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

Caterina Schiavoni*, Franz Palm, Stephan Smeekes, Jan van den Brakel

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

Original languageEnglish
Pages (from-to)324-353
Number of pages30
JournalJournal of the Royal Statistical Society Series A-Statistics in Society
Volume184
Issue number1
Early online date9 Nov 2020
DOIs
Publication statusPublished - Jan 2021

Keywords

  • factor models
  • Google trends
  • high-dimensional data analysis
  • unemployment
  • nowcasting
  • state space

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