A0994
Title: Monthly GDP growth estimates for the US states
Authors: Gary Koop - University of Strathclyde (United Kingdom)
Stuart McIntyre - University of Strathclyde (United Kingdom)
James Mitchell - Federal Reserve Bank of Cleveland (United States)
Aristeidis Raftapostolos - King\'s College London (United Kingdom) [presenting]
Abstract: A new dataset of monthly real gross state product (GSP) is developed for the 50 US states, plus Washington DC, from 1964 through the present day using a mixed frequency vector autoregressive model (MF-VAR). The MF-VAR model incorporates state- and US-level data at the monthly, quarterly, and annual frequencies. Temporal and cross-sectional constraints are imposed to ensure that the monthly state-level estimates are consistent with official estimates of quarterly GDP at the US- and state-levels. The utility of the historical estimates is illustrated for understanding state business cycles and cross-state dependencies. It is shown how the model produces accurate nowcasts of GSP, two months ahead of the BEA's quarterly estimates, after conditioning on the latest estimates of US GDP.
