Labour market forecasting in Germany: is disaggregation useful?

Enzo Weber and Gerd Zika

Applied Economics, 2016, vol. 48, issue 23, 2183-2198

Abstract: This paper examines whether labour market forecasts can be improved by using disaggregated information. We construct vector-autoregressive models for employment by sector in order to produce out-of-sample forecasts of aggregate employment. Forecast accuracy is compared to univariate models by using Clark/West tests. In an application to German data, it is evident that disaggregation significantly improves the employment forecast. Moreover, using fluctuation-window tests we find that disaggregation yields superior results especially in phases with strong and sustained employment changes.

Date: 2016
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DOI: 10.1080/00036846.2015.1117044

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