Milos Ciganovic, Federico D'Amario, Massimiliano Tancioni
arXiv 11 Mar 2026 · Econometrics · publishedEconometrics Journal (2026)
arXiv:2603.10999 · PDF · DOI · OpenAlex · Extracted main text
We modify the Double Machine Learning estimator to broaden its applicability to macroeconomic time-series settings. A deterministic cross-fitting step, termed Reverse Cross-Fitting, leverages the time-reversibility of stationary series to improve sample utilization and efficiency. We detail and prove the conditions under which the estimator is asymptotically valid. We then demonstrate, through simulations, that its performance remains valid in realistic finite samples and is robust to model misspecification and violations of assumptions, such as heteroskedasticity. In high dimensions, predictive metrics for tuning nuisance learners do not generally minimize bias in the causal score. We propose a calibration rule targeting a "Goldilocks zone", a region of tuning parameters that delivers stable, partialled-out signals and reduced small-sample bias. Finally, we apply our procedure to residualized Local Projections to estimate the dynamic effects of a rise in Tier 1 regulatory capital. The results underscore the usefulness of the methodology for inference in macroeconomic applications.
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| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | McGrath, S., Mukherjee, D., Mukherjee, R., and Wang, Z. J (2025) Optimal Nuisance Function Tuning for Estimating a Doubly Robust Functional under Proportional Asymptotics | 1.000 | 5 | 3 | 100% |
| 2 | Chernozhukov, V., Chetverikov, D., Demirer, M., Duflo, E., Hansen, C… (2018) Double/debiased machine learning for treatment and structural parameters | 0.874 | 5 | 2 | 100% |
| Chernozhukov | unmatched citation key Chernozhukov | 0.693 | 7 | 1 | 100% |
| Hansen | unmatched citation key Hansen | 0.644 | 4 | 1 | 100% |
| 5 | Conti, A. M., Nobili, A., and Signoretti, F. M (2023) Bank capital requirement shocks: A narrative perspective | 0.644 | 4 | 1 | 100% |
| 6 | Agostini, E., Bloise, F., and Tancioni, M (2024) Vaccination policy and mortality from COVID-19 in the European Union self | 0.644 | 2 | 2 | 100% |
| Newey | unmatched citation key Newey | 0.585 | 3 | 1 | 100% |
| 8 | Kanngiesser, D., Martin, R., Maurin, L., and Moccero, D (2020) The macroeconomic impact of shocks to bank capital buffers in the Euro Area | 0.585 | 3 | 1 | 100% |
| 9 | Meeks, R (2017) Capital regulation and the macroeconomy: Empirical evidence and macroprudential policy | 0.585 | 3 | 1 | 100% |
| 10 | Mésonnier, J.-S. and Stevanovic, D (2017) The macroeconomic effects of shocks to large banks' capital | 0.585 | 3 | 1 | 100% |
Showing the top 10 of 145 scored citations. 3 of these could not be matched to a bibliography entry, so only the citation key is shown.