Predicting unemployment in short samples with internet job search query data

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Predicting unemployment in short samples with internet job search query data

Authors
Keywords
  • Incidence
  • C53 - Forecasting And Prediction Methods
  • Simulation Methods
  • Duration
  • C22 - Time-Series Models
  • Dynamic Quantile Regressions
  • Dynamic Treatment Effect Models
  • E27 - Forecasting And Simulation: Models And Applications
  • J60 - General
  • J64 - Unemployment: Models
  • And Job Search

Abstract

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.

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