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-of-sample predictions and forecasting. We identify economic drivers of our machine learning models using a novel framework based on Shapley …
Persistent link: https://www.econbiz.de/10013313452
We derive forecast weights and uncertainty measures for assessing the role of individual series in a dynamic factor model (DFM) to forecast euro area GDP from monthly indicators. The use of the Kalman filter allows us to deal with publication lags when calculating the above measures. We find...
Persistent link: https://www.econbiz.de/10011604797