LGB+: A Macroeconomic Forecasting Road Test (opens in new tab)

Needless to say, linear dynamics are pervasive in economic time series, particularly autoregressive ones. While gradient boosting with trees excels at capturing nonlinearities, it is inefficient in small samples when much of the predictive content is linear, expending splits to approximate relationships better captured by simple linear terms. This paper proposes LGB+, a boosting procedure operating on a more inclusive set of basis functions. T...