Predictive Consequences of Using Conditioning or Causal Variables
使用条件变量或因果变量的预测后果AI 解读 ↓
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使用条件变量或因果变量的预测后果AI 解读 ↓
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Forecasts based on two information sets, one of which includes the other plus additional causal variables are considered. Given a general cost function of forecast errors, it is shown that the expected cost is smaller for the information set that includes the causal variables.
用循环神经网络预测自回归非因果过程
This paper examines the use of recurrent neural networks and their extensions for forecasting autoregressive causal-noncausal processes, characterized by local explosive patterns such as bubbles and spikes. We study the recurrent neural networks (RNN), long short-term memory networks (LSTM), gated recurrent unit (GRU), bidirectional LSTM, and also a simple feed-forward network (FNN) to reveal the difficulty of forecasting extreme values depending on the type of network and…
从控制到处理:超越已观测面板的因果预测
Conventional panel data methods recover retrospective counterfactuals within the observed horizon. Many policy decisions, however, are prospective: how would an untreated unit evolve beyond the observed panel under an intervention it has not previously experienced? We develop a causal forecasting framework that combines the counterfactual logic of synthetic controls with multivariate time-series extrapolation. Under a latent factor model, we impose low-rank structure on the…
局部爆炸性时间序列的尾部感知密度预测:神经网络方法
Mixed causal--noncausal (anticipative) models capture locally explosive dynamics and provide economically meaningful probabilities of continuation and collapse, but forecasting with them remains computationally difficult. We develop a two-stage framework that estimates such an ARMA model and then learns its predictive density using a Mixture Density Network with skewed-t components, tail-aware training weights, and post-hoc calibration. The approach accommodates the heavy…
谐波合成控制方法
Synthetic control methods can produce misleading counterfactual predictions when outcome series contain unit-specific stochastic trends, a common feature of nonstationary macroeconomic data. Existing remedies, such as pre-filtering or differencing, reduce spurious matching but may discard shared nonstationary variation that helps estimate donor weights. We propose Harmonic Synthetic Control (HSC), which replaces this binary choice with a soft allocation mechanism. HSC…
量化预测中的风险—收益权衡
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 using risk-adjusted performance measures from finance, including the Sharpe ratio, Sortino ratio, Omega ratio, and drawdown-based metrics. I also introduce the Edge Ratio capturing a model's propensity to deliver uniquely informative predictions relative to the forecasting frontier. I apply this…
超越系数:非线性时间序列模型中可解释因果发现的预测必要性检验
Nonlinear machine-learning models are increasingly used to discover causal relationships in time-series data, yet the interpretation of their outputs remains poorly understood. In particular, causal scores produced by regularized neural autoregressive models are often treated as analogues of regression coefficients, leading to misleading claims of statistical significance. In this paper, we argue that causal relevance in nonlinear time-series models should be evaluated…