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Short‐term forecasting of the US unemployment rate
16 references·3 citing·42 second hopsampled
Short‐term forecasting of the US unemployment rate (2019)Short‐term forecasting of the US unemploy…FRED-MD: A Monthly Database for Macroeconomic Research (2015)FRED-MD: A Monthly Database f…Forecasting Chinese tourist volume with search engine data (2014)Forecasting Chinese tourist v…Can Google data improve the forecasting performance of tourist arrivals? Mixed-data sampling approach (2014)Can Google data improve the f…Should Macroeconomic Forecasters Use Daily Financial Data and How? (2013)Should Macroeconomic Forecast…Predicting the Present with Google Trends (2012)Predicting the Present with G…Forecasting private consumption: survey-based indicators vs. Google trends (2011)Forecasting private consumpti…Google Econometrics and Unemployment Forecasting (2009)Google Econometrics and Unemp…Nowcasting: The real-time informational content of macroeconomic data (2008)Nowcasting: The real-time inf…MIDAS Regressions: Further Results and New Directions (2007)MIDAS Regressions: Further Re…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…There is a risk-return trade-off after all (2005)There is a risk-return trade-…Predicting volatility: getting the most out of return data sampled at different frequencies (2005)Predicting volatility: gettin…Macroeconomic Forecasting Using Diffusion Indexes (2002)Macroeconomic Forecasting Usi…Determining the Number of Factors in Approximate Factor Models (2002)Determining the Number of Fac…Forecasting the U.S. Unemployment Rate (1998)Forecasting the U.S. Unemploy…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyVAR, ARIMAX and ARIMA models for nowcasting unemployment rate in Ghana using Google trends (2023)VAR, ARIMAX and ARIMA models …Machine Learning Ensemble Modelling for Predicting Unemployment Duration (2023)Machine Learning Ensemble Mod…Can unemployment forecasts based on Google Trends help government design better policies? An investigation based on Spain and Portugal (2021)Can unemployment forecasts ba…The arbitrage theory of capital asset pricing (1976)The Econometrics of Financial Markets (1997)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure (2006)A simple panel unit root test in the presence of cross‐section dependence (2007)The Econometrics of Financial Markets (2012)Forecasting Using Principal Components From a Large Number of Predictors (2002)Large Bayesian vector auto regressions (2009)Real-Time Measurement of Business Conditions (2009)Prior Selection for Vector Autoregressions (2014)New Indexes of Coincident and Leading Economic Indicators (1989)The Generalized Dynamic-Factor Model: Identification and Estimation (2000)Measuring Uncertainty (2015)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)A Simple Approximate Long-Memory Model of Realized Volatility (2008)Stock Market Volatility and Macroeconomic Fundamentals (2012)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Business conditions and expected returns on stocks and bonds (1989)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)To Explain or to Predict? (2010)Empirical Asset Pricing via Machine Learning (2020)Comparing Predictive Accuracy (1995)Identification and Estimation of Dynamic Causal Effects in Macroeconomics Using External Instruments (2018)Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response? (2021)Deep Learning in Asset Pricing (2023)Trends and random walks in macroeconmic time series (1982)In Search of Attention (2011)Twitter mood predicts the stock market (2011)Big Data: New Tricks for Econometrics (2014)An Intertemporal Capital Asset Pricing Model (1973)The conditional CAPM does not explain asset-pricing anomalies☆ (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Forecasting Economic Time Series (2000)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1994Comparing Predictive Accuracy5,578 cited
  • 2002Determining the Number of Factors in Approximate Factor Models4,110 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 2012Predicting the Present with Google Trends2,594 cited
  • 2002Macroeconomic Forecasting Using Diffusion Indexes2,550 cited
  • 2008Nowcasting: The real-time informational content of macroeconomic data1,153 cited
  • 2005There is a risk-return trade-off after all1,019 cited
  • 2007MIDAS Regressions: Further Results and New Directions1,003 cited
  • 2015FRED-MD: A Monthly Database for Macroeconomic Research908 cited
  • 2005Predicting volatility: getting the most out of return data sampled at different frequencies854 cited
  • 2011Forecasting private consumption: survey-based indicators vs. Google trends594 cited
  • 2014Forecasting Chinese tourist volume with search engine data451 cited
  • 2009Google Econometrics and Unemployment Forecasting439 cited
  • 2014Can Google data improve the forecasting performance of tourist arrivals? Mixed-data sampling approach349 cited
  • 2013Should Macroeconomic Forecasters Use Daily Financial Data and How?

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334 cited
  • 1998Forecasting the U.S. Unemployment Rate294 cited
  • Cited by

    • 2023Machine Learning Ensemble Modelling for Predicting Unemployment Duration47 cited
    • 2023VAR, ARIMAX and ARIMA models for nowcasting unemployment rate in Ghana using Google trends28 cited
    • 2021Can unemployment forecasts based on Google Trends help government design better policies? An investigation based on Spain and Portugal24 cited