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The macroeconomy as a random forest

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  • Philippe Goulet Coulombe

Abstract

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.

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  • Philippe Goulet Coulombe, 2024. "The macroeconomy as a random forest," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(3), pages 401-421, April.
    • Handle: RePEc:wly:japmet:v:39:y:2024:i:3:p:401-421
    DOI: 10.1002/jae.3030
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    2. Maximilian Gobel & Tanya Araújo, 2020. "Indicators of Economic Crises: A Data-Driven Clustering Approach," Working Papers REM 2020/0128, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
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    4. Philippe Goulet Coulombe & Karin Klieber, 2025. "An Adaptive Moving Average for Macroeconomic Monitoring," Papers 2501.13222, arXiv.org.

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