Working Papers, Konjunkturinstitutet - National Institute of Economic Research
Improving Unemployment Rate Forecasts Using Survey Data
Abstract: This paper investigates whether forecasts of the Swedish
unemployment rate can be improved by using business and household survey
data. We conduct an out-of-sample forecast exercise in which the
performance of a Bayesian VAR model with only macroeconomic data is
compared to that when the model also includes survey data. Results show
that the forecasting performance at short horizons can be improved. The
im-provement is largest when forward-looking data from the manufacturing
industry is employed.
Keywords: Bayesian VAR; Labour market; (follow links to similar papers)
JEL-Codes: E17; E24; E27; (follow links to similar papers)
27 pages, June 1, 2009
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