Application panel: FR Y-9C BHC consolidated reports (FFIEC NIC BHCF bulk
downloads). Yahoo Finance quarterly data as cheap smoke. Research only — not a Portfolios
handoff; not investment advice.
Track Resources
- Results Method v2: naive / pooled-AR forecast combination — pre-registered single run
- Teaching Method v2 teaching note: walk-forward naive / pooled-AR combination (Pesaran, Pick & Timmermann)
- Results Empirical-Bayes panel: next-quarter NII, noninterest income and expense
- Teaching Non-embedding forecasting of financial statements — method families, intuition, and recommended stack
- Lit Memo Literature map: non-embedding financial-statement / fundamentals forecasting (Y-9C focus)
- Data Y-9C + Yahoo bank quarterly panel — data assembly and scripts
Overview
Valuation, credit, and stress testing need joint paths for many statement lines over multi-quarter horizons — not only next-quarter EPS. This track covers transparent, testable, non-embedding methods that work on the FR Y-9C panel without gated fine-tuned transformer weights.
Core method families
- Empirical-Bayes dynamic panels — Liu–Moon–Schorfheide Tweedie posterior means for heterogeneous BHC coefficients; probabilistic PPNR forecasts.
- Chained multi-output GBM — Geertsema–Lu–Ma ordering of statement lines so upstream predictions become downstream features; soft identity approximation.
- MIDAS / sg-LASSO MIDAS — Ball–Ghysels and Babii et al. for connecting Yahoo daily smoke to quarterly Y-9C targets.
- Forecast reconciliation (MinT) — Wickramasuriya et al. / Girolimetto–Di Fonzo projection onto the accounting-identity constraint set.
- Multitask FFNN — Alberg–Lipton small networks sharing strength across MDRMs.
Primary references
- Liu, Moon & Schorfheide — Forecasting with dynamic panel data models (NBER w25102)
- Geertsema, Lu & Ma — Projecting financial statements with AI (SSRN 5039433)
- Wickramasuriya, Athanasopoulos & Hyndman (2019) JASA — MinT reconciliation
- Ball & Ghysels (2018) Management Science — automated MIDAS earnings
- Babii, Ball, Ghysels & Striaukas — Panel MIDAS sg-LASSO (arXiv 2307.02673)