I had a lovely first day at the ETH conference on Scalable MCMC Sampling! I'm looking forward to the next 2 days of digging deep into sampling methods.

Causal graphs may look complicated, but they simplify checking the bestiary of failure modes in DiD with time-varying covariates. Worry when you have feedback from outcomes to covariates, treatment, or outcome, and worry about long term effects with treatment->covariate feedback. Essential reading!

Springtime Saturday skateboarding. 🛹

Well-deserved recognition for @ludwigstraub.bsky.social! His work w/ coauthors on "sequence-space" methods has transformed computation, empirics, and policy analysis in macro, offering a model representation which is general, intuitive, computationally tractable, and amenable to empirical testing.

Just starting to dig into this, but, a ? for macroeconomists. Standard models of wage rigidity a la Erceg Henderson Levin imply MPL above MRS, while modern consensus in labor econ, reviewed here, shows MRS>MPL ("monopsony"). Does this make a difference for macroeconomic dynamics? Maybe maybe not

Paul Rosenbaum's Causal Inference book is strongly recommended even if you think you don't need another intro causal inference book. It's short, it's precise, and it's thoughtful about sensitivity analysis and using all the evidence we have. www.goodreads.com/review/show/...

They've finally done it! Congrats to Britain on using fractal geometry to open the world's first infinitely long hiking path! www.science.org/doi/10.1126/...

I emailed him once a few years ago because he'd proposed (see vid) Bayesian ways of thinking about some classic microeconometric results that bring out the economic structure. I didn't get a response, but working through it changed how I do econometrics. www.chamberlainseminar.org/past-seminar...

I met Sims once at a conference, but like for many his main influence on me was through papers. His early work on VARs used a Hilbert space formalism that gets ignored in modern treatments but expressed the futility of truly agnostic structure learning and influenced his advocacy for Bayesianism.

I read and mostly liked @maxkasy.bsky.social's book on the economics of AI, "The Means of Prediction". I did think it could use a bit more Herbert Simon. Long review: 👇 www.goodreads.com/review/show/...

Belatedly following up on the discourse on transfem depictions in art, the Rijksmuseum's new Ovid exhibition showcases Bernini's 'Sleeping Hermaphroditus' (1620) which has the integrity to show us as we truly are: sooooo sleepy. 🥱💤 God I love naps, and that mattress looks so comfy...

Congratulations to Charles Manski on winning the BBVA Frontiers Award for his foundational contributions to partial identification, semiparametric methods, subjective expectations, social interactions and policy decision-making under uncertainty www.premiosfronterasdelconocimiento.es/noticias/xvi...

This contained a nice reminder that Ben has a book coming out about computational frameworks for decision making and how he doesn't like any of them. Preordered!

A new blog post motivated from this amazing discussion with @akhilrao.bsky.social and @donskerclass.bsky.social #EconSky #RStats #Stan jamesblandecon.github.io/posts/2026-0...

To give you a sense of how it feels, if I were trapped in a room and forced to take in messages written in Chinese and send out responses from a codebook all day everyday, I would not appreciate if every discussion of my situation were about consciousness and none at all were about how to get out.

This week's reading: Shon Faye's "The Transgender Issue" If I could recommend cisgender people to read one single book about us, it would probably be this one. It's not personal, it's not prurient, there's no philosophy or metaphysics; it's just facts and policy. www.goodreads.com/review/show/...

Hehehe "Proper understanding of the answers of the above questions should in most cases make you at best ambivalent about DiD. If you still think you have a DiD problem, expect me to try to help you figure out what else you should do"

For Spring semester, I'm bringing back free weekly open office hours for anyone in the world with Econometrics questions. Tuesdays 4-6 PM Central European Time (US EST 10AM-12PM) or by appointment; sign up and drop by! Details and signup at: donskerclass.github.io/OfficeHours....

Never have I felt more like my job will soon by taken by AI. Statistical learning theory in Lean: concentration inequalities, Dudley's entropy integral, and local Gaussian complexity bounds. 30000 lines of code, over 1000 lemmas, formalizing Wainwright and Boucheron et al arxiv.org/abs/2602.02285

For Spring semester, I'm bringing back free weekly open office hours for anyone in the world with Econometrics questions. Tuesdays 4-6 PM Central European Time (US EST 10AM-12PM) or by appointment; sign up and drop by! Details and signup at: donskerclass.github.io/OfficeHours....

Political scientists, time to help an economist who actually wants to read papers in your discipline!

It's hard to believe I taught a class on Public Policy as recently as Fall 2024. It now seems like a set of considerations that no longer define the terms of democratic debate. Any reading recommendations on organization under and effective transition from authoritarianism? #PoliSky

I will be at University of Tübingen on Tuesday Dec 2, and at NeuRIPS in San Diego Dec 3-8 spreading the good word of the Generalized Method of Moments in the age of AI. Econometrics lovers come say hi!

Global solutions with adaptive sparse grids are now implemented in Dynare.jl, thanks to @compsimon.bsky.social and team! This should substantially improve the ease of implementing fully nonlinear medium-scale macro models.

FWIW, there are data-based covariate selection procedures that allow for the possibility that some variables are mediators, not confounders. I even have one, though by now there are quite a few. All still require assumptions, and sometimes you get partial ID, but we can do better than ignoring it.

Is it true that I have completely lost my battle to make Double Machine Learning mean "cross-fitting Neyman orthogonal moments with an ML first stage" and not "a partially linear model fit by that procedure"? People should often be doing the former, useful thing, rarely the latter.

The new Rosalía album is astonishing. Run to your nearest source of music

Ethel Cain puts on a world-class live show.

Updated Fall time for free weekly open office hours for anyone in the world with Econometrics questions. Wednesdays 3:30-5:30PM Central European Time (US EDT 10:30/EST 9:30AM) or by appointment; sign up and drop by! Details and signup at: donskerclass.github.io/OfficeHours....

Updated Fall time for free weekly open office hours for anyone in the world with Econometrics questions. Wednesdays 3:30-5:30PM Central European Time (US EDT 10:30/EST 9:30AM) or by appointment; sign up and drop by! Details and signup at: donskerclass.github.io/OfficeHours....

NYC recommendations for a short trip tomorrow and Sunday? Looking for art, plays, LGBT nightlife, or econ/math/stats/CS seminars.

A nice Sunday: - Morning run - Shop for foundation at Sephora - Write short lit review on particle filters - Research meeting: find 2x2 matrix explanations for functional analytic ideas - Trans lesbian girl gang teaches me how to skateboard - Vegan döner - Pharmacy for bandages and ice packs

"A/S/L", also by @jeannethornton.bsky.social, in contrast, was written about and for downwardly-mobile 30-something women who used to be Boy Scouts and "pretended" to be girls in Final Fantasy IRC chatrooms, eg, precisely me. I cried continuously without stopping for the entire last half. A+

For a more reliable source to answer "what was the most foundational work in weak identification (and much more) over the past several decades?" I can think of no better place than the Cowles 2025 Conference on Econometrics Celebrating Don Andrews that I will attend next week.

New Substack post: the Nobel Prize goes to an economic historian and two economists of growth trying to answer the question, where do new technologies come from? someunpleasant.substack.com/p/growing-th...

Valid inference w/ LLM-simulated data: 1. Take subsample of texts, extract variables 2. Construct moments identifying param on those variables 3. Ask LLM to simulate variables on sample & remaining texts 4. Use same moments w/ simulated variables 5. Combine moments, estimate jointly w/ 2-step GMM

Everybody wants to join me at Universität Zürich now, huh. Herzlich willkommen in der Schweiz, Esther and Abhijit!

Dynamic investment under rational expectations: Yale preparing press materials in advance for Sveriges Riksbank season.

For today's meeting of the UZH ML+Macro Finance reading group, I read about Forward-Backward Stochastic Differential Equations. Among other things, these allow for a stochastic version of Pontryagin's maximum principle for optimal control along a path. Some notes I made explaining how they work:

I’ve been training my whole life for this moment

I was incredibly glad to catch #jasmine4t on tour last night! They put on an amazing live show, including new tracks from the extended album, out today!

Meta-discourse point: under DeGroot learning, signals from multiple sources are reinforced, regardless of whether such information is downstream of a common source (see e.g. stanford.edu/~arungc/CLX....) "Tagging" signals appears to reduce this bias (Möbius et al 2015) but is rarely done.

But the whole point of computer science and machine learning is to confuse operations and the implementations. 🤣

anybody have favorite resources for learning about decision making under uncertainty/reinforcement learning for someone with sheer curiosity and not a ton of time?

Does anyone have a favorite short intro to Reinforcement Learning? I'm putting together some instructional materials. Book chapters, articles, tutorials, etc. Preferably on the applied side over theoretical. #MLSky #Statsky

Not finding anything here: does anybody have references on properties of Kernel Mean Embeddings of Kernel Mean Embeddings (or some other numerically tractable nonparametric representation of random measures)? There's work on higher-order KMEs for stochastic processes, but this should be simpler.

PSA: "Summer Fun" by Jeanne Thornton is included free on Audible until 8/26. I didn't think from the synopsis, a book about a trans fan of a band that's a thinly veiled stand-in for the Beach Boys, that it would be for me, but I'm halfway through and now I think it might be the great American novel.

Etiquette question for German speakers: Am I supposed to go to the restroom labeled "alle Geschlechter" or the one labeled "FLINTA"? If it's "FINTA" instead, does it depend on how gay I'm feeling that day, or just how dykey my outfit is?

We are proud to have our very own @economeager.bsky.social as part of the first ever human MCMC chain traversing the space of all possible names and genders. We feel sincere congratulations are in order to Rafe, Rachel Leah and all other Bayesians involved.

Re BLS news, a few years ago I resigned from a CBO position before starting because I worried that regardless of what I did, the presence of someone like me would be used to impugn the credibility of a highly professional, nonpartisan agency. I can't know, but I can't say I made the wrong decision.