This paper evaluates the forecast performance of boosting, a variable selection device, and compares it with the forecast combination schemes and dynamic factor models presented in Stock and Watson (2006). Using the same data set and comparison methodology, we find that boosting is a serious...

This paper employs classical bivariate, factor augmented (FA), slab-and-spike variable selection (SSVS)-based, and Bayesian semi-parametric shrinkage (BSS)-based predictive regression models to forecast US real private residential fixed investment over an out-of-sample period from 1983:Q1 to...

We assess the ability of the Reuters/Michigan Surveys of Consumers to predict future changes in consumer expenditures. The information in the Surveys is summarized by means of principal components of consumer attitudes with respect to income and wealth, interest rates, and prices. These summary...

Information about special events can improve economic forecasts substantially. However, due to the lack of timely quantitative data about these events, it has been difficult for professional forecasters to utilise such information in their forecasts. This paper investigates whether Internet...

In this study we introduce a new indicator for private consumption based on search query time series provided by Google Trends. The indicator is based on factors extracted from consumption-related search categories of the Google Trends application Insights for Search. The forecasting performance...

We propose a regression-based algorithm that allows to construct arbitrarily many comparable, multi-annual, consistent time series on monthly, weekly, daily, hourly and minute-by-minute search volume indices based on the scattered data obtained from Google Trends. The accuracy of the algorithm...

We use a novel data set covering all domestic debit card transactions in physical terminals by Norwegian households, to nowcast quarterly Norwegian household consumption. These card payments data are free of sampling errors and are available weekly without delays, providing a valuable early...

Could a researcher or policy analyst use data reported from surveys of consumer confidence to improve forecasts of consumer spending? This issue has been examined in the literature previously, which reached the conclusion that consumer confidence data helped improve the forecasts slightly, but...

We integrate the housing market and the labor market in a dynamic general equilibrium model with credit and search frictions. The model is confronted with the U.S. macroeconomic time series. Our estimated model can account for two prominent facts observed in the data. First, the land price and...