Learning the Macroeconomic Language
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arXiv
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866912790730506240 |
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| author | Chib, Siddhartha Tan, Fei |
| author_facet | Chib, Siddhartha Tan, Fei |
| contents | We show how state-of-the-art large language models (LLMs), seemingly inapplicable to the small samples typical of macroeconomics, can be trained effectively for macroeconomic forecasting. We estimate a dynamic stochastic general equilibrium (DSGE) model on an initial segment of the data to obtain a posterior distribution over structural parameters. We sample from this posterior to generate millions of theory-consistent synthetic panels that, when mixed with actual macroeconomic data, form the training corpus for a time-series transformer with attention. The trained model is then used to forecast out-of-sample through 2025. The results show that this hybrid forecaster, which combines the theoretical coherence of DSGE models with the representational power of modern LLMs, learns key features of the macroeconomic language. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2512_21031 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Learning the Macroeconomic Language Chib, Siddhartha Tan, Fei Econometrics We show how state-of-the-art large language models (LLMs), seemingly inapplicable to the small samples typical of macroeconomics, can be trained effectively for macroeconomic forecasting. We estimate a dynamic stochastic general equilibrium (DSGE) model on an initial segment of the data to obtain a posterior distribution over structural parameters. We sample from this posterior to generate millions of theory-consistent synthetic panels that, when mixed with actual macroeconomic data, form the training corpus for a time-series transformer with attention. The trained model is then used to forecast out-of-sample through 2025. The results show that this hybrid forecaster, which combines the theoretical coherence of DSGE models with the representational power of modern LLMs, learns key features of the macroeconomic language. |
| title | Learning the Macroeconomic Language |
| topic | Econometrics |
| url | https://arxiv.org/abs/2512.21031 |