Estimation of short‐run predictive factor for US growth using state employment data

We estimate a predictive single factor model targeted to unobserved common growth in gross domestic product and income (GDI) using state-space framework with select state employment data. use likelihood-based comparison the states dynamic factor. The results show improved in-sample out-of-sample performance than threshold principal component factors financial spreads. Out-of-sample evaluations indicate larger gains for GDI 14% 20% lower mean squared forecast errors other alternatives. Sectoral based on selected sectors also forecasting gains. An expanded both sectoral data shows that their is primary