Econometrics of Machine Learning Methods in Economic Forecasting
Econometrics
2023-08-23 v1 Applications
Methodology
Machine Learning
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.
Cite
@article{arxiv.2308.10993,
title = {Econometrics of Machine Learning Methods in Economic Forecasting},
author = {Andrii Babii and Eric Ghysels and Jonas Striaukas},
journal= {arXiv preprint arXiv:2308.10993},
year = {2023}
}