Earlier I posted here on machine learning and central banking. Here's something related. Last week Penn's Warren Center hosted a timely and stimulating conference, "Machine Learning for Macroeconomic Prediction and Policy". ...

Earlier I posted here on machine learning and central banking. Here's something related. Last week Penn's Warren Center hosted a timely and stimulating conference, "Machine Learning for Macroeconomic Prediction and Policy". ...

A noteworthy aspect of long memory in realized asset return volatility is that in many leading cases it's basically undeniable on the basis of a variety of evidence -- the question isn't existence but rather strength. Hence it's useful to have a ...

A noteworthy aspect of long memory in realized asset return volatility is that in many leading cases it's basically undeniable on the basis of a variety of evidence -- the question isn't existence but rather strength. Hence it's useful to have a ...

Economics working papers are now a part of arXiv. This is great news, as arXiv is the premier working paper hosting platform in mathematics and the mathematical / statistical sciences. The Economics arXiv will start with...

Economics working papers are now a part of arXiv. This is great news, as arXiv is the premier working paper hosting platform in mathematics and the mathematical / statistical sciences. The Economics arXiv will start with...

Here's a new one. It was something of a long and winding road. We introduce simple "egalitarian LASSO" procedures that set some combining weights to zero and shrink those remaining toward equality. The feasible versions don't work ver...

Just back from 2017 NBER-NSF Time Series at Northwestern. Quite a feast -- my head is spinning. Program dumped below; formatted version here. Many thanks to the program committee for producing this event, and more generally for keepin...

I recently blogged on a new proposal heavily backed by elite statisticians to "redefine statistical significance", forthcoming in the elite journal Nature Human Behavior. (A link to the proposal appears at the end of this post.) I have a bi...