Gary Koop, Stuart McIntyre, James Mitchell, Aristeidis Raftapostolos
arXiv 8 Jan 2025 · Econometrics · 1 citations (OpenAlex)
arXiv:2501.04607 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Schorfheide, Frank and Dongho Song (2015) Real-time forecasting with a mixed-frequency VAR | 0.941 | 6 | 3 | 83% |
| 2 | Crone, Theodore M. and Alan Clayton-Matthews (2005) Consistent economic indexes for the 50 states | 0.811 | 4 | 2 | 100% |
| 3 | Carlino, Gerald and Robert DeFina (1999) The differential regional effects of monetary policy: Evidence from the U.S. states | 0.737 | 3 | 2 | 100% |
| 4 | Koop, Gary, Stuart McIntyre, James Mitchell, and Aubrey Poon (2020) Regional output growth in the United Kingdom: More timely and higher frequency estimates from 1970 self | 0.693 | 5 | 1 | 100% |
| 5 | Korobilis, Dimitris (2022) A new algorithm for structural restrictions in Bayesian vector autoregressions | 0.644 | 4 | 2 | 50% |
| 6 | Diebold, Francis X. and Kamil Yılmaz (2014) On the network topology of variance decompositions: Measuring the connectedness of financial firms | 0.644 | 4 | 1 | 100% |
| 7 | Carvalho, Carlos M., Nicholas G. Polson, and James G. Scott (2010) The horseshoe estimator for sparse signals | 0.644 | 2 | 2 | 100% |
| 8 | Bańbura, Marta, Domenico Giannone, and Lucrezia Reichlin (2010) Large Bayesian vector auto regressions | 0.585 | 3 | 1 | 100% |
| 9 | Hazell, Jonathon, Juan Herreño, Emi Nakamura, and Jón Steinsson (2022) The Slope of the Phillips Curve: Evidence from U.S. States | 0.511 | 2 | 2 | 50% |
| 10 | Arias, Maria A., Charles S. Gascon, and David E. Rapach (2016) Metro business cycles | 0.511 | 2 | 2 | 50% |
Showing the top 10 of 39 scored citations.