Boosting and Regional Economic Forecasting: The Case of Germany

32 Pages Posted: 4 Dec 2016

See all articles by Robert Lehmann

Robert Lehmann

CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute

Klaus Wohlrabe

CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute

Date Written: November 03, 2016

Abstract

This paper applies component-wise boosting to the topic of regional economic forecasting. Component-wise boosting is a pre-selection algorithm of indicators for forecasting. By using unique quarterly real gross domestic product data for two German states (the Free State of Saxony and Baden-Wuerttemberg) and Eastern Germany for the period from 1997 to 2013, in combination with a large data set of monthly indicators, we show that boosting is generally doing a very good job in regional economic forecasting. We additionally take a closer look into the algorithm and ask which indicators get selected. All in all, boosting outperforms our benchmark model for all the three regions considered. We also find that indicators that mirror the region-specific economy get frequently selected by the algorithm.

Keywords: boosting, regional economic forecasting, gross domestic product

JEL Classification: C530, E170, E370, R110

Suggested Citation

Lehmann, Robert and Wohlrabe, Klaus, Boosting and Regional Economic Forecasting: The Case of Germany (November 03, 2016). CESifo Working Paper Series No. 6157. Available at SSRN: https://ssrn.com/abstract=2878667

Robert Lehmann (Contact Author)

CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute ( email )

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HOME PAGE: http://www.cesifo-group.de/ifoHome/CESifo-Group/ifoDresden/ifo-ND-Mitarbeiter/cvifod-lehmann_r.html

Klaus Wohlrabe

CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute ( email )

Poschinger Str. 5
Munich, 01069
Germany

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