Tall big data time series of high frequency: stylized facts and econometric modelling

Antoni Espasa and Guillermo Carlomagno Real

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: The paper starts commenting on the hard tasks of data treatment -mainly, cleaning, classification, and aggregation- that are required at the beginning of any analysis with big data. Subsequently, it focuses on non-financial big data time series of high frequency that for many problems are aggregated at daily, hourly, or higher frequency levels of several minutes. Then, the paper discusses possible stylized facts present in these data. In this respect, it studies relevant seasonality: daily, weekly, monthly, and annually, and analyses how, for the data in question, these cycles could be affected by weather variables and by factors due to the annual composition of the calendar. Consequently, the paper investigates the possible main characteristics of the mentioned cycles and the types of responses to the exogenous weather and calendar factors that data could show. The shorter cycles could change along the annual cycle and interact with the exogenous variables. The modelling strategy could require regime-switching, dynamic, non-linear structures, and interactions between the factors considered. Then the paper analyses the construction of explanatory variables that could be useful for taking into account all the above peculiarities. We propose the use of the automated procedure, Autometrics, to discover -in words of Prof Hendry- a parsimonious model not dominated by any other, which is able to explain all the characteristics of the data. The model can be used for structural analysis, forecasting, and, when it is the case, to build real-time quantitative macroeconomic leading indicators. Finally, the paper includes an application to the daily series of jobless claims in Chile.

Keywords: Aggregation; Several Seasonality (Daily; Weekly; Monthly And Annual); Complex; Annual; Calendar; Composition; Weather; Variables; Interactive; Effects; Switching; Regimes; Multiplicative; Dynamic; and; Non-Linear; Structures; Designing; of; Exogenous; Variables; Autometrics; Macroeconomic; Leading; Indicators; Jobless; Claims (search for similar items in EconPapers)
JEL-codes: C01 C22 C55 (search for similar items in EconPapers)
Date: 2023-07-04
New Economics Papers: this item is included in nep-big and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:37746

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