The role of component-wise boosting for regional economic forecasting

Robert Lehmann and Klaus Wohlrabe

MPRA Paper from University Library of Munich, Germany

Abstract: This paper applies component-wise boosting to the topic of regional economic forecasting. By using unique quarterly gross domestic product data for one German state for the period from 1996 to 2013, in combination with a large data set of 253 monthly indicators, we show how accurate forecasts obtained from component-wise boosting are compared to a simple benchmark model. We additionally take a closer look into the algorithm and evaluate whether a stable pattern of selected indicators exists over time and four different forecasting horizons. All in all, boosting is a viable method for forecasting regional GDP, especially one and two quarters ahead. We also find that regional survey results, indicators that mirror the Saxon economy and the Composite Leading Indicators by the OECD, get frequently selected by the algorithm.

Keywords: boosting; regional economic forecasting; gross domestic product (search for similar items in EconPapers)
JEL-codes: C53 E17 E37 R11 (search for similar items in EconPapers)
Date: 2015-12-03, Revised 2015-12-03
New Economics Papers: this item is included in nep-for, nep-mac and nep-ure
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/68186/1/MPRA_paper_68186.pdf original version (application/pdf)

Related works:
Journal Article: Boosting and regional economic forecasting: the case of Germany (2017)
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:pra:mprapa:68186

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().