Shubhranshu Shekhar

MACROCAST: A Vintage-Consistent Time Series Foundation Model for Real-Time Macroeconomic Forecasting

Andrea Carriero, Davide Pettenuzzo, Shubhranshu Shekhar

We introduce MACROCAST, a lightweight Time Series Foundation Model (TSFM) for real-time macroeconomic forecasting. Existing TSFMs suffer from data leakage in two forms: temporal contamination, as the model may have seen the realized values of the series it forecasts, and revision…Read more