Standard VAR and Bayesian VAR models are proven to be reliable tools for modeling and forecasting, yet they are still linear and they do not consider time-variation in parameters. VAR modeling is subject to the Lucas critique and fails to take into account the inherent nonlinearities of the...

According to the growing “Google econometrics” literature, Google queries may help predict economic activity. The aim of our paper is to test whether these data can enhance predictions of youth unemployment in France.