Augmenting macro panels with synthetic factor-model copies creates a factor-structured kernel ridge regressor that outperforms the Stock-Watson benchmark in point forecasts, with gains rising at longer horizons.
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Double Descent and Benign Overfitting in Macroeconomic Forecasting
Augmenting macro panels with synthetic factor-model copies creates a factor-structured kernel ridge regressor that outperforms the Stock-Watson benchmark in point forecasts, with gains rising at longer horizons.