A1147
Title: Monthly GDP growth estimates for the U.S. states
Authors: Aristeidis Raftapostolos - Kings College London (United Kingdom) [presenting]
Gary Koop - University of Strathclyde (United Kingdom)
Stuart McIntyre - University of Strathclyde (United Kingdom)
James Mitchell - Federal Reserve Bank of Cleveland (United States)
Abstract: The purpose is to develop a mixed frequency vector autoregressive (MF-VAR) model to produce nowcasts and historical estimates of monthly real state-level GDP for the 50 U.S. states, plus Washington DC, from 1964 through the present day. The MF-VAR model incorporates state and U.S. 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 U.S. and state-levels. The utility of the historical estimates in better understanding state business cycles and cross-state dependencies is illustrated. It is shown how the model produces accurate nowcasts of state GDP three months ahead of the BEA's quarterly estimates, after conditioning on the latest estimates of U.S. GDP.
