Can Machine Learning Catch the COVID-19 Recession?

Massimiliano Marcellino, Dalibor Stevanovic and Philippe Goulet Coulombe

No 15867, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: Based on evidence gathered from a newly built large macroeconomic data set for the UK, labeled UK-MD and comparable to similar datasets for the US and Canada, it seems the most promising avenue for forecasting during the pandemic is to allow for general forms of nonlinearity by using machine learning (ML) methods. But not all nonlinear ML methods are alike. For instance, some do not allow to extrapolate (like regular trees and forests) and some do (when complemented with linear dynamic components). This and other crucial aspects of ML-based forecasting in unprecedented times are studied in an extensive pseudo-out-of-sample exercise.

Date: 2021-03
New Economics Papers: this item is included in nep-big and nep-cmp
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Related works:
Journal Article: CAN MACHINE LEARNING CATCH THE COVID-19 RECESSION? (2021)
Working Paper: Can Machine Learning Catch the COVID-19 Recession? (2021)
Working Paper: Can Machine Learning Catch the COVID-19 Recession? (2021)
Working Paper: Can Machine Learning Catch the COVID-19 Recession? (2021)
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