Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model
arxiv(2024)
摘要
Timely information about the state of regional economies can be essential for
planning, implementing and evaluating locally targeted economic policies.
However, European regional accounts for output are published at an annual
frequency and with a two-year delay. To obtain robust and more timely measures
in a computationally efficient manner, we propose a mixed-frequency dynamic
factor model that accounts for national information to produce high-frequency
estimates of the regional gross value added (GVA). We show that our model
produces reliable nowcasts of GVA in 162 regions across 12 European countries.
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