Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model

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Barbaglia, Luca and Frattarolo, Lorenzo and Hauzenberger, Niko and Hirschbühl, Dominik and Huber, Florian and Onorante, Luca and Pfarrhofer, Michael and Tiozzo Pezzoli, Luca (2025) Nowcasting economic activity in European regions using a mixed-frequency dynamic factor model. International Journal of Forecasting. ISSN 0169-2070 (https://doi.org/10.1016/j.ijforecast.2025.09.006)

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Abstract

Timely and accurate information about regional economic conditions can be essential for planning, implementing, and evaluating locally targeted economic policies. However, European regional accounts for output are published at an annual frequency with a two-year delay. To obtain robust and more timely measures in a computationally efficient manner, we propose a mixed-frequency dynamic factor model that accounts for national information to produce high-frequency estimates and reliable nowcasts of regional gross value added (GVA) in more than 150 regions across 13 European countries.

ORCID iDs

Barbaglia, Luca, Frattarolo, Lorenzo, Hauzenberger, Niko ORCID logoORCID: https://orcid.org/0000-0002-2683-8421, Hirschbühl, Dominik, Huber, Florian, Onorante, Luca, Pfarrhofer, Michael and Tiozzo Pezzoli, Luca;
CORE (COnnecting REpositories)