3 papers
econ.EM2026
MACROCAST: A Vintage-Consistent Time Series Foundation Model for Real-Time Macroeconomic Forecasting
Andrea Carriero, Davide Pettenuzzo, Shubhranshu Shekhar
We introduce MACROCAST, a lightweight Time Series Foundation Model (TSFM) for real-time macroeconomic forecasting. Existing TSFMs suffer from data leakage in two forms: temporal co…
econ.EM2026
Double Descent and Benign Overfitting in Macroeconomic Forecasting
Andrea Carriero, Florian Huber, Davide Pettenuzzo
We study double descent and benign overfitting in macroeconomic forecasting. We document that double-descent risk curves arise in standard macroeconomic datasets that are driven by…
econ.EM2025
Macroeconomic Forecasting with Large Language Models
Andrea Carriero, Davide Pettenuzzo, Shubhranshu Shekhar
This paper presents a comparative analysis evaluating the accuracy of Large Language Models (LLMs) against traditional macro time series forecasting approaches. In recent times, LL…