Big Data Econometrics: Now Casting and Early Estimates

This paper aims at providing a primer on the use of big data in macroeconomic nowcasting and early estimation. We discuss: (i) a typology of big data characteristics relevant for macroeconomic nowcasting and early estimates, (ii) methods for features extraction from unstructured big data to usable time series, (iii) econometric methods that could be used for nowcasting with big data, (iv) some empirical nowcasting results for key target variables for four EU countries, and (v) ways to evaluate nowcasts and ash estimates. We conclude by providing a set of recommendations to assess the pros and cons of the use of big data in a specific empirical nowcasting context.

[1]  S. P. Lloyd,et al.  Least squares quantization in PCM , 1982, IEEE Trans. Inf. Theory.

[2]  Eckley Peter,et al.  Measuring economic uncertainty using news-media textual data , 2015 .

[3]  GEORGE KAPETANIOS,et al.  Filtering techniques for big data and big data based uncertainty indexes , 2017 .

[4]  Serena Ng,et al.  Opportunities and Challenges: Lessons from Analyzing Terabytes of Scanner Data , 2016 .

[5]  Serena Ng,et al.  Working Paper Series , 2019 .

[6]  Sven Ove Hansson,et al.  Measuring Uncertainty , 2009, Stud Logica.

[7]  Eric Ghysels,et al.  Série Scientifique Scientific Series the Midas Touch: Mixed Data Sampling Regression Models the Midas Touch: Mixed Data Sampling Regression Models* , 2022 .

[8]  F. Diebold,et al.  Comparing Predictive Accuracy , 1994, Business Cycles.

[9]  S. Davis,et al.  Measuring Economic Policy Uncertainty , 2013 .

[10]  Brandyn Bok,et al.  Macroeconomic Nowcasting and Forecasting with Big Data , 2017 .

[11]  David H. Small,et al.  Nowcasting: the real time informational content of macroeconomic data releases , 2008 .

[12]  Rob J Hyndman,et al.  Bagging exponential smoothing methods using STL decomposition and Box–Cox transformation , 2016 .

[13]  Jurgen A. Doornik,et al.  Statistical model selection with “Big Data” , 2015 .

[14]  Massimiliano Marcellino,et al.  Forecasting with Large Unbalanced Datasets: The Mixed-Frequency Three-Pass Regression Filter , 2016 .

[15]  George Kapetanios,et al.  Guidance and recommendations on the use of Big data for macroeconomic nowcasting , 2017 .

[16]  Todd E. Clark,et al.  Measuring Uncertainty and Its Impact on the Economy , 2016, Review of Economics and Statistics.

[17]  George Kapetanios,et al.  The challenge of Big Data , 2017 .

[18]  George G. Roussas,et al.  Exponential probability inequalities with some applications , 1996 .

[19]  Massimiliano Marcellino,et al.  Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials , 2015 .

[20]  Steven L. Scott,et al.  Predicting the Present with Bayesian Structural Time Series , 2013 .

[21]  J. M. Bates,et al.  The Combination of Forecasts , 1969 .

[22]  J. Stock,et al.  Forecasting Using Principal Components From a Large Number of Predictors , 2002 .