Methodological Insights into Structural Causal Modelling and Uncertainty-Aware Forecasting for Economic Indicators
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arXiv
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| Natura: | Preprint |
| Pubblicazione: |
2025
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| _version_ | 1866917038368227328 |
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| author | Cerutti, Federico |
| author_facet | Cerutti, Federico |
| contents | This paper presents a methodological approach to financial time series analysis by combining causal discovery and uncertainty-aware forecasting. As a case study, we focus on four key U.S. macroeconomic indicators -- GDP, economic growth, inflation, and unemployment -- and we apply the LPCMCI framework with Gaussian Process Distance Correlation (GPDC) to uncover dynamic causal relationships in quarterly data from 1970 to 2021. Our results reveal a robust unidirectional causal link from economic growth to GDP and highlight the limited connectivity of inflation, suggesting the influence of latent factors. Unemployment exhibits strong autoregressive dependence, motivating its use as a case study for probabilistic forecasting. Leveraging the Chronos framework, a large language model trained for time series, we perform zero-shot predictions on unemployment. This approach delivers accurate forecasts one and two quarters ahead, without requiring task-specific training. Crucially, the model's uncertainty-aware predictions yield 90\% confidence intervals, enabling effective anomaly detection through statistically principled deviation analysis. This study demonstrates the value of combining causal structure learning with probabilistic language models to inform economic policy and enhance forecasting robustness. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2509_07036 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Methodological Insights into Structural Causal Modelling and Uncertainty-Aware Forecasting for Economic Indicators Cerutti, Federico Machine Learning Artificial Intelligence This paper presents a methodological approach to financial time series analysis by combining causal discovery and uncertainty-aware forecasting. As a case study, we focus on four key U.S. macroeconomic indicators -- GDP, economic growth, inflation, and unemployment -- and we apply the LPCMCI framework with Gaussian Process Distance Correlation (GPDC) to uncover dynamic causal relationships in quarterly data from 1970 to 2021. Our results reveal a robust unidirectional causal link from economic growth to GDP and highlight the limited connectivity of inflation, suggesting the influence of latent factors. Unemployment exhibits strong autoregressive dependence, motivating its use as a case study for probabilistic forecasting. Leveraging the Chronos framework, a large language model trained for time series, we perform zero-shot predictions on unemployment. This approach delivers accurate forecasts one and two quarters ahead, without requiring task-specific training. Crucially, the model's uncertainty-aware predictions yield 90\% confidence intervals, enabling effective anomaly detection through statistically principled deviation analysis. This study demonstrates the value of combining causal structure learning with probabilistic language models to inform economic policy and enhance forecasting robustness. |
| title | Methodological Insights into Structural Causal Modelling and Uncertainty-Aware Forecasting for Economic Indicators |
| topic | Machine Learning Artificial Intelligence |
| url | https://arxiv.org/abs/2509.07036 |