This study investigates the time-series relatedness of state and national indexes of leading indicators and the implications of these results regarding state employment forecasting. Composite indexes of leading indicators are constructed for the United States and each of the fifty states based...

The forecasting accuracy of vector autoregressive (VAR) and Bayesian VAR (BVAR) versions of five different regional models are compared for three states. Two base models for each state consist of three national variables and three state variables. Three misspecified models are then constructed...

The recently advanced space–time autoregressive (ST-AR) model is used to forecast US, regional and state rates of violent and property crime. The disaggregate state (Florida) violent crime model includes murder, rape, robbery, and assault, while the property crime model includes burglary,...

We use probit modeling to forecast bear stock markets in the United States and in eight major foreign stock markets. In general, we find that the U.S. yield spread contains more important market-timing information than does the home-country yield spread for profitable market timing. At a 35%...

Using synchronous transactions data for IBM from the New York, Pacific, and Midwest Stock Exchanges, we estimate an error correction model to investigate whether each of the exchanges is contributing to price discovery. Johansen's test yields two cointegrating vectors, which together verify the...

This study extends the work of Estrella and Mishkin (1996, 1998) to show that interest-rate spreads and probit modeling can be used to predict recessions in many states as well as the nation. State recessions are defined as two or more consecutive quarters of declining real gross state product....

This study shows that higher inflation is associated with increased inflation dispersion across U.S. cities and regions. Regression analysis indicates that cross-regional inflation variability is positively related to both inflation and inflation expectations based on consumer price inflation...

This study extends Shoesmith (2003) by generating probit model forecasts of downturns in national and state manufacturing and construction employment, using average weekly hours in manufacturing (HRS) and housing permits (HP), respectively, as explanatory variables. In each case the yield spread...