ARIMA is best at one-month Canadian inflation forecasts, Random Forest and XGBoost win at longer horizons, and SHAP suggests the Phillips curve steepens only at extreme unemployment.
C., Timmermann, A., & Wright, J
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Forecasting and Explaining the Phillips Curve: A SHAP-Based Comparison of Machine Learning and Traditional Time-Series Models for Canadian Unemployment and Inflation
ARIMA is best at one-month Canadian inflation forecasts, Random Forest and XGBoost win at longer horizons, and SHAP suggests the Phillips curve steepens only at extreme unemployment.