Explainable artificial intelligence and economic panel data: A study on volatility spillover along the supply chains

Theo Berger

Finance Research Letters, 2023, vol. 54, issue C

Abstract: We provide an innovative application of explainable artificial intelligence to economic panel data. We apply boosted trees in combination with Shapley values to achieve post-model explanations. As a benchmark, we assess a pooled regression approach to discuss the economic information content of interpretable machine learning.

Keywords: Explainable artificial intelligence; Machine learning; Tree ensembles; Interpretable machine learning; Shapley values (search for similar items in EconPapers)
JEL-codes: C33 C58 G17 G23 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (9)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001307

DOI: 10.1016/j.frl.2023.103757

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