The Macroeconomy as a Random Forest
Author
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Alan J. Auerbach & Yuriy Gorodnichenko, 2012.
"Measuring the Output Responses to Fiscal Policy,"
American Economic Journal: Economic Policy, American Economic Association, vol. 4(2), pages 1-27, May.
- Alan J. Auerbach & Yuriy Gorodnichenko, 2010. "Measuring the Output Responses to Fiscal Policy," NBER Chapters, in: Fiscal Policy (Trans-Atlantic Public Economics Seminar, TAPES), pages 1-27, National Bureau of Economic Research, Inc.
- Alan J. Auerbach & Yuriy Gorodnichenko, 2010. "Measuring the Output Responses to Fiscal Policy," NBER Working Papers 16311, National Bureau of Economic Research, Inc.
- Stevanovic Dalibor, 2016. "Common time variation of parameters in reduced-form macroeconomic models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(2), pages 159-183, April.
- Stock, James H. & Watson, Mark W., 1999.
"Business cycle fluctuations in us macroeconomic time series,"
Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 1, pages 3-64,
Elsevier.
- James H. Stock & Mark W. Watson, 1998. "Business Cycle Fluctuations in U.S. Macroeconomic Time Series," NBER Working Papers 6528, National Bureau of Economic Research, Inc.
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Large Bayesian vector auto regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Reichlin, Lucrezia & Giannone, Domenico & Banbura, Marta, 2007. "Bayesian VARs with Large Panels," CEPR Discussion Papers 6326, C.E.P.R. Discussion Papers.
- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & Reichlin, Lucrezia & Bańbura, Marta, 2008. "Large Bayesian VARs," Working Paper Series 966, European Central Bank.
- Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
- Eric Ghysels & Arthur Sinko & Rossen Valkanov, 2007. "MIDAS Regressions: Further Results and New Directions," Econometric Reviews, Taylor & Francis Journals, vol. 26(1), pages 53-90.
- Clements, Michael P. & Smith, Jeremy, 1997.
"The performance of alternative forecasting methods for SETAR models,"
International Journal of Forecasting, Elsevier, vol. 13(4), pages 463-475, December.
- Clements, Michael P & Smith, Jeremy, 1996. "Performance of Alternative Forecasting Methods for Setar Models," The Warwick Economics Research Paper Series (TWERPS) 467, University of Warwick, Department of Economics.
- Clements, Michael P. & Smith, Jeremy, 1996. "The Performance of Alternative Forecasting Methods for SETAR Models," Economic Research Papers 268737, University of Warwick - Department of Economics.
- Hansen, Christian & Liao, Yuan, 2019.
"The Factor-Lasso And K-Step Bootstrap Approach For Inference In High-Dimensional Economic Applications,"
Econometric Theory, Cambridge University Press, vol. 35(3), pages 465-509, June.
- Christian Hansen & Yuan Liao, 2016. "The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications," Departmental Working Papers 201610, Rutgers University, Department of Economics.
- Hansen, Christian & Liao, Yuan, 2016. "The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications," MPRA Paper 75313, University Library of Munich, Germany.
- Christian Hansen & Yuan Liao, 2016. "The Factor-Lasso and K-Step Bootstrap Approach for Inference in High-Dimensional Economic Applications," Papers 1611.09420, arXiv.org, revised Dec 2016.
- James H. Stock & Mark W. Watson, 2008.
"Phillips curve inflation forecasts,"
Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
- James H. Stock & Mark W. Watson, 2008. "Phillips Curve Inflation Forecasts," NBER Working Papers 14322, National Bureau of Economic Research, Inc.
- Aruoba, S. Borağan & Bocola, Luigi & Schorfheide, Frank, 2017.
"Assessing DSGE model nonlinearities,"
Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 34-54.
- S. Boragan Aruoba & Luigi Bocola & Frank Schorfheide, 2013. "Assessing DSGE model nonlinearities," Working Papers 13-47, Federal Reserve Bank of Philadelphia.
- S. Borağan Aruoba & Luigi Bocola & Frank Schorfheide, 2013. "Assessing DSGE Model Nonlinearities," NBER Working Papers 19693, National Bureau of Economic Research, Inc.
- Bergmeir, Christoph & Hyndman, Rob J. & Koo, Bonsoo, 2018. "A note on the validity of cross-validation for evaluating autoregressive time series prediction," Computational Statistics & Data Analysis, Elsevier, vol. 120(C), pages 70-83.
- Guillaume Chevillon, 2007.
"Direct Multi‐Step Estimation And Forecasting,"
Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 746-785, September.
- Guillaume Chevillon, 2005. "Direct multi-step estimation and forecasting," Documents de Travail de l'OFCE 2005-10, Observatoire Francais des Conjonctures Economiques (OFCE).
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2022.
"How is machine learning useful for macroeconomic forecasting?,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 920-964, August.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2019. "How is Machine Learning Useful for Macroeconomic Forecasting?," CIRANO Working Papers 2019s-22, CIRANO.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & St'ephane Surprenant, 2020. "How is Machine Learning Useful for Macroeconomic Forecasting?," Papers 2008.12477, arXiv.org.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stephane Surprenant, 2020. "How is Machine Learning Useful for Macroeconomic Forecasting?," Working Papers 20-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Aug 2020.
- Christopher A. Sims, 1993.
"A Nine-Variable Probabilistic Macroeconomic Forecasting Model,"
NBER Chapters, in: Business Cycles, Indicators, and Forecasting, pages 179-212,
National Bureau of Economic Research, Inc.
- Christopher A. Sims, 1989. "A nine variable probabilistic macroeconomic forecasting model," Discussion Paper / Institute for Empirical Macroeconomics 14, Federal Reserve Bank of Minneapolis.
- Christopher A. Sims, 1992. "A Nine Variable Probabilistic Macroeconomic Forecasting Model," Cowles Foundation Discussion Papers 1034, Cowles Foundation for Research in Economics, Yale University.
- Edward E. Leamer, 2007.
"Housing is the business cycle,"
Proceedings - Economic Policy Symposium - Jackson Hole, Federal Reserve Bank of Kansas City, pages 149-233.
- Edward E. Leamer, 2007. "Housing IS the Business Cycle," NBER Working Papers 13428, National Bureau of Economic Research, Inc.
- JAMES G. MacKINNON, 2006.
"Bootstrap Methods in Econometrics,"
The Economic Record, The Economic Society of Australia, vol. 82(s1), pages 2-18, September.
- James G. MacKinnon, 2006. "Bootstrap Methods In Econometrics," Working Paper 1028, Economics Department, Queen's University.
- Liudas Giraitis & George Kapetanios & Tony Yates, 2018.
"Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 39(2), pages 129-149, March.
- Liudas Giraitis & George Kapetanios & Tony Yates, 2015. "Inference on Multivariate Heteroscedastic Time Varying Random Coefficient Models," Working Papers 767, Queen Mary University of London, School of Economics and Finance.
- Arturo Estrella & Frederic S. Mishkin, 1998.
"Predicting U.S. Recessions: Financial Variables As Leading Indicators,"
The Review of Economics and Statistics, MIT Press, vol. 80(1), pages 45-61, February.
- Arturo Estrella & Frederic S. Mishkin, 1995. "Predicting U.S. Recessions: Financial Variables as Leading Indicators," NBER Working Papers 5379, National Bureau of Economic Research, Inc.
- Arturo Estrella & Frederic S. Mishkin, 1996. "Predicting U.S. recessions: financial variables as leading indicators," Research Paper 9609, Federal Reserve Bank of New York.
- Michael W. McCracken & Serena Ng, 2016.
"FRED-MD: A Monthly Database for Macroeconomic Research,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 574-589, October.
- Michael W. McCracken & Serena Ng, 2015. "FRED-MD: A Monthly Database for Macroeconomic Research," Working Papers 2015-12, Federal Reserve Bank of St. Louis.
- Olivier Fortin‐Gagnon & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2022.
"A large Canadian database for macroeconomic analysis,"
Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 55(4), pages 1799-1833, November.
- Olivier Fortin-Gagnon & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2018. "A Large Canadian Database for Macroeconomic Analysis," CIRANO Working Papers 2018s-25, CIRANO.
- Olivier Fortin-Gagnon & Maxime Leroux & Dalibor Stevanovic & Stephane Surprenant, 2020. "A Large Canadian Database for Macroeconomic Analysis," Working Papers 20-07, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
- Daniel Wochner, 2020. "Dynamic Factor Trees and Forests – A Theory-led Machine Learning Framework for Non-Linear and State-Dependent Short-Term U.S. GDP Growth Predictions," KOF Working papers 20-472, KOF Swiss Economic Institute, ETH Zurich.
- Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020.
"What's Up with the Phillips Curve?,"
Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 51(1 (Spring), pages 301-373.
- William Chen & Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What’s Up with the Phillips Curve?," Liberty Street Economics 20200918a, Federal Reserve Bank of New York.
- Marco Del Negro & Michele Lenza & Giorgio E. Primiceri & Andrea Tambalotti, 2020. "What’s up with the Phillips Curve?," NBER Working Papers 27003, National Bureau of Economic Research, Inc.
- Primiceri, Giorgio & Del Negro, Marco & Lenza, Michele & Tambalotti, Andrea, 2020. "What's up with the Phillips Curve?," CEPR Discussion Papers 14583, C.E.P.R. Discussion Papers.
- Del Negro, Marco & Lenza, Michele & Primiceri, Giorgio E. & Tambalotti, Andrea, 2020. "What’s up with the Phillips Curve?," Working Paper Series 2435, European Central Bank.
- Ramey, V.A., 2016.
"Macroeconomic Shocks and Their Propagation,"
Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 71-162,
Elsevier.
- Ramey, VA, 2016. "Macroeconomic Shocks and Their Propagation," University of California at San Diego, Economics Working Paper Series qt5mb353t2, Department of Economics, UC San Diego.
- Valerie A. Ramey, 2016. "Macroeconomic Shocks and Their Propagation," NBER Working Papers 21978, National Bureau of Economic Research, Inc.
- Wei, Pengfei & Lu, Zhenzhou & Song, Jingwen, 2015. "Variable importance analysis: A comprehensive review," Reliability Engineering and System Safety, Elsevier, vol. 142(C), pages 399-432.
- Granger Clive W.J., 2008. "Non-Linear Models: Where Do We Go Next - Time Varying Parameter Models?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(3), pages 1-11, September.
- James H. Stock & Mark W. Watson, 2007.
"Why Has U.S. Inflation Become Harder to Forecast?,"
Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(s1), pages 3-33, February.
- James H. Stock & Mark W. Watson, 2006. "Why Has U.S. Inflation Become Harder to Forecast?," NBER Working Papers 12324, National Bureau of Economic Research, Inc.
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Large Bayesian vector auto regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Marta Bańbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92, January.
- P. Richard Hahn & Carlos M. Carvalho & Sayan Mukherjee, 2013. "Partial Factor Modeling: Predictor-Dependent Shrinkage for Linear Regression," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 108(503), pages 999-1008, September.
- Michael W. McCracken & Serena Ng, 2021.
"FRED-QD: A Quarterly Database for Macroeconomic Research,"
Review, Federal Reserve Bank of St. Louis, vol. 103(1), pages 1-44, January.
- Michael W. McCracken & Serena Ng, 2020. "FRED-QD: A Quarterly Database for Macroeconomic Research," Working Papers 2020-005, Federal Reserve Bank of St. Louis.
- Michael McCracken & Serena Ng, 2020. "FRED-QD: A Quarterly Database for Macroeconomic Research," NBER Working Papers 26872, National Bureau of Economic Research, Inc.
- Blanchard, Oliver & Cerutti, Eugenio & SUmmers, Lawrence, 2015.
"Inflation and Activity - Two Explorations and Their Monetary Policy Implications,"
Working Paper Series
15-070, Harvard University, John F. Kennedy School of Government.
- Olivier Blanchard & Eugenio Cerutti & Lawrence Summers, 2015. "Inflation and Activity – Two Explorations and their Monetary Policy Implications," NBER Working Papers 21726, National Bureau of Economic Research, Inc.
- Mr. Olivier J Blanchard & Mr. Eugenio M Cerutti & Lawrence Summers, 2015. "Inflation and Activity – Two Explorations and their Monetary Policy Implications," IMF Working Papers 2015/230, International Monetary Fund.
- Olivier Blanchard & Eugenio Cerutti & Lawrence H. Summers, 2015. "Inflation and Activity: Two Explorations and Their Monetary Policy Implications," Working Paper Series WP15-19, Peterson Institute for International Economics.
- Chamberlain, Gary & Imbens, Guido W, 2003.
"Nonparametric Applications of Bayesian Inference,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 21(1), pages 12-18, January.
- Imbens, Guido & Chamberlain, Gary, 1996. "Nonparametric Applications of Bayesian Inference," Scholarly Articles 3221493, Harvard University Department of Economics.
- Gary Chamberlain & Guido W. Imbens, 1996. "Nonparametric Applications of Bayesian Inference," NBER Technical Working Papers 0200, National Bureau of Economic Research, Inc.
- Gary Chamberlain & Guido W. Imbens, 1996. "Nonparametric Applications of Bayesian Inference," Harvard Institute of Economic Research Working Papers 1772, Harvard - Institute of Economic Research.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
- Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-263, July.
- Francis X. Diebold & Roberto S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
- Stock, James H. & Watson, Mark W., 1999.
"Forecasting inflation,"
Journal of Monetary Economics, Elsevier, vol. 44(2), pages 293-335, October.
- James H. Stock & Mark W. Watson, 1999. "Forecasting Inflation," NBER Working Papers 7023, National Bureau of Economic Research, Inc.
- Marcelo C. Medeiros & Gabriel F. R. Vasconcelos & Álvaro Veiga & Eduardo Zilberman, 2021.
"Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 39(1), pages 98-119, January.
- Marcelo Madeiros & Gabriel Vasconcelos & Álvaro Veiga & Eduardo Zilberman, 2019. "Forecasting Inflation in a Data-Rich Environment: The Benefits of Machine Learning Methods," Working Papers Central Bank of Chile 834, Central Bank of Chile.
- Shiller, Robert J, 1973. "A Distributed Lag Estimator Derived from Smoothness Priors," Econometrica, Econometric Society, vol. 41(4), pages 775-788, July.
- Borup, Daniel & Christensen, Bent Jesper & Mühlbach, Nicolaj Søndergaard & Nielsen, Mikkel Slot, 2023.
"Targeting predictors in random forest regression,"
International Journal of Forecasting, Elsevier, vol. 39(2), pages 841-868.
- Daniel Borup & Bent Jesper Christensen & Nicolaj N{o}rgaard Muhlbach & Mikkel Slot Nielsen, 2020. "Targeting predictors in random forest regression," Papers 2004.01411, arXiv.org, revised Nov 2020.
- Daniel Borup & Bent Jesper Christensen & Nicolaj N. Mühlbach & Mikkel S. Nielsen, 2020. "Targeting predictors in random forest regression," CREATES Research Papers 2020-03, Department of Economics and Business Economics, Aarhus University.
- Giraitis, L. & Kapetanios, G. & Yates, T., 2014. "Inference on stochastic time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 179(1), pages 46-65.
- Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2010.
"Inflation-Gap Persistence in the US,"
American Economic Journal: Macroeconomics, American Economic Association, vol. 2(1), pages 43-69, January.
- Timothy Cogley & Giorgio E. Primiceri & Thomas J. Sargent, 2008. "Inflation-Gap Persistence in the U.S," NBER Working Papers 13749, National Bureau of Economic Research, Inc.
- Koop, Gary & Korobilis, Dimitris, 2013.
"Large time-varying parameter VARs,"
Journal of Econometrics, Elsevier, vol. 177(2), pages 185-198.
- Koop, Gary & Korobilis, Dimitris, 2012. "Large time-varying parameter VARs," MPRA Paper 38591, University Library of Munich, Germany.
- Gary Koop & Dimitris Korobilis, 2012. "Large Time-Varying Parameter VARs," Working Paper series 11_12, Rimini Centre for Economic Analysis.
- Gary Koop & Dimitris Korobilis, 2012. "Large time-varying parameter VARs," Working Papers 2012_04, Business School - Economics, University of Glasgow.
- Koop, Gary & Korobilis, Dimitris, 2012. "Large Time-Varying Parameter VARs," SIRE Discussion Papers 2012-14, Scottish Institute for Research in Economics (SIRE).
- Diebold, Francis X & Rudebusch, Glenn D, 1996.
"Measuring Business Cycles: A Modern Perspective,"
The Review of Economics and Statistics, MIT Press, vol. 78(1), pages 67-77, February.
- Diebold & Rudebusch, "undated". "Measuring Business Cycle: A Modern Perspective," Home Pages _061, University of Pennsylvania.
- Francis X. Diebold & Glenn D. Rudebusch, 1994. "Measuring Business Cycles: A Modern Perspective," NBER Working Papers 4643, National Bureau of Economic Research, Inc.
- Harding, Martín & Lindé, Jesper & Trabandt, Mathias, 2022.
"Resolving the missing deflation puzzle,"
Journal of Monetary Economics, Elsevier, vol. 126(C), pages 15-34.
- Linde, Jesper & Trabandt, Mathias, 2019. "Resolving the Missing Deflation Puzzle," CEPR Discussion Papers 13690, C.E.P.R. Discussion Papers.
- Olivier Blanchard, 2016.
"The Phillips Curve: Back to the '60s?,"
American Economic Review, American Economic Association, vol. 106(5), pages 31-34, May.
- Olivier J. Blanchard, 2016. "The US Phillips Curve: Back to the 60s?," Policy Briefs PB16-1, Peterson Institute for International Economics.
- Champagne, Julien & Sekkel, Rodrigo, 2018.
"Changes in monetary regimes and the identification of monetary policy shocks: Narrative evidence from Canada,"
Journal of Monetary Economics, Elsevier, vol. 99(C), pages 72-87.
- Julien Champagne & Rodrigo Sekkel, 2017. "Changes in Monetary Regimes and the Identification of Monetary Policy Shocks: Narrative Evidence from Canada," Staff Working Papers 17-39, Bank of Canada.
- Julien Champagne & Rodrigo Sekkel, 2018. "Changes in Monetary Regimes and the Identification of Monetary Policy Shocks: Narrative Evidence from Canada," 2018 Meeting Papers 128, Society for Economic Dynamics.
- Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 821-852.
- Bai, Jushan & Ng, Serena, 2008. "Forecasting economic time series using targeted predictors," Journal of Econometrics, Elsevier, vol. 146(2), pages 304-317, October.
- Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018.
"Reducing Dimensions in a Large TVP-VAR,"
Working Paper series
18-37, Rimini Centre for Economic Analysis.
- Eric Eisenstat & Joshua C.C. Chan & Rodney W. Strachan, 2018. "Reducing Dimensions in a Large TVP-VAR," Working Paper Series 43, Economics Discipline Group, UTS Business School, University of Technology, Sydney.
- Joshua C.C. Chan & Eric Eisenstat & Rodney W. Strachan, 2018. "Reducing dimensions in a large TVP-VAR," CAMA Working Papers 2018-49, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Nicolas Woloszko, 2020. "Adaptive Trees: a new approach to economic forecasting," OECD Economics Department Working Papers 1593, OECD Publishing.
- Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2013.
"Macroeconomic forecasting and structural change,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(1), pages 82-101, January.
- Antonello D'Agostino & Luca Gambetti & Domenico Giannone, 2009. "Macroeconomic Forecasting and Structural Change," Working Papers ECARES 2009_020, ULB -- Universite Libre de Bruxelles.
- Giannone, Domenico & D'Agostino, Antonello & Gambetti, Luca, 2010. "Macroeconomic forecasting and structural change," Working Paper Series 1167, European Central Bank.
- D'Agostino, Antonello & Gambetti, Luca & Giannone, Domenico & Giannone, Domenico, 2009. "Macroeconomic Forecasting and Structural Change," Research Technical Papers 8/RT/09, Central Bank of Ireland.
- Giannone, Domenico & D’Agostino, Antonello & Gambetti, Luca, 2009. "Macroeconomic Forecasting and Structural Change," CEPR Discussion Papers 7542, C.E.P.R. Discussion Papers.
- Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
- James H. Stock & Mark W. Watson, 2007. "Erratum to "Why Has U.S. Inflation Become Harder to Forecast?"," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(7), pages 1849-1849, October.
- Valerie A. Ramey & Sarah Zubairy, 2018.
"Government Spending Multipliers in Good Times and in Bad: Evidence from US Historical Data,"
Journal of Political Economy, University of Chicago Press, vol. 126(2), pages 850-901.
- Valerie A. Ramey & Sarah Zubairy, 2014. "Government Spending Multipliers in Good Times and in Bad: Evidence from U.S. Historical Data," NBER Working Papers 20719, National Bureau of Economic Research, Inc.
- Rachidi Kotchoni & Maxime Leroux & Dalibor Stevanovic, 2019.
"Macroeconomic forecast accuracy in a data‐rich environment,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1050-1072, November.
- Rachidi Kotchoni & Maxime Leroux & Dalibor Stevanovic, 2019. "Macroeconomic Forecast Accuracy in data-rich environment," Post-Print hal-02435757, HAL.
- Matt Taddy & Matt Gardner & Liyun Chen & David Draper, 2016. "A Nonparametric Bayesian Analysis of Heterogenous Treatment Effects in Digital Experimentation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(4), pages 661-672, October.
- James H. Stock & Mark W. Watson, 1989.
"New Indexes of Coincident and Leading Economic Indicators,"
NBER Chapters, in: NBER Macroeconomics Annual 1989, Volume 4, pages 351-409,
National Bureau of Economic Research, Inc.
- Stock, J.H. & Watson, M.W., 1989. "New Indexes Of Coincident And Leading Economic Indicators," Papers 178d, Harvard - J.F. Kennedy School of Government.
- Dale J. Poirier, 2011. "Bayesian Interpretations of Heteroskedastic Consistent Covariance Estimators Using the Informed Bayesian Bootstrap," Econometric Reviews, Taylor & Francis Journals, vol. 30(4), pages 457-468, August.
- Dolado, Juan J. & Maria-Dolores, Ramon & Naveira, Manuel, 2005. "Are monetary-policy reaction functions asymmetric?: The role of nonlinearity in the Phillips curve," European Economic Review, Elsevier, vol. 49(2), pages 485-503, February.
- Giovanni Callegari & Mr. Giovanni Melina & Nicoletta Batini, 2012. "Successful Austerity in the United States, Europe and Japan," IMF Working Papers 2012/190, International Monetary Fund.
- repec:ulb:ulbeco:2013/13388 is not listed on IDEAS
- GalÃ, Jordi & Gambetti, Luca, 2019.
"Has the U.S. Wage Phillips Curve Flattened? A Semi-Structural Exploration,"
CEPR Discussion Papers
13452, C.E.P.R. Discussion Papers.
- Jordi Galí & Luca Gambetti, 2019. "Has the U.S. Wage Phillips Curve Flattened? A Semi-Structural Exploration," NBER Working Papers 25476, National Bureau of Economic Research, Inc.
- Jordi Galí & Luca Gambetti, 2019. "Has the U.S. Wage Phillips Curve Flattened? A Semi-Structural Exploration," Working Papers Central Bank of Chile 846, Central Bank of Chile.
- Andrew Atkeson & Lee E. Ohanian, 2001. "Are Phillips curves useful for forecasting inflation?," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 25(Win), pages 2-11.
- Pasquale Cirillo & Pietro Muliere, 2013. "An urn-based Bayesian block bootstrap," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(1), pages 93-106, January.
- Jeffrey C. Chen & Abe Dunn & Kyle Hood & Alexander Driessen & Andrea Batch, 2019. "Off to the Races: A Comparison of Machine Learning and Alternative Data for Predicting Economic Indicators," NBER Chapters, in: Big Data for Twenty-First-Century Economic Statistics, pages 373-402, National Bureau of Economic Research, Inc.
- James H. Stock & Mark W. Watson, 1998. "A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series," NBER Working Papers 6607, National Bureau of Economic Research, Inc.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Maximilian Gobel & Tanya Araújo, 2020. "Indicators of Economic Crises: A Data-Driven Clustering Approach," Working Papers REM 2020/0128, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Philippe Goulet Coulombe & Maximilian Göbel, 2021. "On Spurious Causality, CO 2 , and Global Temperature," Econometrics, MDPI, vol. 9(3), pages 1-18, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Philippe Goulet Coulombe, 2021. "The Macroeconomy as a Random Forest," Working Papers 21-05, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
- Philippe Goulet Coulombe, 2020. "Time-Varying Parameters as Ridge Regressions," Papers 2009.00401, arXiv.org, revised Nov 2024.
- Philippe Goulet Coulombe, 2024. "The macroeconomy as a random forest," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(3), pages 401-421, April.
- Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Working Papers 22-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
- Philippe Goulet Coulombe, 2022. "A Neural Phillips Curve and a Deep Output Gap," Papers 2202.04146, arXiv.org, revised Oct 2024.
- Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87.
- Goulet Coulombe, Philippe & Leroux, Maxime & Stevanovic, Dalibor & Surprenant, Stéphane, 2021.
"Macroeconomic data transformations matter,"
International Journal of Forecasting, Elsevier, vol. 37(4), pages 1338-1354.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stephane Surprenant, 2020. "Macroeconomic Data Transformations Matter," Working Papers 20-17, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Mar 2021.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & St'ephane Surprenant, 2020. "Macroeconomic Data Transformations Matter," Papers 2008.01714, arXiv.org, revised Mar 2021.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2020. "Macroeconomic Data Transformations Matter," CIRANO Working Papers 2020s-42, CIRANO.
- Hauzenberger, Niko & Huber, Florian & Klieber, Karin, 2023.
"Real-time inflation forecasting using non-linear dimension reduction techniques,"
International Journal of Forecasting, Elsevier, vol. 39(2), pages 901-921.
- Niko Hauzenberger & Florian Huber & Karin Klieber, 2020. "Real-time Inflation Forecasting Using Non-linear Dimension Reduction Techniques," Papers 2012.08155, arXiv.org, revised Dec 2021.
- Barbara Rossi, 2019.
"Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them,"
Economics Working Papers
1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
- Barbara Rossi, 2019. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," Working Papers 1162, Barcelona School of Economics.
- Rossi, Barbara, 2020. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," CEPR Discussion Papers 14472, C.E.P.R. Discussion Papers.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2022.
"How is machine learning useful for macroeconomic forecasting?,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 920-964, August.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2019. "How is Machine Learning Useful for Macroeconomic Forecasting?," CIRANO Working Papers 2019s-22, CIRANO.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & Stephane Surprenant, 2020. "How is Machine Learning Useful for Macroeconomic Forecasting?," Working Papers 20-01, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Aug 2020.
- Philippe Goulet Coulombe & Maxime Leroux & Dalibor Stevanovic & St'ephane Surprenant, 2020. "How is Machine Learning Useful for Macroeconomic Forecasting?," Papers 2008.12477, arXiv.org.
- Hauzenberger, Niko, 2021. "Flexible Mixture Priors for Large Time-varying Parameter Models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 87-108.
- Faust, Jon & Wright, Jonathan H., 2013. "Forecasting Inflation," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 2-56, Elsevier.
- Moramarco, Graziano, 2024.
"Financial-cycle ratios and medium-term predictions of GDP: Evidence from the United States,"
International Journal of Forecasting, Elsevier, vol. 40(2), pages 777-795.
- Graziano Moramarco, 2021. "Financial-cycle ratios and medium-term predictions of GDP: Evidence from the United States," Papers 2111.00822, arXiv.org, revised Jan 2024.
- Tallman, Ellis W. & Zaman, Saeed, 2020.
"Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy,"
International Journal of Forecasting, Elsevier, vol. 36(2), pages 373-398.
- Ellis W. Tallman & Saeed Zaman, 2018. "Combining Survey Long-Run Forecasts and Nowcasts with BVAR Forecasts Using Relative Entropy," Working Papers (Old Series) 1809, Federal Reserve Bank of Cleveland.
- Niko Hauzenberger, 2020. "Flexible Mixture Priors for Large Time-varying Parameter Models," Papers 2006.10088, arXiv.org, revised Nov 2020.
- Mandalinci, Zeyyad, 2017.
"Forecasting inflation in emerging markets: An evaluation of alternative models,"
International Journal of Forecasting, Elsevier, vol. 33(4), pages 1082-1104.
- Zeyyad Mandalinci, 2015. "Forecasting Inflation in Emerging Markets: An Evaluation of Alternative Models," CReMFi Discussion Papers 3, CReMFi, School of Economics and Finance, QMUL.
- Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2022.
"The global component of inflation volatility,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(4), pages 700-721, June.
- Andrea Carriero & Francesco Corsello & Massimiliano Marcellino, 2018. "The global component of inflation volatility," Temi di discussione (Economic working papers) 1170, Bank of Italy, Economic Research and International Relations Area.
- Marcellino, Massimiliano & Carriero, Andrea & Corsello, Francesco, 2019. "The Global Component of Inflation Volatility," CEPR Discussion Papers 13470, C.E.P.R. Discussion Papers.
- Delle Monache, Davide & Petrella, Ivan, 2017.
"Adaptive models and heavy tails with an application to inflation forecasting,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
- Davide Delle Monache & Ivan Petrella, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," BCAM Working Papers 1603, Birkbeck Centre for Applied Macroeconomics.
- Delle Monache, Davide & Petrella, Ivan, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," MPRA Paper 75424, University Library of Munich, Germany.
- Reif Magnus, 2021.
"Macroeconomic uncertainty and forecasting macroeconomic aggregates,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-20, April.
- Magnus Reif, 2018. "Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates," ifo Working Paper Series 265, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Philippe Goulet Coulombe, 2021. "To Bag is to Prune," Working Papers 21-03, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management, revised Jun 2021.
More about this item
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BIG-2020-07-27 (Big Data)
- NEP-CMP-2020-07-27 (Computational Economics)
- NEP-MAC-2020-07-27 (Macroeconomics)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2006.12724. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.