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Forecasting Unemployment Using Internet Search Data via PRISM

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 Penalized Regression with Inferred Seasonality Module (PRISM), which uses publicly available online search data from Google. PRISM is a semiparametric 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.

Ketersediaan

Informasi Detail

Judul Seri

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (JASA); Vol.116 No.536 December 2021

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 1662-1673

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

SEASONALITY
STATE-SPACE MODEL
BIG DATA
PENALIZED REGRESSION
EXOGENOUS VARIABLE
UNEMPLOYMENT FORECAST

Info Detail Spesifik

https://doi.org/10.1080/01621459.2021.1883436

Pernyataan Tanggungjawab

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

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