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@techreport{NBERw19567,
 title = "Bayesian Variable Selection for Nowcasting Economic Time Series",
 author = "Scott, Steven L and Varian, Hal R",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "19567",
 year = "2013",
 month = "October",
 doi = {10.3386/w19567},
 URL = "http://www.nber.org/papers/w19567",
 abstract = {We consider the problem of short-term time series forecasting (nowcasting) when there are more possible predictors than observations. Our approach combines three Bayesian techniques: Kalman filtering, spike-and-slab regression, and model averaging. We illustrate this approach using search engine query data as predictors for consumer sentiment and gun sales.},
}