Econometrics at Scale: Spark up Big Data in Economics

Bluhm, Benjamin; Cutura, Jannic Alexander

doi:10.6339/22-JDS1035

Journal of Data Science

Econometrics at Scale: Spark up Big Data in Economics^✩

Volume 20, Issue 3 (2022): Special Issue: Data Science Meets Social Sciences, pp. 413–436

Benjamin Bluhm Jannic Alexander Cutura

https://doi.org/10.6339/22-JDS1035

Pub. online: 7 April 2022 Type: Data Science Reviews

Open Access

^✩ The views expressed in this paper are those of the authors alone and do not represent the view of the European Central Bank (ECB).

Received
9 November 2021

Accepted
12 January 2022

Published
7 April 2022

Abstract

This paper provides an overview of how to use “big data” for social science research (with an emphasis on economics and finance). We investigate the performance and ease of use of different Spark applications running on a distributed file system to enable the handling and analysis of data sets which were previously not usable due to their size. More specifically, we explain how to use Spark to (i) explore big data sets which exceed retail grade computers memory size and (ii) run typical statistical/econometric tasks including cross sectional, panel data and time series regression models which are prohibitively expensive to evaluate on stand-alone machines. By bridging the gap between the abstract concept of Spark and ready-to-use examples which can easily be altered to suite the researchers need, we provide economists and social scientists more generally with the theory and practice to handle the ever growing datasets available. The ease of reproducing the examples in this paper makes this guide a useful reference for researchers with a limited background in data handling and distributed computing.

Supplementary material

Supplementary Material

Supplementary material is available on our github page, containing all codes to replicate the results along links to the data. Additional instructions are also available, detailing how to setup the AWS infrastructure: https://github.com/benjaminbluhm/econometrics_at_scale.

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2022 The Author(s). Published by the School of Statistics and the Center for Applied Statistics, Renmin University of China.

Open access article under the CC BY license.

Keywords

Apache Spark distributed computing econometrics

Funding

We gratefully acknowledge a travel grant sponsored by the Bank of England. We gratefully acknowledge research support from the Leibniz Institute for Financial Research SAFE.

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