Forecasting GDP at the Regional Level with Many Predictors

Robert Lehmann and Klaus Wohlrabe

German Economic Review, 2015, vol. 16, issue 2, 226-254

Abstract: In this study, 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 with an autoregressive benchmark model, both for short- and long-term predictions. Furthermore, regional indicators play a crucial role for forecasting regional GDP.

Keywords: Regional forecasting; forecast combination; factor models; model confidence set; data-rich environment (search for similar items in EconPapers)
Date: 2015
References: Add references at CitEc
Citations: View citations in EconPapers (24)

Downloads: (external link)
https://doi.org/10.1111/geer.12042 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
Journal Article: Forecasting GDP at the Regional Level with Many Predictors (2015)
Working Paper: Forecasting GDP at the regional level with many predictors (2013)
Working Paper: Forecasting GDP at the regional level with many predictors (2013)
Working Paper: Forecasting GDP at the Regional Level with Many Predictors (2012)
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:bpj:germec:v:16:y:2015:i:2:p:226-254

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/ger/html

DOI: 10.1111/geer.12042

Access Statistics for this article

German Economic Review is currently edited by Peter Egger, Almut Balleer, Jesus Crespo-Cuaresma, Mario Larch, Aderonke Osikominu and Georg Wamser

More articles in German Economic Review from De Gruyter
Bibliographic data for series maintained by Peter Golla ().