An Entropy-Based Machine Learning Algorithm for Combining Macroeconomic Forecasts
Keyword(s):
This paper applies a Machine Learning approach with the aim of providing a single aggregated prediction from a set of individual predictions. Departing from the well-known maximum-entropy inference methodology, a new factor capturing the distance between the true and the estimated aggregated predictions presents a new problem. Algorithms such as ridge, lasso or elastic net help in finding a new methodology to tackle this issue. We carry out a simulation study to evaluate the performance of such a procedure and apply it in order to forecast and measure predictive ability using a dataset of predictions on Spanish gross domestic product.
1996 ◽
Vol 10
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pp. 115-126
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2018 ◽
Vol 1
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pp. 24-32
2021 ◽
Vol 12
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2018 ◽
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2021 ◽
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Vol 9
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pp. 282-285
2020 ◽
2021 ◽