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UK regional nowcasting using a mixed frequency vector autoregressive model

Author

Listed:
  • Gary Koop

    (University of Strathclyde)

  • Stuart McIntyre

    (University of Strathclyde)

  • James Mitchell

    (University of Warwick)

Abstract
Data on Gross Value Added (GVA) are currently only available at the annual frequency for the UK regions and are released with significant delay. Regional policymakers would benefit from more frequent and timely data. The goal of this paper is to provide these. We use a mixed frequency Vector Autoregression (VAR) to provide, each quarter, nowcasts (i.e. forecasts of current GVA which is as yet unknown due to release delays) of annual GVA growth for the UK regions. The information we use to update our regional nowcasts comes from GVA growth for the UK as a whole as this is released in a more timely and frequent (quarterly) fashion. To improve our nowcasts we use entropic tilting methods to exploit the restriction that UK GVA growth is a weighted average of GVA growth for the UK regions. In this paper, we develop the econometric methodology and test it in the context of a real time nowcasting exercise.

Suggested Citation

  • Gary Koop & Stuart McIntyre & James Mitchell, 2018. "UK regional nowcasting using a mixed frequency vector autoregressive model," Working Papers 1805, University of Strathclyde Business School, Department of Economics.
    • Handle: RePEc:str:wpaper:1805
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    References listed on IDEAS

    as
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    4. Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2018. "Regional Output Growth in the United Kingdom: More Timely and Higher Frequency Estimates, 1970-2017," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-14, Economic Statistics Centre of Excellence (ESCoE).

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    More about this item

    Keywords

    Regional growth; nowcasting; mixed frequency;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E01 - Macroeconomics and Monetary Economics - - General - - - Measurement and Data on National Income and Product Accounts and Wealth; Environmental Accounts
    • R1 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics

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