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Can Internet Search Behavior Help to Forecast the Macro Economy?
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TitleCan Internet Search Behavior Help to Forecast the Macro Economy?  
AuthorLiu Taoxiong, Xu Xiaofei and Fan Fangda  
OrganizationInstitute of Economics, Tsinghua University, 
Key WordsInternet Search Behavior; Macro Economy; Forecast; “Two-Step Method” 
Abstract As big data are widely used today, whether and how to use big data in macroeconomic forecast has become a new field of economic research. In macro economy analysis, two types of data can be applied, namely the structured data and unstructured information. Government statistics are well structured while Internet search behavior information belongs to non-structured information. This research uses 6 types of models to forecast the macroeconomic aggregate. By comparing different models, the optimal forecast model is selected. We find that the Internet search behavior can help forecast the macro economy, but only conditionally on the appropriate way of model selection. We find that the correct way for variables selection with structured and unstructured information is the two-step method. Firstly only the government statistics are used and the conditional optimal model is selected. Secondly, the internet search data are added into these models and the optimal model is determined. 
Serial NumberWP912 
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