Abstract
ABSTRACTBecause big data are widely used today, whether and how to use big data in macroeconomic forecasting has become a new field of economic research. In macroeconomic analyses, two types of data can be applied, namely, structured data and unstructured information. Statistical government data are well-structured, whereas Internet search behavior information, which is representative of online data, is unstructured. This article explores whether Internet search behavior information can facilitate the forecasting of macroeconomic aggregates and components and analyzes the use of feasible methods of structured data and unstructured information. This study is based on the macroeconomic forecasting model and verifies the effect of the two-step method. We find that Internet search behavior information can help forecast the macro economy, and we determine that the best method for variable selection using structured and unstructured data is the two-step method. First, only statistical government data are used, and temporary optimal models are selected. Second, Internet search behavior information are added to these models, and the optimal model is then determined.
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