Forecasting unemployment with internet search data: Does it help to improve predictions when job destruction is skyrocketing?

With the aim of providing an extensive approach on the Spanish unemployment, we use ARIMA models, also introducing as explanatory variables the Google searches for “job offers” and a business confidence indicator referred to employment perspectives. In this way we combine the time series perspective with qualitative indicators from the supply and the demand sides, leading to a more comprehensive description and also improving forecasting performance.