9 papers
LGB+: A Macroeconomic Forecasting Road Test
Philippe Goulet Coulombe
Needless to say, linear dynamics are pervasive in economic time series, particularly autoregressive ones. While gradient boosting with trees excels at capturing nonlinearities, it…
Quantifying the Risk-Return Tradeoff in Forecasting
Philippe Goulet Coulombe
Average forecast accuracy is not the same as forecast reliability. I treat forecast loss differentials relative to a benchmark as a return series. I then evaluate these returns usi…
Ordinary Least Squares as an Attention Mechanism
Philippe Goulet Coulombe
I show that ordinary least squares (OLS) predictions can be rewritten as the output of a restricted attention module, akin to those forming the backbone of large language models. T…
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…