The U.S. Nonfarm Payroll and the out-of-sample predictability of output growth for over six decades

Afees Salisu and Abeeb Olaniran

Quality & Quantity: International Journal of Methodology, 2022, vol. 56, issue 6, No 33, 4663-4673

Abstract: Abstract We examine the predictive prowess of the U.S. Nonfarm Payroll (USNFP) for output growth in the U.S. covering over six decades from 1947 to 2021. Using two different measures of output growth (with Gross Domestic Product growth being used for the main analysis and growth in Industrial Production Index for robustness check), our predictability results show that the U.S. Nonfarm Payroll offers some predictive information for output growth in the U.S. and the out-of-sample forecast results equally attest to the superiority of the USNFP-based model over the model that ignores it. Our findings have implications for policy directions in the U.S. and various national and regional governments, multilateral agencies and investors whose economic and financial conditions are directly or indirectly linked with the U.S. economy.

Keywords: U.S. Nonfarm Payroll; Output growth; Predictability; Forecast evaluation (search for similar items in EconPapers)
JEL-codes: C53 E24 O40 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11135-022-01342-8

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