Macroeconomic Forecasting and Machine Learning
宏观经济预测与机器学习
We forecast the full conditional distribution of macroeconomic outcomes by systematically integrating three key principles: using high-dimensional data with appropriate regularization, adopting rigorous out-of-sample validation procedures, and incorporating nonlinearities. By exploiting the rich information embedded in a large set of macroeconomic and financial predictors, we produce accurate predictions of the entire profile of macroeconomic risk in real time. Our findings…