News media vs. FRED-MD for macroeconomic forecasting
Jon Ellingsen (),
Vegard Larsen and
No No 08/2020, Working Papers from Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School
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: Forcasting; Real-time; Machine Learning; News; Text data (search for similar items in EconPapers)
Pages: 45 pages
New Economics Papers: this item is included in nep-big and nep-mac
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Working Paper: News media vs. FRED-MD for macroeconomic forecasting (2020)
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Persistent link: https://EconPapers.repec.org/RePEc:bny:wpaper:0091
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