A Global Vector Autoregression (GVAR) model for regional labour markets and its forecasting performance with leading indicators in Germany

Norbert Schanne (norbert.schanne@web.de)

No 201513, IAB-Discussion Paper from Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany]

Abstract: "It is broadly accepted that two aspects regarding the modeling strategy are essential for the accuracy of forecast: a parsimonious model focusing on the important structures, and the quality of prospective information. Here, we establish a Global VAR framework, a technique that considers a variety of spatio-temporal dynamics in a multivariate setting, that allows for spatially heterogeneous slope coefficients, and that is nevertheless feasible for data without extremely long time dimension. Second, we use this framework to analyse the prospective information regarding the economy due to spatial co-development of regional labour markets in Germany. The predictive content of the spatially interdependent variables is compared with the information content of various leading indicators which describe the general economic situation, the tightness of labour markets and environmental impacts like weather. The forecasting accuracy of these indicators is investigated for German regional labour-market data in simulated forecasts at different horizons and for several periods. Germany turns out to have no economically dominant region (which reflects the polycentric structure of the country). The regions do not follow a joint stable long run trend which could be used to implement cointegration. Accounting for spatial dependence improves the forecast accuracy compared to a model without spatial linkages while using the same leading indicator. Amongst the tested leading indicators, only few produce more accurate forecasts when included in a GVAR model, than the GVAR without indicator. IAB-" (Author's abstract, IAB-Doku) ((en))

Keywords: Bundesrepublik Deutschland; Indikatorenbildung; Prognosegenauigkeit; Prognosemodell; regionale Faktoren (search for similar items in EconPapers)
JEL-codes: C23 E24 E27 R12 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2015
New Economics Papers: this item is included in nep-eur, nep-for, nep-geo, nep-mac and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://doku.iab.de/discussionpapers/2015/dp1315.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:iab:iabdpa:201513

Access Statistics for this paper

More papers in IAB-Discussion Paper from Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany] Contact information at EDIRC.
Bibliographic data for series maintained by IAB, Geschäftsbereich Wissenschaftliche Fachinformation und Bibliothek (iab.wib@iab.de).