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UK regional nowcasting using a mixed frequency vector autoregressive model with entropic tilting
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Koop, Gary, McIntyre, Stuart and Mitchell, James (2019) UK regional nowcasting using a mixed frequency vector autoregressive model with entropic tilting. Journal of the Royal Statistical Society: Series A (Statistics in Society) . doi:10.1111/rssa.12491 ISSN 0964-1998.
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Official URL: https://doi.org/10.1111/rssa.12491
Abstract
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.
Item Type: | Journal Article | ||||||
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Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||
Journal or Publication Title: | Journal of the Royal Statistical Society: Series A (Statistics in Society) | ||||||
Publisher: | Forschungsinstitut zur Zukunft der Arbeit | ||||||
ISSN: | 0964-1998 | ||||||
Official Date: | 16 July 2019 | ||||||
Dates: |
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DOI: | 10.1111/rssa.12491 | ||||||
Status: | Peer Reviewed | ||||||
Publication Status: | Published | ||||||
Reuse Statement (publisher, data, author rights): | "This is the peer reviewed version of the following article: Koop, G. , McIntyre, S. and Mitchell, J. (2019), UK regional nowcasting using a mixed frequency vector auto‐regressive model with entropic tilting. J. R. Stat. Soc. A., which has been published in final form at https://doi.org/10.1111/rssa.12491. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions." | ||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||
Date of first compliant deposit: | 5 June 2019 | ||||||
Date of first compliant Open Access: | 16 July 2020 | ||||||
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