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The role of component-wise boosting for regional economic forecasting

Lehmann, Robert and Wohlrabe, Klaus (2015): The role of component-wise boosting for regional economic forecasting.

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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.

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