Macroeconomic Nowcasting and Forecasting with Big Data
回顾了利用大数据跟踪经济状况的方法演变，并解释了计量技术如何模拟和自动化交易台、央行等机构的预测实践，详细介绍了纽约联储员工即时预测的方法论，用于合成多种宏观数据以早期估计GDP增长。
Data, data, data…. Economists know their importance well, especially when it comes to monitoring macroeconomic conditions—the basis for making informed economic and policy decisions. Handling large and complex data sets was a challenge that macroeconomists engaged in real-time analysis faced long before so-called big data became pervasive in other disciplines. We review how methods for tracking economic conditions using big data have evolved over time and explain how econometric techniques have advanced to mimic and automate best practices of forecasters on trading desks, at central banks, and in other market-monitoring roles. We present in detail the methodology underlying the New York Fed Staff Nowcast, which employs these innovative techniques to produce early estimates of GDP growth, synthesizing a wide range of macroeconomic data as they become available.