D'Amuri, Francesco and Marcucci, Juri (2009): "Google it!" Forecasting the US unemployment rate with a Google job search index.
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We suggest the use of an Internet job-search indicator (the Google Index, GI) as the best leading indicator to predict the US unemployment rate. We perform a deep out-of-sample forecasting comparison analyzing many models that adopt both our preferred leading indicator (GI), the more standard initial claims or combinations of both. We find that models augmented with the GI outperform the traditional ones in predicting the monthly unemployment rate, even in most state-level forecasts and in comparison with the Survey of Professional Forecasters.
|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:||19. Nov 2009 16:03|
|Last Modified:||12. Feb 2013 14:05|
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"Google it!" Forecasting the US unemployment rate with a Google job search index. (deposited 01. Nov 2009 14:37)
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