An Algorithmic Crystal Ball Forecasts Based On Machine Learning
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| Author | : Jin-Kyu Jung |
| Publisher | : International Monetary Fund |
| Total Pages | : 34 |
| Release | : 2018-11-01 |
| Genre | : Computers |
| ISBN | : 1484382498 |
Forecasting macroeconomic variables is key to developing a view on a country's economic outlook. Most traditional forecasting models rely on fitting data to a pre-specified relationship between input and output variables, thereby assuming a specific functional and stochastic process underlying that process. We pursue a new approach to forecasting by employing a number of machine learning algorithms, a method that is data driven, and imposing limited restrictions on the nature of the true relationship between input and output variables. We apply the Elastic Net, SuperLearner, and Recurring Neural Network algorithms on macro data of seven, broadly representative, advanced and emerging economies and find that these algorithms can outperform traditional statistical models, thereby offering a relevant addition to the field of economic forecasting.
| Author | : Yang Liu |
| Publisher | : International Monetary Fund |
| Total Pages | : 23 |
| Release | : 2024-09-27 |
| Genre | : |
| ISBN | : |
Forecasting inflation has become a major challenge for central banks since 2020, due to supply chain disruptions and economic uncertainty post-pandemic. Machine learning models can improve forecasting performance by incorporating a wider range of variables, allowing for non-linear relationships, and focusing on out-of-sample performance. In this paper, we apply machine learning (ML) models to forecast near-term core inflation in Japan post-pandemic. Japan is a challenging case, because inflation had been muted until 2022 and has now risen to a level not seen in four decades. Four machine learning models are applied to a large set of predictors alongside two benchmark models. For 2023, the two penalized regression models systematically outperform the benchmark models, with LASSO providing the most accurate forecast. Useful predictors of inflation post-2022 include household inflation expectations, inbound tourism, exchange rates, and the output gap.
| Author | : Marijn A. Bolhuis |
| Publisher | : International Monetary Fund |
| Total Pages | : 25 |
| Release | : 2020-02-28 |
| Genre | : Business & Economics |
| ISBN | : 1513531727 |
We develop a framework to nowcast (and forecast) economic variables with machine learning techniques. We explain how machine learning methods can address common shortcomings of traditional OLS-based models and use several machine learning models to predict real output growth with lower forecast errors than traditional models. By combining multiple machine learning models into ensembles, we lower forecast errors even further. We also identify measures of variable importance to help improve the transparency of machine learning-based forecasts. Applying the framework to Turkey reduces forecast errors by at least 30 percent relative to traditional models. The framework also better predicts economic volatility, suggesting that machine learning techniques could be an important part of the macro forecasting toolkit of many countries.
| Author | : Klaus-Peter Hellwig |
| Publisher | : International Monetary Fund |
| Total Pages | : 43 |
| Release | : 2018-12-07 |
| Genre | : Business & Economics |
| ISBN | : 1484386183 |
I regress real GDP growth rates on the IMF’s growth forecasts and find that IMF forecasts behave similarly to those generated by overfitted models, placing too much weight on observable predictors and underestimating the forces of mean reversion. I identify several such variables that explain forecasts well but are not predictors of actual growth. I show that, at long horizons, IMF forecasts are little better than a forecasting rule that uses no information other than the historical global sample average growth rate (i.e., a constant). Given the large noise component in forecasts, particularly at longer horizons, the paper calls into question the usefulness of judgment-based medium and long-run forecasts for policy analysis, including for debt sustainability assessments, and points to statistical methods to improve forecast accuracy by taking into account the risk of overfitting.
| Author | : Mohammed A. Al-Sharafi |
| Publisher | : Springer Nature |
| Total Pages | : 703 |
| Release | : 2022-12-12 |
| Genre | : Technology & Engineering |
| ISBN | : 3031204298 |
This book sheds light on the recent research directions in intelligent systems and their applications. It involves four main themes: artificial intelligence and data science, recent trends in software engineering, emerging technologies in education, and intelligent health informatics. The discussion of the most recent designs, advancements, and modifications of intelligent systems, as well as their applications, is a key component of the chapters contributed to the aforementioned subjects.
| Author | : Van-Nam Huynh |
| Publisher | : Springer Nature |
| Total Pages | : 351 |
| Release | : 2023-10-26 |
| Genre | : Computers |
| ISBN | : 3031467752 |
These two volumes constitute the proceedings of the 10th International Symposium on Integrated Uncertainty in Knowledge Modelling and Decision Making, IUKM 2023, held in Kanazawa, Japan, during November 2-4, 2023. The 58 full papers presented were carefully reviewed and selected from 107 submissions. The papers deal with all aspects of research results, ideas, and experiences of application among researchers and practitioners involved with all aspects of uncertainty modelling and management.
| Author | : Janusz Kacprzyk |
| Publisher | : Springer Nature |
| Total Pages | : 995 |
| Release | : 2023-06-09 |
| Genre | : Technology & Engineering |
| ISBN | : 3031263847 |
This book describes the potential contributions of emerging technologies in different fields as well as the opportunities and challenges related to the integration of these technologies in the socio-economic sector. In this book, many latest technologies are addressed, particularly in the fields of computer science and engineering. The expected scientific papers covered state-of-the-art technologies, theoretical concepts, standards, product implementation, ongoing research projects, and innovative applications of Sustainable Development. This new technology highlights, the guiding principle of innovation for harnessing frontier technologies and taking full profit from the current technological revolution to reduce gaps that hold back truly inclusive and sustainable development. The fundamental and specific topics are Big Data Analytics, Wireless sensors, IoT, Geospatial technology, Engineering and Mechanization, Modeling Tools, Risk analytics, and preventive systems.
| Author | : Samira El Yacoubi |
| Publisher | : Springer Nature |
| Total Pages | : 362 |
| Release | : 2019-11-25 |
| Genre | : Computers |
| ISBN | : 3030347702 |
This book constitutes the proceedings of the 6th International Conference on Internet Science held in Perpignan, France, in December 2019. The 30 revised full papers presented were carefully reviewed and selected from 45 submissions. The papers detail a multidisciplinary understanding of the development of the Internet as a societal and technological artefact which increasingly evolves with human societies.
| Author | : Mohsen Hamoudia |
| Publisher | : Springer Nature |
| Total Pages | : 441 |
| Release | : 2023-10-22 |
| Genre | : Business & Economics |
| ISBN | : 3031358791 |
This book is a comprehensive guide that explores the intersection of artificial intelligence and forecasting, providing the latest insights and trends in this rapidly evolving field. The book contains fourteen chapters covering a wide range of topics, including the concept of AI, its impact on economic decision-making, traditional and machine learning-based forecasting methods, challenges in demand forecasting, global forecasting models, meta-learning and feature-based forecasting, ensembling, deep learning, scalability in industrial and optimization applications, and forecasting performance evaluation. With key illustrations, state-of-the-art implementations, best practices, and notable advances, this book offers practical insights into the theory and practice of AI-based forecasting. This book is a valuable resource for anyone involved in forecasting, including forecasters, statisticians, data scientists, business analysts, or decision-makers.
| Author | : Michael Dardia |
| Publisher | : |
| Total Pages | : 11 |
| Release | : 2001 |
| Genre | : California |
| ISBN | : |
