The work summarized here was presented as the Arnold Zellner Memorial Keynote Address at the 46th International Symposium on Forecasting in Montreal, June 2026. Generative AI was used as an editing tool and helped with references and literature review. I thank MartÃn (Tincho) Almuzara for ongoing discussions on the topics in this paper. The views expressed herein are those of the author and do not necessarily reflect the views of the National Bureau of Economic Research.