NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Bayesian Variable Selection for Nowcasting Economic Time Series

Steven L. Scott, Hal R. Varian

NBER Working Paper No. 19567
Issued in October 2013
NBER Program(s):   PR

We consider the problem of short-term time series forecasting (nowcasting) when there are more possible predictors than observations. Our approach combines three Bayesian techniques: Kalman filtering, spike-and-slab regression, and model averaging. We illustrate this approach using search engine query data as predictors for consumer sentiment and gun sales.

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Acknowledgments

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w19567

Forthcoming: Bayesian Variable Selection for Nowcasting Economic Time Series, Steven L. Scott, Hal Varian. in Economics of Digitization, Goldfarb, Greenstein, and Tucker. 2014

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