'Google It!' Forecasting the US Unemployment Rate with A Google Job Search Index
Bank of Italy; University of Essex - Institute for Social and Economic Research (ISER)
Bank of Italy
April 22, 2010
FEEM Working Paper No. 31.2010
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.
Number of Pages in PDF File: 58
Keywords: Google Econometrics, Forecast Comparison, Keyword search, US Unemployment, Time Series Models
JEL Classification: C22, C53, E27, E37, J6, J64
Date posted: April 22, 2010
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