A Neural Network Ensemble Approach for GDP Forecasting

We propose an ensemble learning methodology to forecast the future US GDP growth release. Our approach combines a Recurrent Neural Network (RNN) with a Dynamic Factor model accounting for time-variation in mean with a General- ized Autoregressive Score (DFM-GAS). The analysis is based on a set of predictors encompassing a wide range of variables measured at different frequencies. The forecast exercise is aimed at evaluating the predictive ability of each model's com- ponent of the ensemble by considering variations in mean, potentially caused by recessions affecting the economy. Thus, we show how the combination of RNN and DFM-GAS improves forecasts of the US GDP growth rate in the aftermath of the 2008-09 global financial crisis. We find that a neural network ensemble markedly reduces the root mean squared error for the short-term forecast horizon.