Econometrics of Machine Learning Methods in Economic Forecasting

Andrii Babii, Eric Ghysels and Jonas Striaukas

Papers from arXiv.org

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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http://arxiv.org/pdf/2308.10993 Latest version (application/pdf)

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Chapter: Econometrics of machine learning methods in economic forecasting (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2308.10993

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