Time series

Nowcasting Thailand Economic Activity Using the Google Mobility Data

We compare the forecasting performance of the Autoregressive Moving Average (ARMA) model, ARMA with explanatory variable (ARIMAX), and Mixed-data sampling (MIDAS) model using the Google mobility index. We consider the monthly service production index and manufacture production index. We find that the Google Mobility data help to improve the forecasting performance of various service sector.