* Futures up: S&P 5 pts, Dow 37 pts, Nasdaq 8.75 pts
* Investors set to push rally further into record highs
* Initial jobless claims unexpectedly fell last week
By Leah Schnurr
NEW YORK, March 7 (Reuters) - Wall Street was set to start higher on Thursday as investors attempt to push the rally further after the latest economic data suggested a pick-up in the labor market recovery.
The Dow surged to record levels for a second day on Wednesday, while the S&P 500 sits just 1.5 percent below its own record close.
A strengthening economy and loose monetary policy by central banks around the world have pushed U.S. equity markets higher this year. While some expect the market will ease off its current lofty levels, so far, dips have been short-lived as investors look for an opportunity to buy.
"It appears the positive feeling in this market has shifted (the attitude) a bit from waiting for a pullback to put money to work, to not missing a train that's leaving the station," said Art Hogan, managing director of Lazard Capital Markets in New York.
Data showed the number of Americans filing claims for unemployment benefits unexpectedly fell last week to a seasonally adjusted 340,000. It was the second straight week of declines and futures added to gains shortly after the data.
"It's certainly welcoming to the market and it's once again supporting the thought that the economic recovery is strengthening," said Andrew Wilkinson, chief economic strategist at Miller Tabak & Co. LLC in New York.
Investor attention will remain on the labor market ahead of Friday's non-farm payroll report, which is expected to show the economy added 160,000 jobs in February. While it has been a soft spot in the economic recovery, the labor market is seen as healing slowly.
Economists say job gains of at least 250,000 per month over a sustained period are needed to have a significant impact on the unemployment rate.
S&P 500 futures rose 5 points and were above fair value, a formula that evaluates pricing by taking into account interest rates, dividends and time to expiration on the contract. Dow Jones industrial average futures gained 37 points, and Nasdaq 100 futures added 8.75 points.
Investors have also been keeping an eye on policy decisions by central banks around the world. The European Central Bank held its main interest rate at a record low of 0.75 percent. During a press conference ECB President Mario Draghi said the ECB's monetary policy remains accommodative.
Network equipment maker Ciena jumped 14.8 percent to $17.15 in premarket trading after it reported a smaller quarterly loss.
Colgate-Palmolive rose 1.6 percent to $117.20 after it said it was planning a two-for-one stock split and would increase its dividend.
Dell Inc said shareholder Carl Icahn has urged the company to pursue a leveraged recapitalization and pay a $9 per share dividend instead of going private.
Dell founder and CEO Michael Dell has struck a $24.4 billion deal to take the No. 3 personal computer-maker private, but some key shareholders oppose it. Its shares edged up 0.2 percent at $14.35 in the premarket.