Anna Simoni

big data and econometrics seminar

Anna Simoni

CREST, ENSAE, Ecole Polytechnique
When are Google data useful to nowcast GDP? An approach via pre-selection and shrinkage
Venue

IBD Amphi

Îlot Bernard du Bois - Amphithéâtre

AMU - AMSE
5-9 boulevard Maurice Bourdet
13001 Marseille

Date(s)
Tuesday, September 22 2020| 2:00pm to 3:30pm
Contact(s)

Michel Lubrano: michel.lubrano[at]univ-amu.fr
Pierre Michel: pierre.michel[at]univ-amu.fr

Abstract

Nowcasting GDP growth is extremely useful for policy-makers to assess macroeconomic conditions in real-time. In this paper, we aim at nowcasting euro area GDP with a large database of Google search data. Our objective is to check whether this specific type of information can be useful to increase GDP nowcasting accuracy, and when, once we control for official variables. In this respect, we estimate shrunk bridge regressions that integrate Google data optimally screened through a targeting method, and we empirically show that this approach provides some gain in pseudo-real-time nowcasting of euro area GDP quarterly growth. Especially, we get that Google data bring useful information for GDP nowcasting for the four first weeks of the quarter when macroeconomic information is lacking. However, as soon as official data become available, their relative nowcasting power vanishes. In addition, a true real-time anal-ysis confirms that Google data constitute a reliable alternative when official data are lacking.