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
Number of pages30
JournalJournal of the Royal Statistical Society Series A-Statistics in Society
DOIs
Publication statusE-pub ahead of print - 9 Nov 2020

Keywords

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

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