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Real Time Indicators During the COVID-19 Pandemic Individual Predictors & Selection

Author

Listed:
  • George Kapetanios
  • Fotis Papailias

Abstract

This technical report aims to present a generalised framework for assessing the predictive content of ONS real time indicators in both dimensions: (i) individual predictors (i.e. variable-by-variable), and (ii) using machine learning techniques to build variable selection models. The evaluation is done on a nowcasting basis (h = 0). Simple correlation and predictive power scores are included as well as best subset selection, penalised regressions, random forests and principal components.

Suggested Citation

  • George Kapetanios & Fotis Papailias, 2022. "Real Time Indicators During the COVID-19 Pandemic Individual Predictors & Selection," Economic Statistics Centre of Excellence (ESCoE) Technical Reports ESCOE-TR-15, Economic Statistics Centre of Excellence (ESCoE).
    • Handle: RePEc:nsr:escoet:escoe-tr-15
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    File URL: https://escoe-website.s3.amazonaws.com/wp-content/uploads/2022/03/18105207/ESCoE-TR-15.pdf
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    References listed on IDEAS

    as
    1. George Kapetanios & Fotis Papailias, 2021. "UK Economic Conditions during the Pandemic: Assessing the Economy using ONS Faster Indicators," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers (2017-2023 papers hosted by The National Institute of Economic and Social Research) ESCoE DP-2021-10, Economic Statistics Centre of Excellence (ESCoE).
    2. Giannone, Domenico & Reichlin, Lucrezia & Small, David, 2008. "Nowcasting: The real-time informational content of macroeconomic data," Journal of Monetary Economics, Elsevier, vol. 55(4), pages 665-676, May.
    3. J. C. G. Boot & W. Feibes & J. H. C. Lisman, 1967. "Further Methods of Derivation of Quarterly Figures from Annual Data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 16(1), pages 65-75, March.
    4. Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January.
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    Cited by:

    1. Kapetanios, George & Papailias, Fotis, 2023. "Nowcasting with Backcalculated Short Time Series Simulations & Empirical Evidence," Discussion Papers escoe-dp-2023-08, Economic Statistics Centre of Excellence.
    2. David Kohns & Galina Potjagailo, 2025. "Flexible Bayesian MIDAS: Time-Variation, Group-Shrinkage and Sparsity," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 43(4), pages 1034-1050, October.

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    Keywords

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    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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