We adapt Double Machine Learning to macroeconomic time series by combining regularized nuisance estimation with Reverse Cross-Fitting. This deterministic scheme exploits time reversibility to use time-reversed auxiliary blocks and, unlike neighbor-deletion designs, avoids buffer blocks, thereby improving sample usage. We derive conditions for asymptotic validity and show in simulations that the estimator performs well in realistic finite samples across the designs considered, including cases with misspecification, heteroskedasticity, and state dependence. We also show that, in high dimensions, predictive tuning metrics do not minimize bias in the causal score. We therefore propose a calibration rule targeting a Goldilocks zone of tuning parameters delivering stable partialled-out signals and reduced small-sample bias. We extend the method to residualized Local Projections and apply it to estimate the dynamic effects of a rise in Tier 1 regulatory capital. The results illustrate the usefulness of the approach for macroeconomic time-series inference.

Double Machine Learning for Time Series / Ciganovic, M., D'Amario, F., Tancioni, M.. - In: ECONOMETRICS JOURNAL. - ISSN 1368-4221. - (2026).

Double Machine Learning for Time Series

Milos Ciganovic;Federico D'Amario;Massimiliano Tancioni
2026

Abstract

We adapt Double Machine Learning to macroeconomic time series by combining regularized nuisance estimation with Reverse Cross-Fitting. This deterministic scheme exploits time reversibility to use time-reversed auxiliary blocks and, unlike neighbor-deletion designs, avoids buffer blocks, thereby improving sample usage. We derive conditions for asymptotic validity and show in simulations that the estimator performs well in realistic finite samples across the designs considered, including cases with misspecification, heteroskedasticity, and state dependence. We also show that, in high dimensions, predictive tuning metrics do not minimize bias in the causal score. We therefore propose a calibration rule targeting a Goldilocks zone of tuning parameters delivering stable partialled-out signals and reduced small-sample bias. We extend the method to residualized Local Projections and apply it to estimate the dynamic effects of a rise in Tier 1 regulatory capital. The results illustrate the usefulness of the approach for macroeconomic time-series inference.
2026
Causal Inference, Double Machine Learning, Time Series, Cross-Fitting, Hyperparameters tuning, Local Projections
01 Pubblicazione su rivista::01a Articolo in rivista
Double Machine Learning for Time Series / Ciganovic, M., D'Amario, F., Tancioni, M.. - In: ECONOMETRICS JOURNAL. - ISSN 1368-4221. - (2026).
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1771092
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