Can Google Data Help Predict French Youth Unemployment?
According to the rising “Google econometrics” literature, Google queries may help predict economic activity. The aim of our paper is to test if these data can enhance predictions for youth unemployment in France. As we have on the one hand weekly series on web search queries and on the other hand monthly series on unemployment for the 15 to 24-year-olds, we use the unobserved components approach in order to exploit all available information. Our model is estimated with a modified version of the Kalman filter taking into account the twofold issues of non-stationarity and multiple frequencies in our data. We find that including Google data improves unemployment predictions relatively to a competing model without search data queries.
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