This paper examines persistence and nonlinearities in the US Federal Funds rate over the period from July 1954 to April 2025 by using fractional integration methods. More precisely, a general model including both deterministic and stochastic components is estimated under alternative assumptions...

Given data on a scalar random variable 𝑌, a prediction set for 𝑌 with miscoverage level 𝛼 is a set of values for 𝑌 that contains a randomly drawn 𝑌 with probability 1 − 𝛼, where 𝛼 ∈ (0, 1). Among all prediction sets that satisfy this coverage property, the oracle...

As countries grapple with the aftermath of climate-related disasters, the disruptions they inflict on domestic consumption ripple through the fabric of income and price level shocks. The income shock emanates from the adverse effects of such disasters on economic agents, leading to both wage and...

This paper discusses pairing double/debiased machine learning (DDML) with stacking, a model averaging method for combining multiple candidate learners, to estimate structural parameters. We introduce two new stacking approaches for DDML: short-stacking exploits the cross-fitting step of DDML to...

We propose a new tool to filter non-linear dynamic models that does not require the researcher to specify the model fully and can be implemented without solving the model. If two conditions are satisfied, we can use a flexible statistical model and a known measurement equation to back out the...