Looking into the Black Box of Boosting: The Case of Germany

13 Pages Posted: 4 Feb 2016

See all articles by Robert Lehmann

Robert Lehmann

CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute

Klaus Wohlrabe

CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute

Date Written: December 17, 2015

Abstract

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

Lehmann, Robert and Wohlrabe, Klaus, Looking into the Black Box of Boosting: The Case of Germany (December 17, 2015). CESifo Working Paper Series No. 5686. Available at SSRN: https://ssrn.com/abstract=2727158

Robert Lehmann (Contact Author)

CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute ( email )

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HOME PAGE: http://www.cesifo-group.de/ifoHome/CESifo-Group/ifoDresden/ifo-ND-Mitarbeiter/cvifod-lehmann_r.html

Klaus Wohlrabe

CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute ( email )

Poschinger Str. 5
Munich, 01069
Germany

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