It is often documented, based on autocorrelation, variance ratio, and power spectrum, that exchange rates approximately follow a martingale process. Because these data check serial uncorrelatedness rather than martingale difference, they may deliver misleading conclusions in favor of the...

We take a model selection approach to the question of whether a class of adaptive prediction models (artificial neural networks) is useful for predicting future values of nine macroeconomic variables. We use a variety of out-of-sample forecast-based model selection criteria, including forecast...

Careful examination of the structure determining treatment choice and outcomes, as advocated by Heckman (2008), is central to the design of treatment effect estimators and, in particular, proper choice of covariates. Here, we demonstrate how causal diagrams developed in the machine learning...