Real-time private consumption prediction using big data

As economic uncertainties have increased recently due to COVID-19, there is a growing need to quickly grasp private consumption trends that directly reflect the economic situation of private economic entities.This study proposes a method of estimating private consumption in real-time by comprehensively utilizing big data as well as existing macroeconomic indicators.In particular, it is intended to improve the accuracy of private consumption estimation by comparing and analyzing various machine learning methods that are capable of fitting ultra-high-dimensional big data.As a result of the empirical analysis, it has been demonstrated that when the number of covariates including big data is large, variables can be selected in advance and used for model fit to improve private consumption prediction performance.In addition, as the inclusion of big data greatly improves the predictive performance of private consumption after COVID-19, the benefit of big data that reflects new information in a timely manner has been shown to increase when economic uncertainty is high.