58 Pages Posted: 22 Apr 2010
Date Written: April 22, 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.
Keywords: Google Econometrics, Forecast Comparison, Keyword search, US Unemployment, Time Series Models
JEL Classification: C22, C53, E27, E37, J6, J64
Suggested Citation: 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