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MACROCAST: A Vintage-Consistent Time Series Foundation Model for Real-Time Macroeconomic Forecasting

Author

Listed:
  • Andrea Carriero
  • Davide Pettenuzzo
  • Shubhranshu Shekhar

Abstract

We introduce MACROCAST, a lightweight Time Series Foundation Model (TSFM) for real-time macroeconomic forecasting. Existing TSFMs suffer from data leakage in two forms: temporal contamination, as the model may have seen the realized values of the series it forecasts, and revision bias, as training on fully revised data diverges from the preliminary, vintage-specific releases available to real-time forecasters. MACROCAST is, to our knowledge, the first TSFM that rules out both forms of leakage entirely: at no stage of training is the model exposed to information that would not have been available to a forecaster in real time. We train MACROCAST first on purely synthetic time series in approximately one GPU-day and then fine-tune it on synthetic time series drawn from Bayesian VARs, dynamic factor models, and ARIMA specifications estimated on vintage-specific ALFRED data. Because pretraining uses only simulated data and fine-tuning uses only real-time vintages, no observed future or revised value ever enters the model; each fine-tuning run takes nine minutes. Evaluated on the FRED-MD database in a genuine real-time out-of-sample exercise, MACROCAST improves on the AR(1) benchmark for roughly 80% of series-horizon pairs, matches or surpasses Chronos-2 -- the strongest currently available TSFM -- and outperforms the Bayesian VAR and dynamic factor model benchmarks, all in a data-leakage-free manner.

Suggested Citation

  • Andrea Carriero & Davide Pettenuzzo & Shubhranshu Shekhar, 2026. "MACROCAST: A Vintage-Consistent Time Series Foundation Model for Real-Time Macroeconomic Forecasting," Papers 2606.28670, arXiv.org.
  • Handle: RePEc:arx:papers:2606.28670
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    References listed on IDEAS

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