eduzhai > Applied Sciences > Computer Science >

A dynamic factor model approach to incorporate Big Data in state space models for official statistics

  • KanKan
  • (0) Download
  • 20210425
  • Save

... pages left unread,continue reading

Document pages: 41 pages

Abstract: In this paper we consider estimation of unobserved components in state spacemodels using a dynamic factor approach to incorporate auxiliary informationfrom high-dimensional data sources. We apply the methodology to unemploymentestimation as done by Statistics Netherlands, who uses a multivariate statespace model to produce monthly figures for the unemployment using seriesobserved with the labour force survey (LFS). We extend the model by includingauxiliary series of Google Trends about job-search and economic uncertainty,and claimant counts, partially observed at higher frequencies. Our factor modelallows for nowcasting the variable of interest, providing reliable unemploymentestimates in real-time before LFS data become available.

Please select stars to rate!


0 comments Sign in to leave a comment.

    Data loading, please wait...