Big Data Econometrics: Now Casting and Early Estimates

53 Pages Posted: 2 Jul 2018

See all articles by Massimiliano Giuseppe Marcellino

Massimiliano Giuseppe Marcellino

European University Institute; European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS); Bocconi University - Department of Economics; Centre for Economic Policy Research (CEPR)

Fotis Papailias

Quantf Research; University of London, King's College London, Department of Management

Gian Luigi Mazzi

Eurostat

George Kapetanios

King's College, London

Dario Buono

Eurostat, European Commission

Date Written: June 2018

Abstract

This paper aims at providing a primer on the use of big data in macroeconomic nowcasting and early estimation. We discuss: (i) a typology of big data characteristics relevant for macroeconomic nowcasting and early estimates, (ii) methods for features extraction from unstructured big data to usable time series, (iii) econometric methods that could be used for nowcasting with big data, (iv) some empirical nowcasting results for key target variables for four EU countries, and (v) ways to evaluate nowcasts and ash estimates. We conclude by providing a set of recommendations to assess the pros and cons of the use of big data in a speci c empirical nowcasting context.

Keywords: Big Data, Nowcasting, Early Estimates, Econometric Methods

JEL Classification: C32, C53, C55

Suggested Citation

Marcellino, Massimiliano and Papailias, Fotis and Mazzi, Gian Luigi and Kapetanios, George and Buono, Dario, Big Data Econometrics: Now Casting and Early Estimates (June 2018). BAFFI CAREFIN Centre Research Paper No. 2018-82. Available at SSRN: https://ssrn.com/abstract=3206554 or http://dx.doi.org/10.2139/ssrn.3206554

Massimiliano Marcellino (Contact Author)

European University Institute ( email )

Villa Schifanoia
133 via Bocaccio
Firenze (Florence), Tuscany 50014
Italy

European University Institute - Robert Schuman Centre for Advanced Studies (RSCAS) ( email )

Villa La Fonte, via delle Fontanelle 18
50016 San Domenico di Fiesole
Florence, Florence 50014
Italy

Bocconi University - Department of Economics ( email )

Via Gobbi 5
Milan, 20136
Italy

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

Fotis Papailias

Quantf Research ( email )

London
United Kingdom

HOME PAGE: http://www.quantf.com

University of London, King's College London, Department of Management ( email )

150 Stamford Street
London, SE1 9NN
United Kingdom

Gian Luigi Mazzi

Eurostat ( email )

JMO Building Bech A2/44
Luxembourg, L-2920
Luxembourg

George Kapetanios

King's College, London ( email )

30 Aldwych
London, WC2B 4BG
United Kingdom
+44 20 78484951 (Phone)

Dario Buono

Eurostat, European Commission ( email )

Luxembourg
Luxembourg

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