Econometrics of Machine Learning Methods in Economic Forecasting

Andrii Babii; Eric Ghysels; Jonas Striaukas

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arXiv · 2308.10993

Econometrics of Machine Learning Methods in Economic Forecasting

Andrii Babii·Eric Ghysels·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.

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econ.EM stat.AP stat.ME stat.ML

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BibTeX RIS

Andrii Babii, Eric Ghysels, Jonas Striaukas. 2023-08-21. Econometrics of Machine Learning Methods in Economic Forecasting. https://arxiv.org/abs/2308.10993

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