Predicting unemployment in short samples with internet job search query data
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.
|Date of creation:||30 Oct 2009|
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