Friday, November 3, 2017

Checking my forecast performance: unemployment rate

Because more young adults are becoming unemployed on account of they can't find work. Basically, the problem is this: if you haven't got a job, then you’re outta work! And that means only one thing — unemployment!
The Young Ones (1982) “Demolition”
Actually, the latest unemployment rate data tells us it continues to fall as predicted by the dynamic information equilibrium model (conditional on the absence of shocks/recessions):

The first is the original prediction, the second is a comparison with various forecasts of the FRBSF, and the third is a comparison with two different Fed forecasts.

In trying to be fair to the FRBSF model, I didn't show the data from the before I made the graph as new post-forecast data (in black). However, in these versions of the graph I take all of the data from after the original forecast (in January) as new:

There also don't appear to be any signs of an oncoming shock yet; however the JOLTS data (in particular, hires) appears to be an earlier indication that the unemployment rate — by about 7 months. That is to say, we should see little in the unemployment rate until the recession is practically upon us (although the algorithm can still see it before it is declared or even widely believed to be happening).

Update + 2.5 hours

Also, here is the prime age civilian labor force participation rate:

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