Handbook of US Consumer Economics

Chapter 11

Macro forecasting using alternative data

Apurv Jain     Harvard Business School and Microsoft Research, Boston, MA, United States

Abstract

Traditional macroeconomic data used by economic agents to make decisions are noisy, lack richness, and are produced with considerable lag. This chapter explores how alternative, web-scale data sources (“big data”) can help. We present a case study using a common alternative data source, web search, to predict one of the most important data releases—nonfarm payrolls. We discuss the efficacy of various machine learning techniques, the live performance of alternative data prediction models, and the typical problems faced in practice.

Keywords

Big Data; Macroeconomics; Prediction; Finance; Non-Farm Payrolls; ...