NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH
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Steven L. Scott

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

NBER Working Papers and Publications

April 2015Bayesian Variable Selection for Nowcasting Economic Time Series
with Hal R. Varian
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 2013Bayesian Variable Selection for Nowcasting Economic Time Series
with Hal R. Varian: 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.
 
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