Forecasting regional GDP with factor models: How useful are national and international data?

Alexandre Kopoin (), Kevin Moran and Jean-Pierre Paré

Economics Letters, 2013, vol. 121, issue 2, 267-270

Abstract: We assess the contribution of national (country-wide) and international data to the task of forecasting the real GDP of Canadian provinces. Using the targeting predictors approach of Bai and Ng (2008) [Bai, J., Ng, S., 2008. Forecasting economic time series using targeted predictors. Journal of Econometrics 146, 304–317], we find that larger datasets containing regional, national and international data help improve forecasting accuracy for horizons below the one-year-ahead mark, but that beyond that horizon, relying on provincial data alone produces the best forecasts. These results suggest that shocks originating at the national and international levels are transmitted to Canadian regions and reflected in regional timeseries fairly rapidly.

Keywords: Dynamic factor models; Targeted predictors; Regional forecasts (search for similar items in EconPapers)
JEL-codes: C33 C53 C83 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:2:p:267-270

DOI: 10.1016/j.econlet.2013.08.007

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