Assistant Professor of Economics | Forecasting • Structural Modelling • Macroeconomics
Economics is in crisis.
- Forecasts: Forecasts of period averages have failed to test against the correct random walk null (end-of-period no-change), testing instead against the period-average no-change. This has resulted in spurious predictability, calling into question every macroeconomic forecasting result from the last 50 years.
- Structural: Working (1960) was wrong: a random walk (RW) does not aggregate to a moving average (MA) process. Consequently, every macro model estimated on monthly or quarterly averages has mistimed shocks and introduced spurious endogeneity.
- Solution: Halve your forecast error and minimize endogeneity and mistiming through high-frequency techniques.
This page distributes the insights, data, Stata and R code, and techniques to elevate empirical macro.
High-frequency and real-time datasets for Econometrics and Machine Learning.
Key Advantage: Using high-frequency and end-of-month (EOM) data enables testing against the random walk hypothesis, reduces shock mistiming, avoids spurious endogeneity, and can improve forecasting accuracy by up to 40% compared to using monthly averages. Moreover, to ensure your empirical results are actually relevant, you must backtest using real-time data, relying strictly on pre-revision data that accounts for publication lags.
| Dataset | Scope | Tech Highlights |
|---|---|---|
| Real-Time Daily & EOM EERs | 160 Countries | World's first real-time daily/EOM effective exchange rate dataset. |
| 17 Primary Commodities | Global Markets | EOM spot and futures & futures-based forecasts. |
| Real-Time Oil Vintages | Monthly Vintages | Real-time global crude oil production, activity, and inventories. |
| EOM Backcasted Oil Prices | Since 1973 | WTI/Brent/RAC EOM and backcasted spot prices. |
- 📺 Filters & The Business Cycle: A deep dive into business cycle filtration.
- 📺 Canadian Economic Data Guide: A streamlined gateway to Canadian Data.
Level up your data analysis and coding from "Zero to Hero."
- 📺 The Stata Economics Masterclass (Complete: 5 Videos + Code)
- 💻 The R Economics Masterclass (In Development: Starter code available now, videos coming soon!)
- Automated Import & Cleaning: Stop wasting time on manual data formatting.
- Debug Like a Pro: Identifying AI "slop" and structural errors.
- Core Skills: Graphing, priors, and predictive modeling.
- Monte Carlo: Using simulations to verify your results.
- The "Copy-Paste" Intervention: Full automation of result reporting.
