When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage

Laurent Ferrara and Anna Simoni

Papers from arXiv.org

Abstract: Alternative data sets are widely used for macroeconomic nowcasting together with machine learning--based tools. The latter are often applied without a complete picture of their theoretical nowcasting properties. Against this background, this paper proposes a theoretically grounded nowcasting methodology that allows researchers to incorporate alternative Google Search Data (GSD) among the predictors and that combines targeted preselection, Ridge regularization, and Generalized Cross Validation. Breaking with most existing literature, which focuses on asymptotic in-sample theoretical properties, we establish the theoretical out-of-sample properties of our methodology and support them by Monte-Carlo simulations. We apply our methodology to GSD to nowcast GDP growth rate of several countries during various economic periods. Our empirical findings support the idea that GSD tend to increase nowcasting accuracy, even after controlling for official variables, but that the gain differs between periods of recessions and of macroeconomic stability.

Date: 2020-07, Revised 2022-09
New Economics Papers: this item is included in nep-big and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://arxiv.org/pdf/2007.00273 Latest version (application/pdf)

Related works:
Journal Article: When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage (2023)
Working Paper: When are Google Data Useful to Nowcast GDP? An Approach via Preselection and Shrinkage (2023)
Working Paper: When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage (2020)
Working Paper: When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage (2020)
Working Paper: When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage (2019)
Working Paper: When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage (2019)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2007.00273

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().