“Google it!” Forecasting the US Unemployment Rate with a Google Job Search index
Francesco D’Amuri, Juri Marcucci
C22, C53, E27, E37, J60, J64
Google Econometrics, Forecast Comparison, Keyword Search, US Unemployment, Time Series Models
Economy and Society
Gianmarco I.P. Ottaviano
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.