The confluence of access to large granular data sources (‘Big Data’) and the rapid advance of modelling techniques like those from machine learning (ML) promises new insights into the economy and a larger information set for policymakers. The Bank of England (BoE) and the Data Analytics for...

This course covers methods designed to deal with prediction with “big data” in macroeconomics, and to conduct structural analysis. The three main subjects of the course are: - predictive regressions with big data ; - Bayesian VARs, as a popular example of big data multivariate models, which...