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Record W3036368682 · doi:10.1002/jae.3030

The macroeconomy as a random forest

2024· article· en· W3036368682 on OpenAlex

Why this work is in the frame

A frame that forgets how it found something cannot be audited. These are the routes that admitted this work.

affAt least one author lists a Canadian institution in the pinned OpenAlex snapshot.

Bibliographic record

VenueJournal of Applied Econometrics · 2024
Typearticle
Languageen
FieldEconomics, Econometrics and Finance
TopicMonetary Policy and Economic Impact
Canadian institutionsUniversité du Québec à Montréal
Fundersnot available
KeywordsInflation (cosmology)Phillips curveUnemploymentEconometricsMacroRecessionRandom forestTerm (time)Computer scienceEconomicsArtificial intelligenceKeynesian economicsMacroeconomics

Abstract

fetched live from OpenAlex

Summary I develop the macroeconomic random forest (MRF), an algorithm adapting the canonical machine learning (ML) tool, to flexibly model evolving parameters in a linear macro equation. Its main output, generalized time‐varying parameters (GTVPs), is a versatile device nesting many popular nonlinearities (threshold/switching, smooth transition, and structural breaks/change) and allowing for sophisticated new ones. The approach delivers clear forecasting gains over numerous alternatives, predicts the 2008 drastic rise in unemployment, and performs well for inflation. Unlike most ML‐based methods, MRF is directly interpretable—via its GTVPs. For instance, the successful unemployment forecast is due to the influence of forward‐looking variables (e.g., term spreads and housing starts) nearly doubling before every recession. Interestingly, the Phillips curve has indeed flattened, and its might is highly cyclical.

Fetched live from OpenAlex and de-inverted. Abstracts are not stored in this database: the inverted indexes are 8.6 GB of the frame’s 9.3 GB of text, and the host has 13 GB free.

Full frame distilled prediction

Teacher imitation

Not calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.

metaresearch head score (Codex)0.003
metaresearch head score (Gemma)0.000
Version: codex-gemma-dda1882f352aValidation status: machine_predicted_unvalidated
Candidate categoriesInsufficient payload (model declined to judge)
Consensus categoriesnone
DomainCandidate signal: none · Consensus signal: none
Study designCandidate signal: Theoretical or conceptual · Consensus signal: none
GenreCandidate signal: Empirical · Consensus signal: Empirical
Teacher disagreement score0.720
Threshold uncertainty score0.997

Codex and Gemma teacher scores by category

CategoryCodexGemma
Metaresearch0.0030.000
Meta-epidemiology (narrow)0.0000.000
Meta-epidemiology (broad)0.0010.000
Bibliometrics0.0010.001
Science and technology studies0.0000.000
Scholarly communication0.0010.001
Open science0.0010.000
Research integrity0.0000.000
Insufficient payload (model declined to judge)0.0010.004

Machine scores (provisional)

The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.

Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.

Opus teacher head0.069
GPT teacher head0.224
Teacher spread0.155 · how far apart the two teachers sit on this one work
Validation statusscore_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it