A test of the joint efficiency of macroeconomic forecasts using multivariate random forests

DOI10.1002/FOR.2520MaRDI QIDQ4687670zbMATH OpenOpenAlexWikidataFDO

Authors Christoph Behrens, Christian Pierdzioch, Marian Risse

Publication date 12 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/for.2520

zbMATH Keywords

forecast efficiencyMahalanobis distancemultivariate setting

Mathematics Subject Classification ID

Multivariate analysis (62H99) Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

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(3)

• A bootstrap-based efficiency test of growth and inflation forecasts for Germany
• Uncertainty and forecasts of U.S. recessions
• Do German economic research institutes publish efficient growth and inflation forecasts? A Bayesian analysis

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