Using Google Trends Data in Forecasting Economic Variables: Time Series Analysis - Couverture souple

Yousefi, Djamil

 
9786200478412: Using Google Trends Data in Forecasting Economic Variables: Time Series Analysis
Couverture souple
ISBN 10 : 6200478414 ISBN 13 : 9786200478412
Editeur : LAP LAMBERT Academic Publishing, 2019

Synopsis

This work investigates in a forecast application whether the forecast accuracy of the US unemployment growth rate can be improved when the time series model is augmented with Google Trends data. The empirical analysis is based on up to 10 distinct Google Trends search terms, which show a sufficiently high correlation with the target variable US unemployment rate. A Google index from the 10 Google search terms is derived by estimating a Factor model with the method of principal component analysis. By using a VAR model it is empirically shown that the forecast accuracy of the US unemployment growth rate can be improved by augmenting the model with the Google search terms.

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Éditeur
LAP LAMBERT Academic Publishing
Date d'édition
2019
Langue
anglais
ISBN 10 
6200478414
ISBN 13 
9786200478412
Reliure
Broché
Nombre de pages
88
Coordonnées du fabricant
non disponible
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