Category: Blogs
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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 good predictions. The natural question is how will it be re-tooled? How will so many of the models out there be re-tooled? For macro forecasters, […]
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How Machine Learning Can Save Economics
Because economists use incredible assumptions in their models, the public routinely loses faith in them. Or at least that’s the sense I get from the media. However, I think as long as model predictions are accurate, people will tolerate some unrealistic assumptions. “Physics Envy” (a phrase so Freudian, Sigmund himself would be impressed) aside, Newton’s […]
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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 progenitors of the innovative models of yesteryear and workhorse methods of today — VAR, ARCH, and Bayesian macroeconometrics — are here to oversee the next […]
Dave Wigglesworth 