U.S Unemployment Time-Series Modelling (Part 1)

One of the many benefits of improving economic forecasts is being able to trade releases with better information through forex and stocks.  Certain sites such as Forexfactory provide a forecast parameter and I was able to play around and figure out some just use standard ARIMA models.  In Part 1, I will show how to estimate unemployment rate log changes and Part 2, I will implement this through a modified BP neural network (if i can get it to work...).  I will be benchmarking my residuals with a standard ARIMA model along with an exogenous regressor (initial claims).  The data was obtained […]

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A look into the '08 Crisis with Google Correlation

Discovering Google Correlate was a small silver nugget for me, the reason I say silver is because there are several drawbacks to it. I was going over some research papers seeing how I can improve my simple model for unemployment claims, non-farm payroll, etc. One paper that tapped my interest is written by Hal R. Varian, head honcho economist at Google, that proposed improving the fit of a forecast using Google Trends data.  He'd show his theory through forecasting motor parts sales, unemployment, consumer sentiment, etc.  The models had an overall better fit and out-of-sample test when incorporating Google Trend searches. […]

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