Publication type
ISER Working Paper Series
Series Number
2009-32
Series
ISER Working Paper Series
Authors
Publication date
November 18, 2009
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.
Subjects
Notes
working paper
Paper download#512971