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Predicting unemployment in short samples with internet job search query data

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Author Info
Francesco, D'Amuri
Abstract

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.

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File URL: http://mpra.ub.uni-muenchen.de/18403/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 18403.

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Date of creation: 30 Oct 2009
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Handle: RePEc:pra:mprapa:18403

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Related research
Keywords: Google econometrics; Forecast comparison; Keyword search; Unemployment; Time series models.;

Find related papers by JEL classification:
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
E27 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment - - - Forecasting and Simulation
J60 - Labor and Demographic Economics - - Mobility, Unemployment, and Vacancies - - - General
J64 - Labor and Demographic Economics - - Mobility, Unemployment, and Vacancies - - - Unemployment: Models, Duration, Incidence, and Job Search
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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References listed on IDEAS
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.:
  1. Nikos Askitas & Klaus F. Zimmermann, 2009. "Google Econometrics and Unemployment Forecasting," Discussion Papers of DIW Berlin 899, DIW Berlin, German Institute for Economic Research. [Downloadable!]
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  2. Abberger, Klaus, 2007. "Qualitative business surveys and the assessment of employment -- A case study for Germany," International Journal of Forecasting, Elsevier, vol. 23(2), pages 249-258. [Downloadable!] (restricted)
    Other versions:
  3. Betsey Stevenson, 2008. "The Internet and Job Search," NBER Working Papers 13886, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
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Cited by:
(explanations, 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.)

  1. D'Amuri, Francesco & Marcucci, Juri, 2009. ""Google it!" Forecasting the US unemployment rate with a Google job search index," MPRA Paper 18248, University Library of Munich, Germany, revised 19 Nov 2009. [Downloadable!]
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This page was last updated on 2009-11-29.

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