Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/201400 
Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
DIW Discussion Papers No. 664
Versionsangabe: 
Corrected version, December 17, 2007
Verlag: 
Deutsches Institut für Wirtschaftsforschung (DIW), Berlin
Zusammenfassung: 
In this paper, we make multi-step forecasts of the annual growth rates of the real GDP for each of the 16 German Länder (states) simultaneously. Beside the usual panel data models, such as pooled and fixed-effects models, we apply panel models that explicitly account for spatial dependence between regional GDP. We find that both pooling and accounting for spatial effects helps substantially improve the forecast performance compared to the individual autoregressive models estimated for each of the L¨ander separately. More importantly, we have demonstrated that effect of accounting for spatial dependence is even more pronounced at longer forecasting horizons (the forecast accuracy gain as measured by the root mean squared forecast error is about 9% at 1-year horizon and exceeds 40% at 5-year horizon). Hence, we strongly recommend incorporating spatial dependence structure into regional forecasting models, especially, when long-term forecasts are made.
Schlagwörter: 
German Länder
forecasting
dynamic panel model
spatial autocorrelation
JEL: 
C21
C53
C23
Dokumentart: 
Working Paper

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