D'Amuri, Francesco/FD and Marcucci, Juri/JM (2009): "Google it!" Forecasting the US unemployment rate with a Google job search index.
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In this paper we suggest the use of an internet job-search indicator (Google Index, GI) as the best leading indicator to predict the US unemployment rate. We perform a deep out-of-sample comparison of many forecasting models. With respect to the previous literature we concentrate on the monthly series extending the out-of-sample forecast comparison with models that adopt both our preferred leading indicator (GI), the more standard initial claims or combinations of both. Our results show that the GI indeed helps in predicting the US unemployment rate even after controlling for the effects of data snooping. Robustness checks show that models augmented with the GI perform better than traditional ones even in most state-level forecasts and in comparison with the Survey of Professional Forecasters' federal level predictions.
|Item Type:||MPRA Paper|
|Original Title:||"Google it!" Forecasting the US unemployment rate with a Google job search index|
|Keywords:||Google econometrics, Forecast comparison, Keyword search, US unemployment, Time series models.|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods; Simulation Methods
J - Labor and Demographic Economics > J6 - Mobility, Unemployment, and Vacancies > J60 - General
E - Macroeconomics and Monetary Economics > E2 - Macroeconomics: Consumption, Saving, Production, Employment, and Investment > E27 - Forecasting and Simulation: Models and Applications
J - Labor and Demographic Economics > J6 - Mobility, Unemployment, and Vacancies > J64 - Unemployment: Models, Duration, Incidence, and Job Search
C - Mathematical and Quantitative Methods > C2 - Single Equation Models; Single Variables > C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E37 - Forecasting and Simulation: Models and Applications
|Depositing User:||Juri Marcucci|
|Date Deposited:||01. Nov 2009 14:37|
|Last Modified:||14. Feb 2013 11:40|
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