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Constructing a new leading indicator for unemployment from a survey among German employment agencies

Author

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  • Hutter, Christian

    () (Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany])

  • Weber, Enzo

    () (Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany])

Abstract

"The paper investigates the predictive power of a new survey implemented by the Federal Employment Agency (FEA) for forecasting German unemployment in the short run. Every month, the CEOs of the FEA's regional agencies are asked about their expectations of future labor market developments. We generate an aggregate unemployment leading indicator that exploits serial correlation in response behavior through identifying and adjusting temporarily unreliable predictions. We use out-of-sample tests suitable in nested model environments to compare forecasting performance of models including the new indicator to that of purely autoregressive benchmarks. For all investigated forecast horizons (1, 2, 3 and 6 months), test results show that models enhanced by the new leading indicator significantly outperform their benchmark counterparts. To compare our indicator to potential competitors we employ the model confidence set. Results reveal that models including the new indicator perform very well." (Author's abstract, IAB-Doku) ((en))

Suggested Citation

  • Hutter, Christian & Weber, Enzo, 2013. "Constructing a new leading indicator for unemployment from a survey among German employment agencies," IAB Discussion Paper 201317, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
  • Handle: RePEc:iab:iabdpa:201317
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    References listed on IDEAS

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    Cited by:

    1. repec:spr:jbuscr:v:12:y:2016:i:1:d:10.1007_s41549-016-0002-5 is not listed on IDEAS
    2. Robert Lehmann & Antje Weyh, 2016. "Forecasting Employment in Europe: Are Survey Results Helpful?," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(1), pages 81-117, September.

    More about this item

    Keywords

    Arbeitsmarktprognose; Arbeitsmarkt; Prognostik; Prognoseverfahren; Arbeitslosigkeit - Indikatoren; Arbeitslosenstatistik; Prognosegenauigkeit; Indikatorenbildung; Arbeitsmarktindikatoren; Arbeitsmarktbeobachtung; Arbeitsagenturen; Befragung; IAB-Arbeitsmarktbarometer;

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E24 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity

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