MacroRandomForest
This code base is the official open-source implementation of “The Macroeconomy as a Random Forest (MRF)” by Philippe Goulet Coulombe. MRF is a time series modification of the canonical Random Forest Machine Learning algorithm. It uses a Random Forest to flexibly model time-varying parameters in a linear macro equation. This means that, unlike most Machine Learning methods, MRF is directly interpretable via its main output - what are known as Generalised Time Varying Parameters (GTVPs).