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A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data

Rishab Guha and Serena Ng ()

No 25899, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This paper analyzes weekly scanner data collected for 108 groups at the county level between 2006 and 2014. The data display multi-dimensional weekly seasonal effects that are not exactly periodic but are cross-sectionally dependent. Existing univariate procedures are imperfect and yield adjusted series that continue to display strong seasonality upon aggregation. We suggest augmenting the univariate adjustments with a panel data step that pools information across counties. Machine learning tools are then used to remove the within-year seasonal variations. A demand analysis of the adjusted budget shares finds three factors: one that is trending, and two cyclical ones that are well aligned with the level and change in consumer confidence. The effects of the Great Recession vary across locations and product groups, with consumers substituting towards home cooking away from non-essential goods. The adjusted data also reveal changes in spending to unanticipated shocks at the local level. The data are thus informative about both local and aggregate economic conditions once the seasonal effects are removed. The two-step methodology can be adapted to remove other types of nuisance variations provided that these variations are cross-sectionally dependent.

JEL-codes: C55 E21 E32 (search for similar items in EconPapers)
Date: 2019-05
New Economics Papers: this item is included in nep-big, nep-mac and nep-pay
Note: EFG ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

Published as A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data , Rishab Guha, Serena Ng. in Big Data for Twenty-First-Century Economic Statistics , Abraham, Jarmin, Moyer, and Shapiro. 2022

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Chapter: A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data (2019) Downloads
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