The information content of regional employment data for forecasting aggregate conditions
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.
|Date of creation:||2004|
|Date of revision:|
|Publication status:||Published in Economics Letters, March 2006, 90(3), pp. 339-5|
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- Giacomini, Raffaella & Granger, Clive W. J., 2004.
"Aggregation of space-time processes,"
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- 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.
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"Business Cycle Phases in U.S. States,"
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- Lutkepohl, Helmut, 1984. "Linear transformations of vector ARMA processes," Journal of Econometrics, Elsevier, vol. 26(3), pages 283-293, December.
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