MACROCAST is the first leakage-free time series foundation model for real-time macroeconomic forecasting, trained exclusively on synthetic series and vintage data, outperforming AR(1), Chronos-2, BVAR, and DFM benchmarks on FRED-MD.
Journal of Econometrics , Year =
2 Pith papers cite this work, alongside 87 external citations. Polarity classification is still indexing.
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A multi-objective probabilistic forecast combination framework is introduced that generates Pareto-optimal combinations balancing forecast accuracy and inventory decision performance, outperforming single-objective methods on retail and spare parts data.
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MACROCAST: A Vintage-Consistent Time Series Foundation Model for Real-Time Macroeconomic Forecasting
MACROCAST is the first leakage-free time series foundation model for real-time macroeconomic forecasting, trained exclusively on synthetic series and vintage data, outperforming AR(1), Chronos-2, BVAR, and DFM benchmarks on FRED-MD.
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Multi-objective probabilistic forecast combination for inventory demand
A multi-objective probabilistic forecast combination framework is introduced that generates Pareto-optimal combinations balancing forecast accuracy and inventory decision performance, outperforming single-objective methods on retail and spare parts data.