Real Time Indicators During the COVID-19 Pandemic Individual Predictors & Selection

George Kapetanios and Fotis Papailias ()

No ESCOE-TR-15, Economic Statistics Centre of Excellence (ESCoE) Technical Reports from Economic Statistics Centre of Excellence (ESCoE)

Abstract: This technical report aims to present a generalised framework for assessing the predictive content of ONS real time indicators in both dimensions: (i) individual predictors (i.e. variable-by-variable), and (ii) using machine learning techniques to build variable selection models. The evaluation is done on a nowcasting basis (h = 0). Simple correlation and predictive power scores are included as well as best subset selection, penalised regressions, random forests and principal components.

Keywords: factor models; nowcasting; penalised regression; variable selection (search for similar items in EconPapers)
JEL-codes: C53 E37 (search for similar items in EconPapers)
Date: 2022-03
New Economics Papers: this item is included in nep-big, nep-for and nep-mac
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Citations: View citations in EconPapers (1)

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