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Deus ex Machina? A Framework for Macro Forecasting with Machine Learning
2020
IMF Working Papers
We develop a framework to nowcast (and forecast) economic variables with machine learning techniques. We explain how machine learning methods can address common shortcomings of traditional OLS-based models and use several machine learning models to predict real output growth with lower forecast errors than traditional models. By combining multiple machine learning models into ensembles, we lower forecast errors even further. We also identify measures of variable importance to help improve the
doi:10.5089/9781513531724.001
fatcat:gprwjc2fpncnrmtvozdwaqsjyi