my existence. But perhaps there wouldn't have been our book (Econometric Methods with Applications in Business and Economics).
You have dedicated your life to shaping the future of so many econometrics students, but what is the fondest memory of your university years?
Perhaps my answer will be a bit disappointing to you because I don't have a fondest memory. But there are many moments that I remember, like the lecture I gave two weeks ago. Many of those memories in the past are vaguer now, but that is what happens in life. I cannot single out one specific moment. It is more a gradual process and that is with many things in life. The little things make it pleasant. Just some student coming along knocking on my door and sharing a short story. It can be a colleague who is in some difficult spot and comes to discuss with me on what to decide. It is, I think, just living together and being part of a community. You can try asking this question to your family, you can perhaps ask your parents what's their best memory of you and then they would probably say that every memory is dear to them.
It was also difficult online to make connections with students.
To make a connection online is indeed different. If you know each other already then it's quite okay, but to make a connection with people you don't really know is more difficult. When I had my last lecture for the international group, one student presented a nice speech, but first I didn't recognize him. Then he said: “Ah, we see each other every week on zoom.” He was in my focus group and I liked him very much, very active student, but I had imagined him much taller than he actually was, so I didn't make the connection. But hopefully times are now getting more normal again.
What was actually quite surprising is that you have a degree in philosophy as well, so, could you tell us a little bit more about that, your passion toward this field? Would you say there is a link between philosophy and mathematics?
Yeah, first of all, I don't really have a bachelor's degree. At that time there were very few philosophy students. So they gave you the opportunity, if you had another specialization like physics, econometrics, history, or whatever subject, to do a short version of the bachelor program. It was only one year instead of three and they asked you to study the fundamentals of philosophy, a bit of history, logic and such topics, and also to write a thesis connected with your own field of specialisation. If you had done that then you could enter the master phase (which I didn't pursue). And the program started with a very big course called the history of philosophy. It consisted, in total, of five months of study, so nearly half a year for one single course. So it had quite some thick books explaining the history of thought. And that interested me because I had done mathematics and econometrics, but we never deeply questioned our ways of thinking. What are the structures behind them, do we agree with them, and how would we criticise them? And there are many ways to do this, one being through philosophy, a critical evaluation of our ways of thought.
And that's what I have always found important and perhaps nowadays there isn't so much time for this in your program. In 3-4 years, there isn't much time to criticise the theories you get presented. Of course, it is not easy in such a short time because you first need enough knowledge of the field before you can criticise it. But it's always good to reflect on what you are taught because it's not fully objective, also not what I teach. The (classical) econometric approach is not a completely objective one. It is one method of dealing with questions, for example, statistical testing is one way of dealing with making decisions. But if you get into Bayesian econometrics for instance, you will see that this is a different approach, and I' m sure that the lecturer of this course will tell you that you were indoctrinated by the classical approach, and that's right. But we don't tell you immediately. When I started teaching I paid more attention to the theory and its limitations by explaining right away: “But you can also criticise it.” But then students got confused and asked: “Should we learn it or not?” So now, we first teach the basics and then later critics and present some possible alternatives.
And the link between philosophy and mathematics?
There are many links. Some thousand years ago the first universities came about, maybe a bit later, and there was only one specialization: philosophy. That was everything and included logic, grammar, rhetoric, arithmetic, geometry, astronomy and music. Everything was part of philosophy and later, of course, came specializations. But if you look at the foundations of mathematics, that is logic. Logic is the foundation of mathematics and logic is taught in schools of mathematics but also in schools of philosophy. So there is a very strong tie between some parts of philosophy and mathematics.
That makes sense, thank you very much! Then we can move on to your career and Econometrics. It has been 33 years since you started working at the Econometric Institute. Have you ever felt like this field has been changing? If so, how has it changed?
Well, I can compare current times with when I started studying econometrics in 1976 in Groningen, that's some 45 years ago, and tell you about what I think is the biggest change. Then the econometrics department was in a long 8-storey building together with Mathematics and Economics. That building contained, I think, some 400 offices and there was not a single computer in any of these offices, no computers at all. But there was a separate hall that housed one big computer. It was stored in a special building as the temperature had to be regulated. Even now, computers and laptops still get hot, but then the computers got exorbitantly hot, so they required a very strong cooling system.
In the first two years of study we never did any programming. Then in the third year we learned our programming language, ALGOL (algorithmic language). Our tutorials consisted of doing programming jobs in a very noisy punching room. Programming basically meant punching cards, so for each line in your program you had to punch holes in separate carton cards by means of a heavy machine. The room had eight of these machine and after a day of programming you were deaf and with a headache. And then you had to make a set of cards and that was the program. Then those cards were put together with other jobs into a queue basket of some two meters long that was fed manually to the computer. The technicians waited until enough jobs (cards) were available to feed the computer. So you had to wait until the line was full, then they would feed them into the machine and you would get paper output, not digital output as is common today. Ironically, most of the time you received an error output because it was likely when you wrote the program that something went wrong. I think that in a day you could do more or less three runs of the computer. One thing is sure, this meant you had to become very neat in programming as you didn't want to make an error. Otherwise it might take several days to get even a simple program working, you understand.
That's how I started programming and I think that many people will agree that the main thing that changed in Econometrics is the ease of computation. This is both in terms of time and in terms of complexity. What you can do on a mobile phone now is more than what we could do some 50 years ago on the one computer we had in our building at the University of Groningen.
It is incredible to think about it, and how much we rely now on programming with, for instance, all the different statistical software and how much that must have changed Econometrics throughout the years.
And not just in our field, think of everything else, for instance public transport, supermarkets, shops and so on. Think of how supermarkets control and schedule their stocks, how public transport is planned, all that has changed very much, of course.
I agree. Great, we'll move on to the next question then. In your career you have been awarded, amongst others, the education prize from Erasmus University for your MOOC and the 'De Desiderius'. Many congratulations on that! What achievement would you say you are most proud of in your career?
This question is a bit similar in spirit to your previous one on my fondest memory, so I have no clear answer. However, when you just mentioned “Suppose you had studied physics instead” and in that case the book would not have existed, I really had not realized that before. So that's not necessarily something I'm proud of, and it was joint work with others, but yes, then I think I have made a contribution. I think I have also contributed through my teaching and a little bit in my research as well. But that is not something to be proud of because I think most of my colleagues, especially in research, have made much greater contributions than I have. Ultimately, it's part of the job and I just did my job. But I am happy that some of my works were appreciated by others, which for me was surprising. And I say surprising because I had not thought I could do things that would be appreciated so much by others, so that's very pleasant.
And I think the influence that your work has had on the students is something that has great significance as well because students are really being inspired by all your work and research.
It is very nice of you to say this. On the other hand, I think it's just part of my job, not so much of my personality, because I think my colleagues will have the same effect on students. Nevertheless, it could be that as I'm a bit older, I am a bit more sensitive and receptive to the personal aspects of students. Whereas, if you are younger, then perhaps you have less time for teaching, I mean many of my colleagues are very active in research and have a very busy life with young children and so on. I am a little bit freer and can spend more time teaching students. So that's a privilege of my age group.
And now I am going to ask about the book. How did the idea of writing the 'Econometric Methods with Applications in Business and Economics' first come up?
Actually, that wasn't me. As you probably know, the Econometric Institute in Rotterdam was the first one in the world and we had quite some prominent researchers in the Institute. Of course, they started teaching Econometrics and they needed a book, so they were always looking for a book and the only books we had were from the United States and then later also from Great Britain. But let's say that the professors of the starting period of the Institute were not so happy with the books available, as most of them taught more from a statistical standpoint or a mathematical standpoint and not so much from practical economic inspiration. Whereas, perhaps you know, the program, just as the city of Rotterdam, is known for its practical attitude. Some say that the people of Amsterdam spend the money while the people of Rotterdam are very practical and earn it.
Also, I don't know if you know this saying about Rotterdam, it's actually a short story. When I came for my job interview to Rotterdam, I didn't know the city well and I was living in Maastricht at that time. And back then, when you traveled from the south to Rotterdam by train, you entered the city by a tall bridge over the river Maas and it was really beautiful to see the Rotterdam skyline in the background. Now the train goes underground so you don't see it anymore. And then there was a woman sitting in the same compartment and she just asked me what I was going to do in Rotterdam. Naturally, I replied that I didn't know the city and that I went there for a job interview. And then she asked me if I knew that in Rotterdam the shirts in fashion shop windows have rolled up sleeves. I thought it was a funny fact, but later people told me that she had been fooling me, she had just wanted to let me know that the people of Rotterdam work hard.
I think that Rotterdam and also the program have this practical view as starting point. For instance, we are not doing Mathematics or Statistics because we have to do it. No, we start with a question and we want to solve the question, and then you need some Mathematics and Statistics. And there were no books showing Econometrics that way. In those times we had Professor Teun Kloek who had been here since the beginning of the Institute, first as student in 1955, then as student assistant and later as professor. So all those years he was a member of the Institute. We were still thinking of writing an Econometrics book in the Rotterdam way and when he came near his retirement our group knew it was then or never, because otherwise this central person who knew the whole history of the Institute would no longer be with us and we would not be able to write it. So five persons decided to write the book and then we did it. But no one had the time for it, except me, so I was the one taking charge more or less. They all wrote a chapter and I had to rewrite and edit them and make examples and exercises, which was a very big job. And that's how the book came into existence.
Well, I just cannot imagine how much work that must have been, it seems quite like a different project for you.
I think the interesting thing for you and the students is that the book originates from the Rotterdam inspiration of what is science and what is Econometrics, with the core idea to solve practical problems.
That's very true, I think that was also something I loved about the course, with a lot of exercises and questions addressing real-life scenarios, for instance, about smoking and birth weight. Everything was so applicable in real life that really I think it's something crucial for students to be able to feel connected to the study.
All right, reflecting on the success of the MOOC, especially in terms of how global it has turned out to be, did you ever expect it to be so universal and well known?
I think it's fair to say that it was Philip Hans Franses, former dean of the school, who inspired the MOOC just as Teun Kloek had inspired the book. The book turned out to be quite successful but we saw that it was not used in certain parts of the world, especially in Africa. We could understand why, as the book was simply too expensive for users in Africa. Then we decided to make a MOOC that is free of charge and available worldwide. But we could not expect people to know a lot about Statistics and Linear Algebra, so we had to go some steps down. And we made what's called building blocks that show you the Matrix Algebra and the basic Statistics required for the Econometrics course. We also thought it would perhaps be useful for teachers, for example in Africa, to have access to such didactic material, so the teachers could watch the videos and then they could use this knowledge in their own teaching.
But actually it turned out that there were many people wanting to learn Econometrics for themselves. We were very surprised by these numbers and had never thought it would turn out to get so globally used. After a few weeks we already had around 10,000 learners, an incredible soar and then the explanation is that many people were waiting for such a MOOC that didn't exist before in the world.
I agree. For instance, I'm from the Middle East and we have never actually introduced Econometrics at university. So, I'm sure that must be valuable for the students back home as well. I would discuss with the universities back home to support the students to take this course, also because it's free.
Photo(s) by: Michelle Muus, ©Erasmus School of Economics
It seems that every Econometrics student that has graduated in the past 33 years has been taught by you. How does that make you feel?
It feels a bit strange to realize this. When I had my last lecture, the dean, Professor Groenen, memorized that about half of the econometricians in the Netherlands have been taught by me. If we consider all econometrics students in Amsterdam, Tilburg, Groningen and Maastricht, the figure might be closer to 40%, but still it feels a bit unbelievable. Perhaps not many of you know that I live in Delft and not in Rotterdam. I and a good friend of mine go for a walk through town almost daily, especially in the past couple of years. Then quite often in passing I get greeted by someone of your age or a little bit older saying “Hey, Mr. Heij!” and then of course I also greet them back. But often I don't know who it is, and then we realize it must be an Econometrics student. This happens, if not weekly, at least several times a year.
I mean you're quite popular and I am sure you know that, also for the Introduction to Statistics course. About that, it is not a secret that the exam for Introduction to Statistics is one of the hardest, most feared exams throughout the whole program. What is your message for upcoming students who will not experience you teaching the course?
It is a pity that there are rumours that some courses are very difficult, because it does not make for a nice start for the students. And this applies to pretty much everything, if you start doing something new with the idea that it will be very difficult, then often it becomes difficult because you start with a counterproductive mind-set. Second, I think this idea is probably based on the passing rate for the course. For many years Introduction to Analysis and Introduction to Statistics have had fairly similar passing rates. And I agree that especially in the Dutch group these rates are not so high, but the reason is not that the course itself is so difficult but rather that at the start of the study we have many students who are not so well suited for the program . And so, when students come to study with us, at least from the Netherlands, our school asks them what their grade for Mathematics is. If it is seven or below then they are advised to reconsider because the success rate is low for that group, approximately 20-30%. While if you have grade eight or higher then you get a positive signal as the success probability is quite good. In many years we had 50% of the students having this negative signal, thus with not high enough mathematics grade in high school. And some of them still succeed, but the large majority fail and that's why we see low passing rates for this course. I advise students not to fear this course but to see it as a starting test. If you pass this course and Introduction to Analysis, then you can become more confident that you have made a study choice that suits you well. But if you fail one or both of these courses then you may have to reassess your choice. That's also why we have the Binding Study Advice so that students get an early idea of what our program requires. In our program, I think, we have quite some students who just start Econometrics with the idea “Well, let's try it and see what happens” and later find out it was not the right choice. We have no intention at all of making things difficult for students. It's just a question of how well suited you are for the program, that is, if you pass then you may be more confident that you're suited well for the program.
Rumors about the difficulty of courses are a big pity, also because in both of my courses there is always a theoretical question in the exam. And quite some students just skip it because they think that it must be difficult. But that's the wrong attitude, for if you think you cannot do something, then indeed you often do not succeed. Of course, you should not be overly optimistic saying “I can do everything”, but you should be open minded and at least try your best. Often you can do much more than you think.
This is indeed a great message for the upcoming students, and we hope that our article can help remove this fear element regarding Introduction to Statistics.
A month ago, you hosted the final lecture for the Econometrics 1 course when you were also awarded the 'De Desiderius'. Can you share with us how you experienced the lecture? How did it feel seeing your colleagues and several former students attend to share the moment with you?
It was great. I have used the expression “It warms my heart”, which, of course, is figurative speech, but the evening after that lecture I felt different compared to the morning before. So, yes, it was a wonderful experience, and the speeches were also great. Also the educational officer of FAECTOR, Johannes Schurink, gave a wonderful speech during the lecture, not only very professional but also really nice in content. It was also great seeing many of my colleagues there, especially after the pandemic period when there were often just some three or four other persons present when I went to the Institute. And we even had some students from previous years attending the lecture and they came to me afterwards and we talked a bit, that made the day even more special for me.
Well, that's really great, I think it was also great for the students to share that moment with you. And now we've reached the last question of this interview. Having been so influential to the development of Econometrics in Rotterdam and globally, where do you think that the future of the field of Econometrics lies?
Well, I cannot really answer this question, but what I know from the past is that if the economy fares well, we need many econometricians to help firms and the government to guide all the processes. And when the economy performs poorly, we need econometricians to solve it. Thus, econometricians are needed at any stage of the economic cycle, which makes for great career prospects for the students.
Now, if you ask what the growth options for the different specializations are, I have to say that my knowledge is too limited. But in general terms, people become more and more aware of the importance of data. Think of, for instance, climate change data or human behavior data. So, data is becoming more and more important in all fields, and this favors Econometrics, but also other related fields like Computer Science, Data Analytics and Machine Learning. But I think Econometrics has the longest standing and the longest experience in dealing with socio-economic data and trying to make decisions based on data, so I think the importance of econometrics will only increase in the future.
Generally, the world gets more and more connected and more and more complex, which means that we don't understand how it all works, and then we need data to get an idea how it really works. It was just the same with the Covid-19 pandemic. Of course, if you are a virologist then you know the principles, which are quite difficult themselves, but to see how it works out in real-scale society we had to do measurements to understand what was actually going on. Testing for the virus was very important, we needed actual data to understand what was going on and to make decisions. Now all this is not necessarily only Econometrics but Big Data. Nonetheless, the way of thinking of Econometrics is very helpful also for solving current challenges.
Well, thank you very much for taking the time to sit this interview and for sharing your thoughts with us! And many congratulations again on the success of the MOOC and on receiving the De Desiderius award.
And thank you for your questions, it was a great pleasure speaking with you and I hope the students will enjoy reading this interview. I wish them all the best and a lot of pleasure in Econometrics.