Raftapostolos, A., "Monthly GDP Growth Estimates for the U.S. States"

Abstract: This paper develops a new dataset of monthly real gross state product (GSP) for the 50 US states, plus Washington DC, from 1964 through the present day using a mixed frequency vector autoregressive model (MF-VAR). The MF-VAR model incorporates state- and US-level data at the monthly, quarterly, and annual frequencies. Temporal and cross-sectional constraints are imposed to ensure that the monthly state-level estimates are consistent with official estimates of quarterly GDP at the US- and state-levels. We illustrate the utility of the historical estimates for better understanding state business cycles and cross-state dependencies. We show how the model produces accurate nowcasts of GSP, two months ahead of the BEA's quarterly estimates, after conditioning on the latest estimates of US GDP.