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NBER Working Papers and Publications
|April 2015||Bayesian Variable Selection for Nowcasting Economic Time Series|
with Steven L. Scott
in Economic Analysis of the Digital Economy, Avi Goldfarb, Shane M. Greenstein, and Catherine E. Tucker, editors
We consider the problem of short-term time series forecasting (nowcasting) when there are more possible predictors than observations. The motivating example is the use of Google Trends search engine query data as a contemporaneous predictor of economic indicators. Our preferred approach combines three Bayesian techniques: Kalman filtering, spike-and-slab regression, and model averaging. The Kalman filter can be used to control for time series feature, such as seasonality and trend; the regression can be used to incorporate predictors such as search engine queries; and model averaging can be used to reduce the danger of overfitting. Overall the Bayesian approach allows a flexible way to incorporate prior knowledge, both subjective and objective, into the estimation procedure. We illustrate ...
|October 2013||Bayesian Variable Selection for Nowcasting Economic Time Series|
with Steven L. Scott: w19567
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.
Published: Bayesian Variable Selection for Nowcasting Economic Time Series, Steven L. Scott, Hal R. Varian. in Economic Analysis of the Digital Economy, Goldfarb, Greenstein, and Tucker. 2015
|August 1986||Taxation of Asset Income in the Presence of a World Securites Market|
with Roger H. Gordon: w1994
This paper shows, using a standard CAPM model of security prices in a world market,
that even small countries can affect the price of domestically issued risky securities, while
large countries can affect the prices of all securities. As a result, countries have the incentive to set tax rates such that in equilibrium investors specialize in domestic securities, and net capital flows between countries are restricted. Each country does this to increase the utility of domestic residents, taking as given the tax policies of other governments, but the net outcome is a reduction in world efficiency and likely a reduction in the utility of all individuals.
Published: Journal of International Economics, Journal of International Economics, vol .26, no. 314, pp. 205-226, 1989. citation courtesy of
|October 1985||Intergenerational Risk Sharing|
with Roger H. Gordon: w1730
In this paper, we argue that in designing government debt and tax-transfer policies, it is important to consider their implications for the allocation of risk between generations. There is no reason to presume that the market or the family can allocate risk efficiently to future generations, implying that stochastic government policies have the potential to create first-order welfare improvements. The model provides a non-Keynsian justification for debt-finance of wars and recessions, as well as an added rationale for Social Security type tax-transfer schemes which aid unlucky generations, e.g., the Depression generation,at the expense of luckier generations.
Published: Gordon and Varian, "Intergenerational Risk Sharing," from Journal of Public Economics, Vol.37, no. 2, pp. 185-202, November 1988. citation courtesy of