Check out Barnichon-Brownlees (2017) (BB). As proposed and developed in Jorda (2005), they estimate impulse-response functions (IRF's) directly by projecting outcomes on estimates of structural shocks at various horizons, as opposed to inver...

Check out Barnichon-Brownlees (2017) (BB). As proposed and developed in Jorda (2005), they estimate impulse-response functions (IRF's) directly by projecting outcomes on estimates of structural shocks at various horizons, as opposed to inver...

The problem with math rendering in the recent post, "All of Machine Learning in One Expression", is now fixed (I hope). That is, the math should now look like math, not LaTeX code, on all devices.

Sendhil Mullainathan gave an entertaining plenary talk on machine learning (ML) in finance, in Chicago last Saturday at the annual American Finance Association (AFA) meeting. (Many hundreds of people, standing room only -- great to see.) Not ...

A very Happy New Year to all! I get no pleasure from torpedoing anything, and "torpedoing" is likely exaggerated, but nevertheless take a look at "A Torpedo Aimed Straight at HMS Randomista". It argues that many econometric randomized controlled t...

Even internally-valid RCT's have issues. They reveal the treatment effect only for the precise experiment performed and situation studied. Consider, for example, a study of the effects of fertilizer on crop yield, done for region X during a heat wave....

I always thought putting exogenous volatility dynamics in macro-model shocks was a cop-out. Somehow it seemed more satisfying for volatility to be determined endogenously, in equilibrium. Then I came around: We allow for shocks with e...

Gary Gorton has made clear that the financial crisis of 2007 was in essence a traditional banking panic, not unlike those of the ninetheeth century. A key corollary is that the root cause of the Panic of 2007 can't be something relatively new, li...

From the last post, you might think that efficient learning about low-frequency phenomena requires tall data. Certainly efficient estimation of trend, as stressed in the last post, does require tall data. But it turns out that efficient estimation of...