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Title:Forecasting GDP at the regional level with many predictors PDF Logo
Authors:Lehmann, Robert
Wohlrabe, Klaus
Issue Date:2012
Series/Report no.:CESifo Working Paper: Fiscal Policy, Macroeconomics and Growth 3956
Abstract:In this paper, we assess the accuracy of macroeconomic forecasts at the regional level using a unique 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 including more than 300 international, national and regional indicators. We calculate single-indicator, multi-indicator and pooled forecasts. Our results show that we can significantly increase forecast accuracy compared to an autoregressive benchmark model, both for short- and long-term predictions. Furthermore, our best leading indicators describe the specific regional economic structure better than other indicators.
Subjects:leading indicators
regional forecasting
forecast evaluation
forecast combination
data rich environment
Document Type:Working Paper
Appears in Collections:CESifo Working Papers, CESifo Group Munich

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