Çepni, Oğuzhan; Gupta, Rangan; Liao, Wenting; Ma, Jun - 2022
We utilize a Dynamic Factor Model with Stochastic Volatility to filter out the national factor from the local components of weekly state-level economic conditions indexes of the United States over the period of April 1987 to August 2021. Then, we forecast the state-level factors. The forecasting...