Econometrics of Machine Learning Methods in Economic Forecasting

Econometrics of Machine Learning Methods in Economic Forecasting

This paper surveys the recent advances in machine learning method for economic forecasting. The survey covers the following topics: nowcasting, textual data, panel and tensor data, high-dimensional Granger causality tests, time series cross-validation, classification with economic losses.

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Bibliographische Detailangaben
Hauptverfasser: Babii, Andrii, Ghysels, Eric, Striaukas, Jonas
Format: Artikel
Sprache:eng
Schlagworte:
Statistics - Applications
Statistics - Machine Learning
Statistics - Methodology
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Beschreibung
Zusammenfassung:This paper surveys the recent advances in machine learning method for economic forecasting. The survey covers the following topics: nowcasting, textual data, panel and tensor data, high-dimensional Granger causality tests, time series cross-validation, classification with economic losses.
DOI:10.48550/arxiv.2308.10993