Ellingsen, Jon; Larsen, Vegard H.; Thorsrud, Leif Anders - 2020
-time out-of-sample forecasting comparison study with one of the most widely used data sets in the newer forecasting literature …, namely the FRED-MD dataset. Focusing on U.S. GDP, consumption and investment growth, our results suggest that the news data … contains information not captured by the hard economic indicators, and that the news-based data are particularly informative …