Improving Unemployment Rate Forecasts Using Survey Data
AbstractThis paper investigates whether forecasts of the Swedish unemployment rate can be improved by using business and household survey data. We conduct an out-of-sample forecast exercise in which the performance of a Bayesian VAR model with only macroeconomic data is compared to that when the model also includes survey data. Results show that the forecasting performance at short horizons can be improved. The im-provement is largest when forward-looking data from the manufacturing industry is employed.
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Bibliographic InfoPaper provided by National Institute of Economic Research in its series Working Paper with number 112.
Length: 27 pages
Date of creation: 01 Jun 2009
Date of revision:
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Postal: National Institute of Economic Research, P.O. Box 3116, SE-103 62 Stockholm, Sweden
Phone: 46-(0)8-453 59 00
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More information through EDIRC
Bayesian VAR; Labour market;
Other versions of this item:
- Pär Österholm, 2010. "Improving Unemployment Rate Forecasts Using Survey Data," Finnish Economic Papers, Finnish Economic Association, vol. 23(1), pages 16-26, Spring.
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
- E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution
- E27 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation: Models and Applications
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-10-10 (All new papers)
- NEP-ECM-2009-10-10 (Econometrics)
- NEP-FOR-2009-10-10 (Forecasting)
- NEP-LAB-2009-10-10 (Labour Economics)
- NEP-MAC-2009-10-10 (Macroeconomics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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