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Improving Unemployment Rate Forecasts Using Survey Data

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  • Österholm, Pär

    ()
    (National Institute of Economic Research)

Abstract

This 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 Info

Paper provided by National Institute of Economic Research in its series Working Paper with number 112.

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Length: 27 pages
Date of creation: 01 Jun 2009
Date of revision:
Handle: RePEc:hhs:nierwp:0112

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Keywords: Bayesian VAR; Labour market;

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References

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  1. John A. Cotsomitis & Andy C. C. Kwan, 2006. "Can Consumer Confidence Forecast Household Spending? Evidence from the European COmmission Business and Consumer Surveys," Southern Economic Journal, Southern Economic Association, vol. 72(3), pages 597-610, January.
  2. Adolfson, Malin & Andersson, Michael K. & Lindé, Jesper & Villani, Mattias & Vredin, Anders, 2005. "Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks," Working Paper Series 188, Sveriges Riksbank (Central Bank of Sweden), revised 01 Jun 2006.
  3. Norman R. Swanson, 2000. "An Out of Sample Test for Granger Causality," Econometric Society World Congress 2000 Contributed Papers 0362, Econometric Society.
  4. Ashley, R & Granger, C W J & Schmalensee, R, 1980. "Advertising and Aggregate Consumption: An Analysis of Causality," Econometrica, Econometric Society, Econometric Society, vol. 48(5), pages 1149-67, July.
  5. Berger, Helge & Österholm, Pär, 2008. "Does money still matter for U.S. output?," Discussion Papers 2008/7, Free University Berlin, School of Business & Economics.
  6. Amos Golan & Jeffrey M. Perloff, 2004. "Superior Forecasts of the U.S. Unemployment Rate Using a Nonparametric Method," The Review of Economics and Statistics, MIT Press, vol. 86(1), pages 433-438, February.
  7. Jared Laxton & Igor Ermolaev & Charles Freedman & Ondra Kamenik & Michel Juillard & Douglas Laxton & Ioan Carabenciov & Dmitry Korshunov, 2008. "A Small Quarterly Multi-Country Projection Model," IMF Working Papers 08/279, International Monetary Fund.
  8. Costas Milas & Philip Rothman, 2007. "Out-of-Sample Forecasting of Unemployment Rates with Pooled STVECM Forecasts," Working Paper Series, The Rimini Centre for Economic Analysis 49-07, The Rimini Centre for Economic Analysis, revised Jul 2007.
  9. Pär Österholm, 2008. "Can forecasting performance be improved by considering the steady state? An application to Swedish inflation and interest rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(1), pages 41-51.
  10. Philip Rothman, . "Forecasting Asymmetric Unemployment Rates," Working Papers 9618, East Carolina University, Department of Economics.
  11. Andy C.C. Kwan & John A. Cotsomitis, 2006. "The Usefulness of Consumer Confidence in Forecasting Household Spending in Canada: A National and Regional Analysis," Economic Inquiry, Western Economic Association International, Western Economic Association International, vol. 44(1), pages 185-197, January.
  12. Galina Hale & Òscar Jordà, 2007. "Do monetary aggregates help forecast inflation?," FRBSF Economic Letter, Federal Reserve Bank of San Francisco, issue apr13.
  13. Sydney C. Ludvigson, 2004. "Consumer Confidence and Consumer Spending," Journal of Economic Perspectives, American Economic Association, vol. 18(2), pages 29-50, Spring.
  14. Magnus Gustavsson & Pär Österholm, 2010. "The presence of unemployment hysteresis in the OECD: what can we learn from out-of-sample forecasts?," Empirical Economics, Springer, vol. 38(3), pages 779-792, June.
  15. Antonio Ribba, 2006. "The joint dynamics of inflation, unemployment and interest rate in the United States since 1980," Empirical Economics, Springer, vol. 31(2), pages 497-511, June.
  16. Armstrong, J. Scott, 2007. "Significance tests harm progress in forecasting," International Journal of Forecasting, Elsevier, vol. 23(2), pages 321-327.
  17. Todd Clark & Michael McCracken, 2005. "Evaluating Direct Multistep Forecasts," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 24(4), pages 369-404.
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Cited by:
  1. Robert Lehmann & Antje Weyh, 2014. "Forecasting employment in Europe: Are survey results helpful?," Ifo Working Paper Series Ifo Working Paper No. 182, Ifo Institute for Economic Research at the University of Munich.

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