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Econometrics of Machine Learning Methods in Economic Forecasting

Author

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  • Andrii Babii
  • Eric Ghysels
  • Jonas Striaukas

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.

Suggested Citation

  • Andrii Babii & Eric Ghysels & Jonas Striaukas, 2023. "Econometrics of Machine Learning Methods in Economic Forecasting," Papers 2308.10993, arXiv.org.
    • Handle: RePEc:arx:papers:2308.10993
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    References listed on IDEAS

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