This innovation comes from an interesting 2012 paper by Barnichon and Nekarda. One big change in the past decade in this sort of short-term forecasting of unemployment has been to model the transitions between participation, employed and unemployed people, rather than direct modelling of the resulting proportions.
In this blog post I look at two candidates for leading information that are readily available in more or less real time – interest rates and stock exchange prices. Only a few economic variables of interest are available faster than that.
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ABS Series 6202.0 – the monthly summary from the Labour Force Survey – comes out around two weeks after the reference month. “Leading” in this case will have to mean pretty fast, because the official unemployment stats in Australia come out from the Australian Bureau of Statistics (ABS) with admirable promptitude given the complexity of managing the Labour Force Survey.
In particular, I’ve been wondering about what leading indicators might be available to help with this. Actually, I’m interested in nowcasting unemployment rates – that is, estimating a value for a current or recently past period, before the official statistic becomes available. Last week I wrote about time-series cross-validation, and mentioned that my original motivation was forecasting unemployment.
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