Big data analytics in economics: What have we learned so far, and where should we go from here?
这篇综述讨论了当前用于分析和利用大数据以改进预测的最新方法，包括降维、收缩和机器学习技术，以及评估预测模型排名的工具，并通过利率期限结构预测的实证例子展示了大数据的有用性。
Abstract Research into predictive accuracy testing remains at the forefront of the forecasting field. One reason for this is that rankings of predictive accuracy across alternative models, which under misspecification are loss function dependent, are universally utilized to assess the usefulness of econometric models. A second reason, which corresponds to the objective of this paper, is that researchers are currently focusing considerable attention on so‐called big data and on new (and old) tools that are available for the analysis of this data. One of the objectives in this field is the assessment of whether big data leads to improvement in forecast accuracy. In this survey paper, we discuss some of the latest (and most interesting) methods currently available for analyzing and utilizing big data when the objective is improved prediction. Our discussion includes a summary of various so‐called dimension reduction, shrinkage and machine learning methods as well as a summary of recent tools that are useful for ranking prediction models associated with the implementation of these methods. We also provide a brief empirical illustration of big data in action, in which we show that big data are indeed useful when predicting the term structure of interest rates.