期刊名称：DIW Diskussionspapiere / Deutsches Institut für Wirtschaftsforschung, Berlin
出版年度：2007
卷号：2007
出版社：Deutsches Institut für Wirtschaftsforschung, Berlin
摘要：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 Länder 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.
