4 citations · 4 across the 5 of their papers we have counts for
5 papers · 1 filter
Opening the Black Box of Local Projections
Philippe Goulet Coulombe, Karin Klieber
Local projections (LPs) are widely used in empirical macroeconomics to estimate impulse responses to policy interventions. Yet, in many ways, they are black boxes. It is often uncl…
An Adaptive Moving Average for Macroeconomic Monitoring
Philippe Goulet Coulombe, Karin Klieber
The use of moving averages is pervasive in macroeconomic monitoring, particularly for tracking noisy series such as inflation. The choice of the look-back window is crucial. Too lo…
Dual Interpretation of Machine Learning Forecasts
Philippe Goulet Coulombe, Maximilian Goebel, Karin Klieber
Machine learning predictions are typically interpreted as the sum of contributions of predictors. Yet, each out-of-sample prediction can also be expressed as a linear combination o…
Maximally Forward-Looking Core Inflation
Philippe Goulet Coulombe, Karin Klieber, Christophe Barrette +1
Timely monetary policy decision-making requires timely core inflation measures. We create a new core inflation series that is explicitly designed to succeed at that goal. Precisely…
From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks
Philippe Goulet Coulombe, Mikael Frenette, Karin Klieber
We reinvigorate maximum likelihood estimation (MLE) for macroeconomic density forecasting through a novel neural network architecture with dedicated mean and variance hemispheres.…