Google Econometrics: An Application to the Czech Republic
|Author:||Mgr. Lukáš Platil|
|Year:||2014 - summer|
|Leaders:|| prof. Roman Horváth Ph.D.
|Work type:|| Finance, Financial Markets and Banking
|Awards and prizes:||M.A. with distinction from the Dean of the Faculty of Social Sciences for an excellent state-final examination performance.|
|Abstract:||This thesis examines the applicability of Google Econometrics
– the use of search volume data of particular queries as explanatory variables in time series modeling – in the case of the Czech Republic. We analyze the contribution of Google data by comparing out - of - sample nowcasting performance and
in - sample fit with control variables in three related areas:
using an autoregressive model for unemployment, vector autoregression and logit models for GDP and household
consumption, and Granger causality test for consumer confidence.