In Search of a Job: Forecasting Employment Growth in the US Using Google Trends
Erik Christian Montes Schütte
Abstract:We show that Google search activity on relevant terms is a strong out-of-sample predictor of future employment growth in the US and that it greatly outperforms benchmark predictive models based on macroeconomic, financial, and sentiment variables. Using a subset of ten keywords, we construct a panel with 211 variables using Google's own algorithms to find related search queries. We use Elastic Net variable selection in combination with Partial Least Squares to extract the most important information from a larg… Show more
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