Penalized Regression with Inferred Seasonality Module - Forecasting Unemployment Initial Claims using 'Google Trends' Data
Out-of-sample prediction for whole period
Out-of-sample prediction evaluation
Load Goolge Trends data and initial claims data
Load unemployment initial claims data
PRISM function
PRISM stage 2 by batch
PRISM regressors generator
Implements Penalized Regression with Inferred Seasonality Module (PRISM) to generate forecast estimation of weekly unemployment initial claims using 'Google Trends' data. It includes required data and tools for backtesting the performance in 2007-2020.