Forecasting Macroeconomic Parameters with Deep Learning Neural Networks

Project Meeting (30/1/2018) Topics to Discuss What is the objective? is it to find NN models better than ARIMA? How to compare NN and ARIMA models - based on prediction accuracy or forecast accuracy(how long forecast)? Experimentation workflow What data needs to be saved for model evaluation? NN input output size and how to recursively forecast Does it make sense to have an NN that has smaller input than output and how to compute the recursive forecast? Train validation and test sets Wilcoxon U test shows distributions of validation and test sets are different for some of the variables? Preprocessing Is data seasonally adjusted? Is it a good idea to remove NA rows so variables would have same length? Fourier transform for seasonality detection/adjustment? Quarterly Time-Series Forecasting With Neural Networks Finds that simple NN models with 0 or 1 hidden nodes perform best on time series and in particular macroecon...