Nowcasting with Google trends in an emerging market

Journal of Forecasting

Volumn 32, Issue 4, 2013, Pages 289-298

  Carrière Swallow, Yan ^a   Labbé, Felipe ^a  

^a CENTRAL BANK OF CHILE   (Chile)

Author keywords

emerging markets; forecast accuracy; Google Trends; nowcasting

Indexed keywords

COMMERCE; CONSUMER BEHAVIOR; POPULATION STATISTICS; SEARCH ENGINES;

'CURRENT; CONDITION; ECONOMIC VARIABLES; EMERGING MARKETS; FORECAST ACCURACY; GOOGLE TRENDS; GOOGLE+; INTERNET BROWSING; NOWCASTING; POLICY MAKERS;

SALES;

EID: 84879412777     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.1252     Document Type: Article

References (17)

1. Ashley R, Granger C, Schmalensee R,. 1980. Advertising and aggregate consumption: an analysis of causality. Econometrica 48: 1149-1167.
2. Chen S,. 2005. A note on in-sample and out-of-sample tests for Granger causality. Journal of Forecasting 24: 453-464. (Pubitemid 41360272)
3. Choi H, Varian H,. 2009a. Predicting the present with Google Trends. Technical Report, Economics Research Group, Google.
4. Choi H, Varian H,. 2009b. Predicting initial claims for unemployment benefits. Technical Report, Economics Research Group, Google.
5. Clark TE, McCracken MW,. 2001. Tests of equal forecast accuracy and encompassing for nested models. Journal of Econometrics 105: 85-110. (Pubitemid 33645287)
6. Clark TE, McCracken MW,. 2005. Evaluating direct multistep forecasts. Econometric Reviews 24 (4): 369-404. (Pubitemid 41818688)
7. Clark TE, West KD,. 2007. Approximately normal tests for equal predictive accuracy in nested models. Journal of Econometrics 138: 291-311. (Pubitemid 46464000)
8. Della Penna N, Huang H,. 2009. Constructing consumer sentiment index for U.S. using Google searches. Working Papers 2009-26, Department of Economics, University of Alberta.
9. Diebold FX, Mariano R,. 1995. Comparing predictive accuracy. Journal of Business and Economic Statistics 13 (3): 253-263.
10. Giacomini R, White H,. 2006. Tests of conditional predictive ability. Econometrica 74 (6): 1545-1578. (Pubitemid 44673206)
11. Henriksson R, Merton R,. 1981. On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills. Journal of Business 54 (4): 513-533.
12. Suhoy T,. 2009. Query indices and a 2008 downturn: Israeli data. Discussion Paper No. 2009-06, Bank of Israel.
13. Trefler D,. 1995. The case of the missing trade and other mysteries. American Economic Review 85 (5): 1029-1046.
14. Vosen S, Schmidt T,. 2011. Forecasting private consumption: survey-based indicators vs. Google Trends. Journal of Forecasting 30 (6): 565-578.
15. West KD,. 1996. Asymptotic inference about predictive ability. Econometrica 64: 1067-1084. (Pubitemid 126463654)
16. West KD,. 2006. Forecast evaluation. In Handbook of Economic Forecasting, Vol. 1, Elliott G, Granger C, Timmermann A, (eds). Elsevier: Amsterdam: 94-134.
17. World Bank. 2010. World Development Indicators 2010. The World Bank Group (CD-ROM).