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Faculté et Recherche

The Macroeconomy as a Random Forest

14 jan
2021
14H00
Jouy-en-Josas
Anglais

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2021-01-14T14:00:00 2021-01-14T15:15:00 The Macroeconomy as a Random Forest Economics and Decision Sciences Department Guest speaker: Philippe Goulet Coulombe From: University of Pennsylvania Zoom Videoconference  

Département d'Economie et Sciences de la Décision

Intervenant: Philippe Goulet Coulombe

de l'University of Pennsylvania

via Zoom https://hec-fr.zoom.us/j/94956531922


 

Abstract :

“I develop Macroeconomic Random Forest (MRF), an algorithm adapting the canonical Machine Learning (ML) tool to flexibly model evolving parameters in a linear macro equation. Its main output, Generalized Time-Varying Parameters (GTVPs), is a versatile device nesting many popular nonlinearities (threshold/switching, smooth transition, structural breaks/change) and allowing for sophisticated new ones. The approach delivers clear forecasting gains over numerous alternatives, predicts the 2008 drastic rise in unemployment, and performs well for inflation. Unlike most ML-based methods, MRF is directly interpretable — via its GTVPs. For instance, the successful unemployment forecast is due to the influence of forward-looking variables (e.g., term spreads, housing starts) nearly doubling before every recession. Interestingly, the Phillips curve has indeed flattened, and its might is highly cyclical.”

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2021-01-14T14:00:00 2021-01-14T15:15:00 The Macroeconomy as a Random Forest Economics and Decision Sciences Department Guest speaker: Philippe Goulet Coulombe From: University of Pennsylvania Zoom Videoconference