Research Output per year
Output growth data for the UK regions are available at only annual frequency and are released with significant delay. Regional policy makers would benefit from more frequent and timely data. We develop a stacked, mixed frequency vector auto-regression to provide, each quarter, nowcasts of annual output growth for the UK regions. The information that we use to update our regional nowcasts includes output growth data for the UK as a whole, as these aggregate data are released in a more timely and frequent (quarterly) fashion than the regional disaggregates which they comprise. We show how entropic tilting methods can be adapted to exploit the restriction that UK output growth is a weighted average of regional growth. In our realtime nowcasting application we find that the stacked mixed frequency vector-autoregressive model, with entropic tilting, provides an effective means of nowcasting the regional disaggregates exploiting known information on the aggregate.
|Number of pages||29|
|Journal||Journal of the Royal Statistical Society: Series A|
|Early online date||16 Jul 2019|
|Publication status||Published - 31 Jan 2020|
- Vector Autoregression
Research output: Working paper