Does High-Frequency Social Media Data Improve Forecasts of Low-Frequency Consumer Confidence Measures?
[Regression Models with Mixed Sampling Frequencies]
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- Steven F. Lehrer & Tian Xie & Tao Zeng, 2019. "Does High Frequency Social Media Data Improve Forecasts of Low Frequency Consumer Confidence Measures?," NBER Working Papers 26505, National Bureau of Economic Research, Inc.
References listed on IDEAS
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Cited by:
- Steven F. Lehrer & Tian Xie, 2022.
"The Bigger Picture: Combining Econometrics with Analytics Improves Forecasts of Movie Success,"
Management Science, INFORMS, vol. 68(1), pages 189-210, January.
- Steven F. Lehrer & Tian Xie, 2018. "The Bigger Picture: Combining Econometrics with Analytics Improve Forecasts of Movie Success," NBER Working Papers 24755, National Bureau of Economic Research, Inc.
- Steven Lehrer & Tian Xie, 2020. "The Bigger Picture: Combining Econometrics with Analytics Improve Forecasts of Movie Success," Working Paper 1449, Economics Department, Queen's University.
- Lahiri, Kajal & Yang, Cheng, 2022.
"Boosting tax revenues with mixed-frequency data in the aftermath of COVID-19: The case of New York,"
International Journal of Forecasting, Elsevier, vol. 38(2), pages 545-566.
- Kajal Lahiri & Cheng Yang, 2021. "Boosting Tax Revenues with Mixed-Frequency Data in the Aftermath of Covid-19: The Case of New York," CESifo Working Paper Series 9365, CESifo.
- Qiu, Yue, 2020. "Forecasting the Consumer Confidence Index with tree-based MIDAS regressions," Economic Modelling, Elsevier, vol. 91(C), pages 247-256.
- Algaba, Andres & Borms, Samuel & Boudt, Kris & Verbeken, Brecht, 2023.
"Daily news sentiment and monthly surveys: A mixed-frequency dynamic factor model for nowcasting consumer confidence,"
International Journal of Forecasting, Elsevier, vol. 39(1), pages 266-278.
- Andres Algaba & Samuel Borms & Kris Boudt & Brecht Verbeken, 2021. "Daily news sentiment and monthly surveys: A mixed–frequency dynamic factor model for nowcasting consumer confidence," Working Paper Research 396, National Bank of Belgium.
- Lehrer, Steven & Xie, Tian & Zhang, Xinyu, 2021. "Social media sentiment, model uncertainty, and volatility forecasting," Economic Modelling, Elsevier, vol. 102(C).
- Daniele Ballinari & Simon Behrendt, 2021. "How to gauge investor behavior? A comparison of online investor sentiment measures," Digital Finance, Springer, vol. 3(2), pages 169-204, June.
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More about this item
Keywords
big data; forecasting; machine learning; MIDAS; social media;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
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