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The information content of regional employment data for forecasting aggregate conditions

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Author Info
Rubén Hernández-Murillo
Michael T. Owyang

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Abstract

We consider whether disaggregated data enhances the efficiency of aggregate employment forecasts. We find that incorporating spatial interaction into a disaggregated forecasting model lowers the out-of-sample mean-squared-error from a univariate aggregate model by 70 percent at a two-year horizon.

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File URL: http://research.stlouisfed.org/wp/2004/2004-005.pdf
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Paper provided by Federal Reserve Bank of St. Louis in its series Working Papers with number 2004-005.

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Date of creation: 2004
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Publication status: Published in Economics Letters, March 2006, 90(3), pp. 339-5
Handle: RePEc:fip:fedlwp:2004-005

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Keywords: Econometrics ; Forecasting;

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  1. 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, 01. [Downloadable!] (restricted)
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  2. Giacomini, Raffaella & Granger, Clive W. J., 2004. "Aggregation of space-time processes," Journal of Econometrics, Elsevier, vol. 118(1-2), pages 7-26. [Downloadable!] (restricted)
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  1. Michelle T. Armesto & Rubén Hernández-Murillo & Michael T. Owyang & Jeremy M. Piger, 2007. "Identifying asymmetry in the language of the Beige Book: a mixed data sampling approach," Working Papers 2007-010, Federal Reserve Bank of St. Louis. [Downloadable!]
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