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In this paper we survey the most recent advances in supervised machine learning and highdimensional models for time … predictive ability are brie y reviewed. Finally, we discuss application of machine learning in economics and finance and provide …
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In this paper we examine the forecast accuracy of linear autoregressive, smooth transition autoregressive (STAR), and neural network (NN) time series models for 47 monthly macroeconomic variables of the G7 economies. Unlike previous studies that typically consider multiple but fixed model...
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