Econometrics of Machine Learning Methods in Economic Forecasting

21 Aug 2023  ·  Andrii Babii, Eric Ghysels, Jonas Striaukas ·

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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