Boosting Non-linear Predictability of Macroeconomic Time Series

We apply the boosting estimation method to investigate to what ex-tent and at what horizons macroeconomic time series have nonlinearpredictability coming from their own history. Our results indicate thatthe U.S. macroeconomic time series have more exploitable nonlinearpredictability than previous studies have found. On average, the mostfavorable out-of-sample performance is obtained by a two-stage proce-dure, where a conventional linear prediction model is fine-tuned by theboosting technique.