Obtaining consistent time series from Google Trends

Eichenauer, Vera Z. and Indergand, Ronald and Martínez, Isabel Z. and Sax, Christoph. (2021) Obtaining consistent time series from Google Trends. Economic Inquiry. pp. 1-12.

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Official URL: https://edoc.unibas.ch/85238/

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Google Trends data are a popular data source for research, but raw data are frequency-inconsistent: daily data fail to capture long-run trends. This issue has gone unnoticed in the literature. In addition, sampling noise can be substantial. We develop a procedure (available in an R-package), which solves both issues at once. We apply this procedure to construct long-run, frequency-consistent daily economic indices for three German-speaking countries. The resulting indices are significantly correlated with traditional leading economic indicators while being available in real time. We discuss potential applications across disciplines and spanning well beyond business cycle analysis.
Faculties and Departments:06 Faculty of Business and Economics > Departement Wirtschaftswissenschaften > Professuren Wirtschaftswissenschaften > Aussenwirtschaft und Europ. Integration (Weder)
UniBasel Contributors:Sax, Christoph
Item Type:Article, refereed
Article Subtype:Research Article
Note:Publication type according to Uni Basel Research Database: Journal article
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edoc DOI:
Last Modified:28 Jan 2022 04:10
Deposited On:24 Nov 2021 10:31

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