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dc.contributor.authorKholodilin, Konstantin A.en
dc.contributor.authorPodstawski, Maximilianen
dc.contributor.authorSiliverstovs, Borissen
dc.date.accessioned2010-11-24-
dc.date.accessioned2011-10-06T15:41:32Z-
dc.date.available2011-10-06T15:41:32Z-
dc.date.issued2010-
dc.identifier.pidoi:10.3929/ethz-a-006070977en
dc.identifier.urihttp://hdl.handle.net/10419/50431-
dc.description.abstractIn this paper, we investigate whether the Google search activity can help in nowcasting the year-on-year growth rates of monthly US private consumption using a real-time data set. The Google-based forecasts are compared to those based on a benchmark AR(1) model and the models including the consumer surveys and financial indicators. According to the Diebold-Mariano test of equal predictive ability, the null hypothesis can be rejected suggesting that Google-based forecasts are significantly more accurate than those of the benchmark model. At the same time, the corresponding null hypothesis cannot be rejected for models with consumer surveys and financial variables. Moreover, when we apply the test of superior predictive ability (Hansen, 2005) that controls for possible data-snooping biases, we are able to reject the null hypothesis that the benchmark model is not inferior to any alternative model forecasts. Furthermore, the results of the model confidence set (MCS) procedure (Hansen et al., 2005) suggest that the autoregressive benchmark is not selected into a set of the best forecasting models. Apart from several Google-based models, the MCS contains also some models including survey-based indicators and financial variables. We conclude that Google searches do help improving the nowcasts of the private consumption in US.en
dc.language.isoengen
dc.publisher|aETH Zurich, KOF Swiss Economic Institute |cZurichen
dc.relation.ispartofseries|aKOF Working Papers |x256en
dc.subject.jelC22en
dc.subject.jelC53en
dc.subject.jelC82en
dc.subject.ddc330en
dc.subject.keywordGoogle indicatorsen
dc.subject.keywordreal-time nowcastingen
dc.subject.keywordprincipal componentsen
dc.subject.keywordUS private consumptionen
dc.subject.stwGesamtwirtschaftlicher Konsumen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwSuchmaschineen
dc.subject.stwInformationsverhaltenen
dc.subject.stwKonsumentenverhaltenen
dc.subject.stwUSAen
dc.titleDo Google searches help in nowcasting private consumption? A real-time evidence for the US-
dc.typeWorking Paperen
dc.identifier.ppn640482686en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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