Forecasting Unemployment Using Internet Search Data via PRISM

DOI10.1080/01621459.2021.1883436MaRDI QIDQ5881953zbMATH OpenOpenAlexFDO

Authors Dingdong Yi, Shaoyang Ning, Chia-Jung Chang, S. C. Kou

Publication date 14 March 2023

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2010.09958

zbMATH Keywords

big dataexogenous variablepenalized regressionseasonalitystate-space modelunemployment forecast

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Applications of statistics to economics (62P20) Statistical aspects of big data and data science (62R07)

Abstract: Big data generated from the Internet offer great potential for predictive analysis. Here we focus on using online users' Internet search data to forecast unemployment initial claims weeks into the future, which provides timely insights into the direction of the economy. To this end, we present a novel method PRISM (Penalized Regression with Inferred Seasonality Module), which uses publicly available online search data from Google. PRISM is a semi-parametric method, motivated by a general state-space formulation, and employs nonparametric seasonal decomposition and penalized regression. For forecasting unemployment initial claims, PRISM outperforms all previously available methods, including forecasting during the 2008-2009 financial crisis period and near-future forecasting during the COVID-19 pandemic period, when unemployment initial claims both rose rapidly. The timely and accurate unemployment forecasts by PRISM could aid government agencies and financial institutions to assess the economic trend and make well-informed decisions, especially in the face of economic turbulence.

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Cited in

(2)

• Forecasting private consumption: survey-based indicators vs. Google Trends
• The forecast of China's quarterly unemployment rate in the background of big data -- analysis based on network search data

Describes a project that uses

Uses Software

• expsmooth
• astsa

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