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| Main Authors: | , , , |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2501.04607 |
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| _version_ | 1866909451700666368 |
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| author | Koop, Gary McIntyre, Stuart Mitchell, James Raftapostolos, Aristeidis |
| author_facet | Koop, Gary McIntyre, Stuart Mitchell, James Raftapostolos, Aristeidis |
| contents | This paper develops 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. We illustrate the utility of the historical estimates in better understanding state business cycles and cross-state dependencies. We show 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2501_04607 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Monthly GDP Growth Estimates for the U.S. States Koop, Gary McIntyre, Stuart Mitchell, James Raftapostolos, Aristeidis Econometrics This paper develops 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. We illustrate the utility of the historical estimates in better understanding state business cycles and cross-state dependencies. We show 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. |
| title | Monthly GDP Growth Estimates for the U.S. States |
| topic | Econometrics |
| url | https://arxiv.org/abs/2501.04607 |