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econ.EM2020
How is Machine Learning Useful for Macroeconomic Forecasting?
Philippe Goulet Coulombe, Maxime Leroux, Dalibor Stevanovic +1
We move beyond "Is Machine Learning Useful for Macroeconomic Forecasting?" by adding the "how". The current forecasting literature has focused on matching specific variables and ho…
econ.EM2020
Macroeconomic Data Transformations Matter
Philippe Goulet Coulombe, Maxime Leroux, Dalibor Stevanovic +1
In a low-dimensional linear regression setup, considering linear transformations/combinations of predictors does not alter predictions. However, when the forecasting technology eit…