Most modern supervised statistical/machine learning (ML) methods are explicitly designed to solve prediction problems very well. Achieving this goal does not imply that these methods automatically deliver good estimators of causal parameters. Examples of such parameters include individual...

In 1983, Meese and Rogoff showed that traditional economic models developed since the 1970s do not perform better than the random walk in predicting out-of-sample exchange rates when using data obtained after the beginning of the floating rate system. Subsequently, whether traditional economical...