Nowcasting Unemployment Rate in Turkey : Let's Ask Google
AbstractWe use linear regression models and Bayesian Model Averaging procedure to investigate whether Google search query data can improve the nowcast performance of the monthly nonagricultural unemployment rate for Turkey for the period from January 2005 to January 2012. We show that Google search query data is successful at nowcasting1 monthly nonagricultural unemployment rate for Turkey both in-sample and out-of-sample. When compared with a benchmark model, where we use only the lag values of the monthly unemployment rate, the best model contains Google search query data and it is 47.8 percent more accurate in-sample and 38.3 percent more accurate for the one month ahead nowcasts in terms of relative root mean square errors (RMSE). We also show via Harvey, Leybourne, and Newbold (1997) modification of the Diebold-Mariano test that models with Google search query data indeed perform statistically better than the benchmark.
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Bibliographic InfoPaper provided by Research and Monetary Policy Department, Central Bank of the Republic of Turkey in its series Working Papers with number 1218.
Date of creation: 2012
Date of revision:
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Google Insights; nowcasting; nonagricultural unemployment rate; Bayesian model averaging;
Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- 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-2012-09-03 (All new papers)
- NEP-ARA-2012-09-03 (MENA - Middle East & North Africa)
- NEP-FOR-2012-09-03 (Forecasting)
- NEP-LAB-2012-09-03 (Labour Economics)
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