Regional aggregation in forecasting: an application to the Federal Reserve's Eighth District
AbstractHernández-Murillo and Owyang (2006) showed that accounting for spatial correlations in regional data can improve forecasts of national employment. This paper considers whether the predictive advantage of disaggregate models remains when forecasting subnational data. The authors conduct horse races among several forecasting models in which the objective is to forecast regional- or state-level employment. For some models, the objective is to forecast using the sum of further disaggregated employment (i.e., forecasts of metropolitan statistical area (MSA)-level data are summed to yield state-level forecasts). The authors find that the spatial relationships between states have sufficient predictive content to overcome small increases in the number of estimated parameters when forecasting regional-level data; this is not always true when forecasting state- and regional-level data using the sum of MSA-level forecasts.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Federal Reserve Bank of St. Louis in its journal Regional Economic Development.
Volume (Year): (2008)
Issue (Month): Oct ()
Other versions of this item:
- Kristie M. Engemann & Rubén Hernández-Murillo & Michael T. Owyang, 2011. "Regional aggregation in forecasting: an application to the Federal Reserve’s Eighth District," Review, Federal Reserve Bank of St. Louis, issue May, pages 207-222.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Michael T. Owyang & Jeremy Piger & Howard J. Wall, 2005.
"Business Cycle Phases in U.S. States,"
The Review of Economics and Statistics,
MIT Press, vol. 87(4), pages 604-616, November.
- Giacomini, Raffaella & Granger, Clive W. J., 2004.
"Aggregation of space-time processes,"
Journal of Econometrics,
Elsevier, vol. 118(1-2), pages 7-26.
- Giacomini, Raffaella & Granger, Clive W.J., 2001. "Aggregationn of Space-Time Processes," University of California at San Diego, Economics Working Paper Series qt77f76455, Department of Economics, UC San Diego.
- Raffaella Giacomini & Clive W.J. Granger, 2002. "Aggregation of Space-Time Processes," Boston College Working Papers in Economics 582, Boston College Department of Economics.
- Conley, Timothy G. & Molinari, Francesca, 2005.
"Spatial Correlation Robust Inference with Errors in Location or Distance,"
05-12, Cornell University, Center for Analytic Economics.
- Conley, Timothy G. & Molinari, Francesca, 2007. "Spatial correlation robust inference with errors in location or distance," Journal of Econometrics, Elsevier, vol. 140(1), pages 76-96, September.
- Timothy Conley & Francesca Molinari, 2005. "Spatial correlation robust inference with Errors in Location or Distance," CeMMAP working papers CWP10/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Michael T. Owyang & Jeremy M. Piger & Howard J. Wall & Christopher H. Wheeler, 2007.
"The economic performance of cities: a Markov-switching approach,"
2006-056, Federal Reserve Bank of St. Louis.
- Owyang, Michael T. & Piger, Jeremy M. & Wall, Howard J. & Wheeler, Christopher H., 2008. "The economic performance of cities: A Markov-switching approach," Journal of Urban Economics, Elsevier, vol. 64(3), pages 538-550, November.
- Hernandez-Murillo, Ruben & Owyang, Michael T., 2006.
"The information content of regional employment data for forecasting aggregate conditions,"
Elsevier, vol. 90(3), pages 335-339, March.
- Rubén Hernández-Murillo & Michael T. Owyang, 2004. "The information content of regional employment data for forecasting aggregate conditions," Working Papers 2004-005, Federal Reserve Bank of St. Louis.
- Hendry, David F. & Hubrich, Kirstin, 2006.
"Forecasting economic aggregates by disaggregates,"
Working Paper Series
0589, European Central Bank.
- Owyang, Michael T. & Piger, Jeremy & Wall, Howard J., 2008.
"A state-level analysis of the Great Moderation,"
Regional Science and Urban Economics,
Elsevier, vol. 38(6), pages 578-589, November.
- Michael T. Owyang & Jeremy Piger & Howard J. Wall & Federal Reserve Bank of St. Louis, 2006. "A State-Level Analysis of the Great Moderation," Computing in Economics and Finance 2006 131, Society for Computational Economics.
- Michael T. Owyang & Jeremy M. Piger & Howard J. Wall, 2007. "A state-level analysis of the Great Moderation," Working Papers 2007-003, Federal Reserve Bank of St. Louis.
- Lesage, James P & Magura, Michael, 1990. "Using Bayesian Techniques for Data Pooling in Regional Payroll Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 127-35, January.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anna Xiao).
If references are entirely missing, you can add them using this form.