Arbeitspapier
Forecasting GDP at the regional level with many predictors
In this paper, we assess the accuracy of macroeconomic forecasts at the regional level using a large data set at quarterly frequency. We forecast gross domestic product (GDP) for two German states (Free State of Saxony and Baden- Württemberg) and Eastern Germany. We overcome the problem of a ’data-poor environment’ at the sub-national level by complementing various regional indicators with more than 200 national and international indicators. We calculate single– indicator, multi–indicator, pooled and factor forecasts in a pseudo real–time setting. Our results show that we can significantly increase forecast accuracy compared to an autoregressive benchmark model, both for short and long term predictions. Furthermore, regional indicators play a crucial role for forecasting regional GDP.
- Sprache
-
Englisch
- Erschienen in
-
Series: Munich Discussion Paper ; No. 2013-13
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
Regional Economic Activity: Growth, Development, Environmental Issues, and Changes
- Thema
-
regional forecasting
forecast combination
factor models
model confidence set
data–rich environment
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Lehmann, Robert
Wohlrabe, Klaus
- Ereignis
-
Veröffentlichung
- (wer)
-
Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät
- (wo)
-
München
- (wann)
-
2013
- DOI
-
doi:10.5282/ubm/epub.17104
- Handle
- URN
-
urn:nbn:de:bvb:19-epub-17104-8
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Lehmann, Robert
- Wohlrabe, Klaus
- Ludwig-Maximilians-Universität München, Volkswirtschaftliche Fakultät
Entstanden
- 2013
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