NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Rishab Guha

Littauer Center, Harvard University,
1805 Cambridge St
Cambridge, MA 02138
Tel: 9146021914

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Harvard University

NBER Working Papers and Publications

August 2019A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data
with Serena Ng
in Big Data for 21st Century Economic Statistics, Katharine G. Abraham, Ron S. Jarmin, Brian Moyer, and Matthew D. Shapiro
This paper analyzes weekly scanner data collected for 108 groups at the county level between 2006 and 2014. The data display multi-dimensional weekly seasonal effects that are not exactly periodic but are cross-sectionally dependent. Existing univariate procedures are imperfect and yield adjusted series that continue to display strong seasonality upon aggregation. We suggest augmenting the univariate adjustments with a panel data step that pools information across counties. Machine learning tools are then used to remove the within-year seasonal variations. A demand analysis of the adjusted budget shares finds three factors: one that is trending, and two cyclical ones that are well aligned with the level and change in consumer confidence. The effects of the Great Recession vary a...
May 2019A Machine Learning Analysis of Seasonal and Cyclical Sales in Weekly Scanner Data
with Serena Ng: w25899
This paper analyzes weekly scanner data collected for 108 groups at the county level between 2006 and 2014. The data display multi-dimensional weekly seasonal effects that are not exactly periodic but are cross-sectionally dependent. Existing univariate procedures are imperfect and yield adjusted series that continue to display strong seasonality upon aggregation. We suggest augmenting the univariate adjustments with a panel data step that pools information across counties. Machine learning tools are then used to remove the within-year seasonal variations. A demand analysis of the adjusted budget shares finds three factors: one that is trending, and two cyclical ones that are well aligned with the level and change in consumer confidence. The effects of the Great Recession vary a...
 
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