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'Google It!' Forecasting the US Unemployment Rate with A Google Job Search Index

58 Pages Posted: 22 Apr 2010  

Francesco D’Amuri

Bank of Italy; University of Essex - Institute for Social and Economic Research (ISER)

Juri Marcucci

Bank of Italy

Date Written: April 22, 2010

Abstract

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.

Keywords: Google Econometrics, Forecast Comparison, Keyword search, US Unemployment, Time Series Models

JEL Classification: C22, C53, E27, E37, J6, J64

Suggested Citation

D’Amuri, Francesco and Marcucci, Juri, 'Google It!' Forecasting the US Unemployment Rate with A Google Job Search Index (April 22, 2010). FEEM Working Paper No. 31.2010. Available at SSRN: https://ssrn.com/abstract=1594132 or http://dx.doi.org/10.2139/ssrn.1594132

Francesco D’Amuri (Contact Author)

Bank of Italy ( email )

Via Nazionale 91
00184 Roma
Italy

University of Essex - Institute for Social and Economic Research (ISER) ( email )

Wivenhoe Park
Colchester CO4 3SQ
United Kingdom

Juri Marcucci

Bank of Italy ( email )

Via Nazionale , 91
Rome, 00184
Italy
+39-06-4792-4069 (Phone)

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