Arbeitspapier

Constructing a new leading indicator for unemployment from a survey among German employment agencies

The paper investigates the predictive power of a new survey implemented by the Federal Employment Agency (FEA) for forecasting German unemployment in the short run. Every month, the CEOs of the FEA's regional agencies are asked about their expectations of future labor market developments. We generate an aggregate unemployment leading indicator that exploits serial correlation in response behavior through identifying and adjusting temporarily unreliable predictions. We use out-of-sample tests suitable in nested model environments to compare forecasting performance of models including the new indicator to that of purely autoregressive benchmarks. For all investigated forecast horizons (1, 2, 3 and 6 months), test results show that models enhanced by the new leading indicator significantly outperform their benchmark counterparts. To compare our indicator to potential competitors we employ the model confidence set. Results reveal that models including the new indicator perform very well.

Sprache
Englisch

Erschienen in
Series: IAB-Discussion Paper ; No. 17/2013

Klassifikation
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
Employment; Unemployment; Wages; Intergenerational Income Distribution; Aggregate Human Capital; Aggregate Labor Productivity
Thema
survey data
forecast evaluation
nested models
model confidence set
unemployment

Ereignis
Geistige Schöpfung
(wer)
Hutter, Christian
Weber, Enzo
Ereignis
Veröffentlichung
(wer)
Institut für Arbeitsmarkt- und Berufsforschung (IAB)
(wo)
Nürnberg
(wann)
2013

Handle
Letzte Aktualisierung
10.03.2025, 11:45 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Hutter, Christian
  • Weber, Enzo
  • Institut für Arbeitsmarkt- und Berufsforschung (IAB)

Entstanden

  • 2013

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