Looking into the Black Box of Boosting: The Case of Germany
13 Pages Posted: 4 Feb 2016
Date Written: December 17, 2015
This paper looks into the 'fine print' of boosting for economic forecasting. By using German industrial production for the period from 1996 to 2014 and a data set consisting of 175 monthly indicators, we evaluate which indicators get selected by the boosting algorithm over time and four different forecasting horizons. It turns out that a number of hard indicators like turnovers, as well as a small number of survey results, get selected frequently by the algorithm and are therefore important to forecasting the performance of the German economy. However, there are indicators such as money supply that never get chosen by the boosting approach at all.
Keywords: boosting, economic forecasting, industrial production
JEL Classification: C530, E170, E370
Suggested Citation: Suggested Citation