In recent years many new algorithms have been developed for applications in speech and image processing which may be repurposed for time series prediction. This paper presents a comprehensive comparative analysis of time series forecasting capabilities of eight such state-of-the-art algorithms...

This paper provides estimation and inference methods for conditional average treatment effects (CATE) characterized by a high‐dimensional parameter in both homogeneous cross‐sectional and unit‐heterogeneous dynamic panel data settings. In our leading example, we model CATE by interacting...