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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Derives sharp lower bounds on standard errors for estimators from combined moment conditions across samples via geometric inequalities and SDP, illustrated in macro and micro empirical examples.
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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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Bounds for Standard Errors in Combined Data
Derives sharp lower bounds on standard errors for estimators from combined moment conditions across samples via geometric inequalities and SDP, illustrated in macro and micro empirical examples.