In this paper we apply a time series based Vector Auto Regressive (VAR) approach to the problem of predicting unemployment insurance claims in different census regions of the United States. Unemployment insurance claims data, reported weekly, are a leading indicator of the US unemployment rate. Gathering weekly unemployment claims and aggregating by region, we model correlation between the different census regions. Additionally, we explore the use of external variables such as Bing search query volumes and URL site clicks related to unemployment claims. To prevent any spurious predictors from appearing in the model we use sparse model based regularization. Preliminary results indicate that our approach is promising and in ongoing work we are extending the approach to a larger set of predictors and a longer data range.
De @cite_5 looked at a Vector Auto Regressive (VAR) model for predicting monthly unemployment rates in the census regions. While this approach has some resemblance to our method, the important thing to note is that we do not force any spatial constraints in the model to infer any dependence between the regions. We achieve this goal by using a sparse penalty in the model. More importantly our model also incorporates exogenous signals. Search data provides an interesting source of boundary crossing information, since an individual can work in one state or region but live in another where their search occurs.
@cite_5
162947328
We analyze spatio-temporal data on U.S. unemployment rates. For this purpose, we present a family of models designed for the analysis and time-forward prediction of spatio-temporal econometric data. Our model is aimed at applications with spatially sparse but temporally rich data, i.e. for observations collected at few spatial regions, but at many regular time intervals. The family of models utilized does not make spatial stationarity assumptions and consists in a vector autoregressive (VAR) specification, where there are as many time series as spatial regions. A model building strategy is used that takes into account the spatial dependence structure of the data. Model building may be performed either by displaying sample partial correlation functions, or automatically with an information criterion. Monthly data on unemployment rates in the nine census divisions of the U.S. are analyzed. We show with a residual analysis that our autoregressive model captures the dependence structure of the data better than with univariate time series modeling.