Warsaw Econometric Challenge 2022 Winner

The 2022 Warsaw Econometric Challenge marked my debut in competitive econometric modeling. As a relatively new participant facing experienced competitors and PhD researchers, the victory represented a significant milestone in my analytical journey.

The competition focused on predicting key macroeconomic indicators during a period of significant economic uncertainty, including the effects of pandemic recovery and emerging geopolitical tensions affecting European markets.

My winning strategy integrated multiple forecasting paradigms in a novel framework:

• Classical Econometrics: Built foundation using ARIMA, GARCH, and structural equation models for baseline forecasting
• Machine Learning Integration: Enhanced traditional models with Random Forest and XGBoost algorithms for non-linear pattern recognition
• Ensemble Methodology: Developed weighted combination approach balancing interpretability with predictive power
• Shock Modeling: Incorporated external shock variables to capture pandemic and policy impacts

The solution architecture emphasized both accuracy and economic interpretability:

• Data Preprocessing: Implemented robust methods for handling missing data and structural breaks in economic time series
• Feature Engineering: Created economic indicators combining raw data with domain knowledge about macroeconomic relationships
• Model Validation: Designed rigorous backtesting framework using time-series cross-validation and out-of-sample testing
• Uncertainty Estimation: Provided forecast confidence intervals using bootstrap methods and model ensemble variance

The hybrid approach achieved exceptional results across all evaluation metrics:

• Forecast Accuracy: Achieved lowest prediction errors among all 40+ competing teams
• Consistency: Maintained superior performance across different forecasting horizons (1, 3, 6 months)
• Economic Validity: Model predictions aligned with economic theory and expert expectations
• Robustness: Demonstrated stability across different validation periods and market conditions

This first victory established fundamental principles that would guide future competition successes:

• Interdisciplinary Approach: Combining economic theory with data science techniques for superior results
• Rigorous Methodology: Importance of systematic validation and careful model evaluation
• Domain Knowledge: Value of understanding business context and economic relationships
• Innovation Balance: Successfully merging established methods with cutting-edge techniques

This breakthrough victory had lasting effects on my career trajectory:

• Academic Recognition: Led to invitations for research collaborations and conference presentations
• Career Opportunities: Opened doors to positions at top financial institutions
• Methodology Development: Established framework that would be refined in subsequent competitions
• Professional Network: Connected with leading economists and data scientists in Poland