Big Data & Macroeconomic Nowcasting: Methodological Review
George Kapetanios () and
Fotis Papailias ()
No ESCoE DP-2018-12, Economic Statistics Centre of Excellence (ESCoE) Discussion Papers from Economic Statistics Centre of Excellence (ESCoE)
This paper is concerned with an introduction to big data which can be potentially used in nowcasting the UK GDP and other key macroeconomic variables. We discuss various big data classifications and review some indicative studies in the big data and macroeconomic nowcasting literature. A detailed discussion of big data methodologies is also provided. In particular, we focus on sparse regressions, heuristic optimisation of information criteria, factor methods and textual-data methods.
Keywords: Big Data; Machine Learning; Sparse Regressions; Factor Models (search for similar items in EconPapers)
JEL-codes: C32 C53 C55 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-big, nep-ecm and nep-pay
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Persistent link: https://EconPapers.repec.org/RePEc:nsr:escoed:escoe-dp-2018-12
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