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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