For the Spring semester, I am restarting my free weekly open office-hours for anyone in the world with Econometrics questions. Wednesdays 10-12 AM Eastern or by appointment; sign up and drop by!

Link for Open Econometrics Office Hours details and sign-up: .

My traditional end-of-year review: some papers I read and liked in 2024.

New work by @shantanug7, @zacharylipton, and me on adaptively combining data sources for general semiparametric models. Think "design of experiments" but replace "experiments" with anything you can estimate by semiparametric GMM.

Perhaps alternately/also go to Michael's office hours if you have a serious Bayesian question: he's the best in the business.

Sign up for open Econometrics office hours at

I'm restarting open Econometrics Office Hours this week, now from @BowdoinCollege, where I am visiting this year. Open to anyone anywhere needing econometrics help! Now Wednesdays 10-12 AM Eastern or by appointment.

For pedants: I'm ignoring degrees of freedom in the moving average construction: d blows up substantially if this is optimized over. See for bounds for which I could never tell if they were scary or just highly conservative.

Against random sequences, such rules incur expected loss ~ O(d*Tmix/T) where d is number of predictors and Tmix/T is on the order of # of recessions (Yu 1994). This is "not enough data" if economy is β-mixing; in adversarial setting there's never enough.

"Fun" fact about threshold indicator rules of Sahm, Michez, etc type: they can incur unbounded regret against worst-case sequences, essentially since data can ping just above or just below an evolving threshold indefinitely. See S3.3 of for the proof.

I had a good time at @AcmSIGecom Economics and Computation #EC24 and apparently took ~25 pages of notes. Something to come back to after processing what I learned.

I'll be in NYC tomorrow, then New Haven for @AcmSIGecom #EC24 all next week, presenting at the Computational Methods for Economic Dynamics workshop. This is a new community for me, so I'm expecting to learn a lot.

Office hours this week are moved to 9:00-11:00AM Eastern US due to scheduling. Potentially an opportunity for those in time zones where regular hours were inconvenient. Sign up:

The Double Pareto Log Normal distribution is commonly used for modeling economic inequality, but is hard to fit. I tried variational Parallel Tempering in Pigeons.jl and it seems to work well, so I'm sharing my tiny code exercises.

RT @mktscompetition: מגניב. אנחנו כבר לוקחים את שיחות הוידאו כמובנות מאליהן ולא ממש נהנים מהן כתחליף לאינטראקציה רגילה, אבל הטכנולוגיה הזו….

For those with serious (statistical learning) theory questions, check out also this office hours initiative by a very impressive group.

Computing pseudospectra today with pseudospectral methods. (These are near identically named concepts which are essentially unrelated.)

Happening again this afternoon, 4:00-6:00 Eastern!.Sign up and link at

RT @DonskerClass: Thanks to participants in week 2! From next week I am opening up the video link. Please still send questions in advance….

Thanks to participants in week 2! From next week I am opening up the video link. Please still send questions in advance via email or form if you want a considered response.