EconPapers    
Economics at your fingertips  
 

News Media vs. FRED-MD for Macroeconomic Forecasting

Jon Ellingsen, Vegard Larsen and Leif Thorsrud

No 8639, CESifo Working Paper Series from CESifo

Abstract: 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 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 for forecasting consumption developments.

Keywords: forecasting; real-time; machine learning; news; text data (search for similar items in EconPapers)
JEL-codes: C53 C55 E27 E37 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-big, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo1_wp8639.pdf (application/pdf)

Related works:
Working Paper: News media vs. FRED-MD for macroeconomic forecasting (2020) Downloads
Working Paper: News media vs. FRED-MD for macroeconomic forecasting (2020) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_8639

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().

 
Page updated 2025-03-19
Handle: RePEc:ces:ceswps:_8639