Dave’s Blogs

Blogs about applied econometrics (mostly time series).

Economic Analyst At Cornerstone Macro.

Any opinions expressed are my own.

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  • Retooling Our Models
    Some econometric models “broke” during the Covid era. Notably, the New York Fed’s GDP Nowcasting model was suspended. Basically, data were so volatile that their model was no longer delivering […]
  • How Machine Learning Can Save Economics
    Bad model predictions and incredible model assumptions invite vitriol upon economists. Luckily, measure critique can lead to better economic models. The demise of large Keynesian simultaneous-equation models ultimately yielded a […]
  • Forecasting With Level VARs Despite Non-Stationarity And/Or Cointegration. Intuition.
    I sometimes run into people who are violently opposed to fitting VARs to non-stationary or cointegrated data. For sure, there are problems with frequentist inference and IRFs under these conditions. […]
  • Macro Random Forest Leads To Macro Gains In Macro Forecasting
    Tomorrow is the 11th ECB Forecasting Conference. I am excited to see so many top authors: Sims, Engle, Koop, Marcellino, Schorfeide, and many more. It is fitting that so many […]

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