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Econometrics of Machine Learning Methods in Economic Forecasting

Andrii Babii, Eric Ghysels and Jonas Striaukas

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Abstract: 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.

Date: 2023-08
New Economics Papers: this item is included in nep-big, nep-cmp, nep-ecm and nep-ets
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