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'Google it!' Forecasting the US unemployment rate with a Google job search index

  • D'Amuri, Francesco
  • Marcucci, Juri

We suggest the use of an Internet job-search indicator (the Google Index, GI) as the best leading indicator to predict the US unemployment rate. We perform a deep out-of-sample forecasting comparison analyzing many models that adopt both our preferred leading indicator (GI), the more standard initial claims or combinations of both. We find that models augmented with the GI outperform the traditional ones in predicting the monthly unemployment rate, even in most state-level forecasts and in comparison with the Survey of Professional Forecasters.

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File URL: https://www.iser.essex.ac.uk/research/publications/working-papers/iser/2009-32.pdf
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Paper provided by Institute for Social and Economic Research in its series ISER Working Paper Series with number 2009-32.

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Date of creation: 18 Nov 2009
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Publication status: published
Handle: RePEc:ese:iserwp:2009-32
Contact details of provider: Postal: Publications Office, Institute for Social and Economic Research, University of Essex, Wivenhoe Park, Colchester, Essex CO4 3SQ UK
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Fax: 44-1206-873151
Web page: https://www.iser.essex.ac.uk/
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  18. Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 365-380, October.
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