This paper is concerned with an introduction to big data which can be potentially used in nowcasting the UK GDP and other key macroeconomic variables. We discuss various big data classifications and review some indicative studies in the big data and macroeconomic nowcasting literature. A detailed discussion of big data methodologies is also provided. In particular, we focus on sparse regressions, heuristic optimisation of information criteria, factor methods and textual-data methods.
