Columbia University · Workshop · Spring 2027

Reading the economy in real time.

Most measures of economic activity are published after the period they describe and revised later. This workshop asks what can be learned before then from weekly and daily indicators. We develop the methods step by step, beginning with state-space models and ending with a real-time estimate of GDP.

observations, as released filtered estimate 95% band — the honest answer

THU 08:30 INITIAL CLAIMS 218K ▼3K  ·  FRI 09:45 PMI COMPOSITE 52.1 ▲0.4  ·  MON GOOGLE TRENDS "layoffs" idx 41 ▼2  ·  TUE 08:30 RETAIL SALES +0.3% M/M ▲  ·  T−23 DAYS ADVANCE GDP ESTIMATE

Course schedule

01The nowcasting problem · state space & the Kalman filterP0 — the sealed envelope

02Dynamic factor models · weekly economic trackersP1 — a weekly tracker from FRED

03Seasonal adjustment at high frequencyP2 — hourly electricity load

04Text as data · LLM sentiment indicatorsP3 — a daily sentiment index

05ML for time series · foundation modelsP4 — the foundation-model horse race

06Nonlinear tools · Markov switching, MIDAS, growth-at-risk—

07Capstone sprint · assembling the dashboardcapstone build

08Demo day · nowcasts vs. the proscapstone ships

The capstone

Your nowcast vs. the Federal Reserve's.

Every student ships a live dashboard — fresh data on a schedule, a current-quarter GDP nowcast with honest bands, every revision attributed to the release that caused it. Scored against GDPNow on the same axes.

+1.8%

instructor nowcast · ±1.1 · vs GDPNow +2.0

How the materials work

One source generates everything. Each session is written once and compiled to slides (reveal.js), lecture notes (LaTeX-compiled PDF), and this website, where the math is interleaved with interactive explorables that run in your browser. Start with the Kalman filter playground — no setup needed.

Every practicum and the capstone has a fully worked instructor build — the same projects a student produces, done end-to-end, serving as the benchmark example. Backtests run on archived data vintages (ALFRED), never on today’s revised history.

This workshop modernizes and extends the “Nowcasting and Forecasting with High-Frequency Information” elective at the Barcelona School of Economics (2025).