We propose a fast approximate Metropolis-Hastings algorithm for large data sets embedded in a design based approach. Here, the loglikelihood ratios involved in the Metropolis-Hastings acceptance step are considered as data. The building block is one single subsample from the complete data set,...

The computing time for Markov Chain Monte Carlo (MCMC) algorithms can be prohibitively large for datasets with many observations, especially when the data density for each observation is costly to evaluate. We propose a framework where the likelihood function is estimated from a random subset of...

Data on Google searches help predict the unemployment rate in the U.S. But the predictive power of Google searches is limited to short-term predictions, the value of Google data for forecasting purposes is episodic, and the improvements in forecasting accuracy are only modest. The results,...

In this paper a Bayesian vector autoregressive model for nowcasting the seasonally non-adjusted unemployment rate in EU-countries is developed. On top of the official statistical releases, the model utilizes Google search data and the effect of Google data on the forecasting performance of the...

The use of "Big Data" to explain fluctuations in the broader economy or guide the business decisions of a firm is now so commonplace that in some instances it has even begun to rival more traditional government statistics and business analytics. Big data sources can very often provide advantages...

It is well-established that a country's economic outcomes, including productivity, future income, and labour market performance, are profoundly influenced by the happiness of its people. Traditionally, survey data have been the primary source for determining people's happiness. However, this...

This paper proposes two consistent model selection procedures for factor-augmented regressions in finite samples. We first demonstrate that the usual cross-validation is inconsistent, but that a generalization, leave-d-out cross-validation, selects the smallest basis for the space spanned by the...