Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/92170
Authors: 
D'Amuri, Francesco
Marcucci, Juri
Year of Publication: 
2009
Series/Report no.: 
ISER Working Paper Series 2009-32
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.
Document Type: 
Working Paper

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