Figure 8 - uploaded by Dalibor Stevanovic
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This figure compares the two CVs procedure averaged over all the models that use them. The unit of the x-axis are improvements in OOS R 2 over the basis model. SEs are HAC. These are the 95% confidence bands.
Source publication
We move beyond "Is Machine Learning Useful for Macroeconomic Forecasting?" by adding the "how". The current forecasting literature has focused on matching specific variables and horizons with a particularly successful algorithm. In contrast, we study the usefulness of the underlying features driving ML gains over standard macroeconometric methods....
Contexts in source publication
Context 1
... results in 5.1 point in the direction that smaller models are better in expansions and bigger models in recessions, the behavior of CV and how it picks the effective complexity of the model can have an effect on overall predictive ability. This is exactly what we see in figure 8: POOS CV is having a hard time in recessions with respect to K-fold. ...
Context 2
... results in 5.1 point in the direction that smaller models are better in expansions and bigger models in recessions, the behavior of CV and how it picks the effective complexity of the model can have an effect on overall predictive ability. This is exactly what we see in figure 8: POOS CV is having a hard time in recessions with respect to K-fold. ...
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