A Scalable Inference Method For Large Dynamic Economic Systems

Pratha Khandelwal, Philip Nadler, Rossella Arcucci, William Knottenbelt and Yi-Ke Guo

Papers from arXiv.org

Abstract: The nature of available economic data has changed fundamentally in the last decade due to the economy's digitisation. With the prevalence of often black box data-driven machine learning methods, there is a necessity to develop interpretable machine learning methods that can conduct econometric inference, helping policymakers leverage the new nature of economic data. We therefore present a novel Variational Bayesian Inference approach to incorporate a time-varying parameter auto-regressive model which is scalable for big data. Our model is applied to a large blockchain dataset containing prices, transactions of individual actors, analyzing transactional flows and price movements on a very granular level. The model is extendable to any dataset which can be modelled as a dynamical system. We further improve the simple state-space modelling by introducing non-linearities in the forward model with the help of machine learning architectures.

Date: 2021-10
New Economics Papers: this item is included in nep-big, nep-cmp, nep-ecm and nep-ets
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2110.14346

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