Nowcasting Regional GDP: The Case of the Free State of Saxony

Henzel, Steffen and Lehmann, Robert and Wohlrabe, Klaus (2015): Nowcasting Regional GDP: The Case of the Free State of Saxony.

Abstract

We tackle the nowcasting problem at the regional level using a large set of indicators (regional, national and international) for the years 1998 to 2013. We explicitly use the ragged-edge data structure and consider the different information sets faced by a regional forecaster within each quarter. It appears that regional survey results in particular improve forecasting accuracy. Among the 10% best performing models for the short forecasting horizon, one fourth contain regional indicators. Hard indicators from the German manufacturing sector and the Composite Leading Indicator for Europe also deliver useful information for the prediction of regional GDP in Saxony. Unlike national GDP forecasts, the performance of regional GDP is similar across different information sets within a quarter.

• Item Type: MPRA Paper
• Language: English
• Keywords: nowcasting, regional gross domestic product, bridge equations, regional economic forecasting, mixed frequency
• Subjects: C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C22 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C52 - Model Evaluation, Validation, and Selection; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E37 - Forecasting and Simulation: Models and Applications; R - Urban, Rural, Regional, Real Estate, and Transportation Economics > R1 - General Regional Economics > R11 - Regional Economic Activity: Growth, Development, Environmental Issues, and Changes

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