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EEU Policy Brief #3

Authors Matthew Gordon and Ivan Mendieta-Muñoz have put together a research brief on Nowcasting Regional GDP in Utah
Using Dynamic Factor Models.

Key findings include:

    • Dynamic factor models can be used to obtain nowcasts for Utah’s GDP using either expectation-maximization
      or two-stage principal components methods, thus providing a real-time read on the heartbeat of Utah’s Economy.
    • Nowcasting Utah’s GDP should be carried out using the two-stage principal components method.
      The models constructed using this method show moderate to large improvements in forecasting
      accuracy (11% to 28%) compared to other benchmark models, and can accurately track the peaks and
      troughs of Utah’s GDP as more observations become available.

Read the full policy brief:  Nowcasting Regional GDP in Utah Using Dynamic Factor Models




Last Updated: 8/16/21