Paper ID: 2411.00126

Training and Evaluating Causal Forecasting Models for Time-Series

Thomas Crasson, Yacine Nabet, Mathias Lécuyer

Deep learning time-series models are often used to make forecasts that inform downstream decisions. Since these decisions can differ from those in the training set, there is an implicit requirement that time-series models will generalize outside of their training distribution. Despite this core requirement, time-series models are typically trained and evaluated on in-distribution predictive tasks. We extend the orthogonal statistical learning framework to train causal time-series models that generalize better when forecasting the effect of actions outside of their training distribution. To evaluate these models, we leverage Regression Discontinuity Designs popular in economics to construct a test set of causal treatment effects.

Submitted: Oct 31, 2024