PhD Candidate - Department of Economics
Ellingsen, Jon; Larsen, Vegard Høghaug & Thorsrud, Leif Anders (2021)
News media versus FRED-MD for macroeconomic forecasting
Journal of applied econometrics Doi: 10.1002/jae.2859
Using a unique dataset of 22.5 million news articles from the Dow Jones Newswires Archive, we perform an in depth real-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 US 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 for forecasting consumption developments.
|2017||Universitetet i Oslo||MSc in Economics|