Econometrics of Machine Learning Methods in Economic Forecasting

Published 21 Aug 2023 in econ.EM, stat.AP, stat.ME, and stat.ML | (2308.10993v1)

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.

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