Regional econometric income forecast accuracy

Abstract

Econometric prediction accuracy for personal income forecasts is examined for a region of the United States. Previously published regional structural equation model (RSEM) forecasts exist ex ante for the state of New Mexico and its three largest metropolitan statistical areas: Albuquerque, Las Cruces and Santa Fe. Quarterly data between 1983 and 2000 are utilized at the state level. For Albuquerque, annual data from 1983 through 1999 are used. For Las Cruces and Santa Fe, annual data from 1990 through 1999 are employed. Univariate time series, vector autoregressions and random walks are used as the comparison criteria against structural equation simulations. Results indicate that ex ante RSEM forecasts achieved higher accuracy than those simulations associated with univariate ARIMA and random walk benchmarks for the state of New Mexico. The track records of the structural econometric models for Albuquerque, Las Cruces and Santa Fe are less impressive. In some cases, VAR benchmarks prove more reliable than RSEM income forecasts. In other cases, the RSEM forecasts are less accurate than random walk alternatives. Copyright © 2005 John Wiley & Sons, Ltd.

Business Cycle Downturn Likelihood Estimation for Ciudad Juarez

“…This study examines economic downturn prediction for Ciudad Juarez, Chihuahua, Mexico. Ciudad Juarez is one of the most important northern border metropolitan economies in Mexico and has the largest number of maquiladora jobs in the entire country (Fullerton and Novela, 2010). Sample data include a monthly business cycle index for Ciudad Juarez, yield spread measures for Mexico and the United States, and a real peso weighted exchange rate index.…”