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Baumeister, Christiane; Huber, Florian; Marcellino, … - National Bureau of Economic Research - 2024

The substantial fluctuations in oil prices in the wake of the COVID-19 pandemic and the Russian invasion of Ukraine have highlighted the importance of tail events in the global market for crude oil which call for careful risk assessment. In this paper we focus on forecasting tail risks in the...

Persistent link: https://www.econbiz.de/10014544801

Biased Surveys

Valchev, Rosen; Gemmi, Luca - National Bureau of Economic Research - 2023

We find evidence suggesting that surveys of professional forecasters are biased by strategic incentives. First, we find that individual forecasts overreact to idiosyncratic information but underreact to common information. Second, we show that this bias is not present in forecasts data that is...

Persistent link: https://www.econbiz.de/10014337840

Comprehensive OOS Evaluation of Predictive Algorithms with Statistical Decision Theory

Dominitz, Jeff; Manski, Charles F. - National Bureau of Economic Research - 2024

We argue that comprehensive out-of-sample (OOS) evaluation using statistical decision theory (SDT) should replace the current practice of K-fold and Common Task Framework validation in machine learning (ML) research. SDT provides a formal framework for performing comprehensive OOS evaluation...

Persistent link: https://www.econbiz.de/10014512123

Nowcasting World Trade with Machine Learning : a Three-Step Approach

Chinn, Menzie David; Meunier, Baptiste; Stumpner, Sebastian - National Bureau of Economic Research - 2023

We nowcast world trade using machine learning, distinguishing between tree-based methods (random forest, gradient boosting) and their regression-based counterparts (macroeconomic random forest, gradient linear boosting). While much less used in the literature, the latter are found to outperform...

Persistent link: https://www.econbiz.de/10014322806

Machine Learning Can Predict Shooting Victimization Well Enough to Help Prevent It

Heller, Sara B.; Jakubowski, Benjamin; Jelveh, Zubin; … - National Bureau of Economic Research - 2022

This paper shows that shootings are predictable enough to be preventable. Using arrest and victimization records for almost 644,000 people from the Chicago Police Department, we train a machine learning model to predict the risk of being shot in the next 18 months. We address central concerns...

Persistent link: https://www.econbiz.de/10013334389

A New Way of Forecasting Recessions

Leamer, Edward E. - National Bureau of Economic Research - 2022

This paper proposes a new way of displaying and analyzing macroeconomic time series to form recession forecasts. The proposed data displays contain the last three years of each expansion. These allow observers to see for themselves what is different about the last year before recession. Based on...

Persistent link: https://www.econbiz.de/10013334464

How and When are High-Frequency Stock Returns Predictable?

Aït-Sahalia, Yacine; Fan, Jianqing; Xue, Lirong; Zhou, … - National Bureau of Economic Research - 2022

This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and transactions events, using machine learning methods. We find that, contrary to low frequency and long horizon returns, where predictability is rare and inconsistent,...

Persistent link: https://www.econbiz.de/10013362020

Probabilistic Prediction for Binary Treatment Choice : with Focus on Personalized Medicine

Manski, Charles F. - National Bureau of Economic Research - 2021

This paper extends my research applying statistical decision theory to treatment choice with sample data, using maximum regret to evaluate the performance of treatment rules. The specific new contribution is to study as-if optimization using estimates of illness probabilities in clinical choice...

Persistent link: https://www.econbiz.de/10012660036

Monetary-Based Asset Pricing : A Mixed-Frequency Structural Approach

Bianchi, Francesco; Ludvigson, Sydney C.; Ma, Sai - National Bureau of Economic Research - 2022

We integrate a high-frequency monetary event study into a mixed-frequency macro-finance model and structural estimation …. The model and estimation allow for jumps at Fed announcements in investor beliefs, providing granular detail on why … financial market risk. However, the structural estimation also finds that much of the causal impact of monetary policy on …

Persistent link: https://www.econbiz.de/10013210100

A Flexible Model of Food Security : Estimation and Implications for Prediction

Davis, Will; Xilau, Jose O.; Tchernis, Rusty; Gregory, … - National Bureau of Economic Research - 2024

features. It produces continuous food security estimates and measures of estimation uncertainty at the household level. Unlike … latent trait estimation. We observe overlap in BGRM estimates across USDA-defined food security categories and significant …

Persistent link: https://www.econbiz.de/10014544738

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