Machine Learning in Macro-Economic Series Forecasting

  •  Yun Liao    


In this paper I conducted a simple experiment to using Artificial Neural Network in time-series forecasting, by combining First order Markov Switching Model and K-means algorithms, the forecasting performance of machine learning has outperformed the benchmark of time-series inflation rate forecasting. The paper reveal the potential of ANN forecasting, also provide future direction of research.

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