NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
loading...

Jeffrey C. Chen

Bureau of Economic Analysis

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Bureau of Economic Analysis

NBER Working Papers and Publications

July 2019Off to the Races: A Comparison of Machine Learning and Alternative Data for Predicting Economic Indicators
with Abe Dunn, Kyle Hood, Alexander Driessen, Andrea Batch
in Big Data for 21st Century Economic Statistics, Katharine G. Abraham, Ron S. Jarmin, Brian Moyer, and Matthew D. Shapiro
Timely alternative data sources such as credit card transactions and search query trends have become more readily available in recent years, while sophisticated machine learning (ML) techniques have enabled marked gains in predictive accuracy. These advances offer the benefit of revealing economic news earlier in the estimation cycle, reducing revisions, and improving estimate quality. But which combinations of data and ML techniques give the most accurate prediction of national economic activity? To answer this question, we conduct a prediction horse race using a one-step ahead model validation design to evaluate how each ML algorithm, data set, and variable selection method weighs on predictive accuracy. We test 73,884 model specifications, consider 1,180 variables drawn from both tradit...
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us