Your Grandfather’s Model (Is Your Model too)

The same thing happens with CAT models (remember “near-term rates?) Not Unreasonable From John Taylor’s post on the fed’s model error: The solid black line plots changes in the estimated sacrifice ratio of unemployment to changes in inflation implied by the model over 64 vintages. Could easily be an actuary’s pricing model. That’s overfitting, folks. Responding … More Your Grandfather’s Model (Is Your Model too)