Francesco, D'Amuri (2009): Predicting unemployment in short samples with internet job search query data.
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This article tests the power of a novel indicator based on job search related web queries in predicting quarterly unemployment rates in short samples. Augmenting standard time series specifications with this indicator definitely improves out-of-sample forecasting performance at nearly all in-sample interval lengths and forecast horizons, both when compared with models estimated on the same or on a much longer time series interval.
|Item Type:||MPRA Paper|
|Original Title:||Predicting unemployment in short samples with internet job search query data|
|Keywords:||Google econometrics, Forecast comparison, Keyword search, Unemployment, Time series models.|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods
E - Macroeconomics and Monetary Economics > E2 - Consumption, Saving, Production, Investment, Labor Markets, and Informal Economy > E27 - Forecasting and Simulation: Models and Applications
J - Labor and Demographic Economics > J6 - Mobility, Unemployment, Vacancies, and Immigrant Workers > J60 - General
J - Labor and Demographic Economics > J6 - Mobility, Unemployment, Vacancies, and Immigrant Workers > 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 ; Diffusion Processes
|Date Deposited:||06. Nov 2009 05:41|
|Last Modified:||12. Feb 2013 16:16|
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