Essays about: "Mixed-Frequency Models"

Showing result 1 - 5 of 6 essays containing the words Mixed-Frequency Models.

  1. 1. Nowcasting Private Consumption in Switzerland using a Mixed-Frequency Dynamic Factor Model with High-Frequency Data

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Marius Koechlin; [2021]
    Keywords : Nowcasting; Private consumption; Dynamic factor mode; Mixed-frequency data; Kalman filter;

    Abstract : Various empirical papers have provided evidence that dynamic factor models and the use of high- and mixed-frequency data yield good estimates for nowcasts. This thesis uses the dynamic factor model framework of Giannone et al. (2008) with daily, weekly, and monthly data to nowcast private consumption in Switzerland. READ MORE

  2. 2. Nowcasting U.S. Inflation: The Role of Online Retail Prices

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Edvin Ahlander; Eric Axdorph; [2021]
    Keywords : Inflation; Nowcasting; Mixed-Frequency Models; Online Retail Prices;

    Abstract : We examine whether high-frequency online retail price data contributes to more accurate nowcasts of the U.S. inflation rate, as given by the monthly change in the Consumer Price Index, when other commonly considered variables for predicting inflation already have been taken into account. READ MORE

  3. 3. Importance of daily data in long horizon inflation forecasting - a MIDAS approach

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Katrin Ekström; Sofia Lundgren; [2018-02-19]
    Keywords : MIDAS; inflation; forecasting;

    Abstract : We examine the accuracy of forecast models for the monthly Euro area inflation, focusing on the MIDAS approach. We compare two mixed frequency models with four low frequency models, using fourteen mixed frequency variables sampled at daily or monthly frequency. READ MORE


    University essay from Uppsala universitet/Statistiska institutionen

    Author : Alessio Belloni; [2017]
    Keywords : ;

    Abstract : ThispaperaimstocomparetheforecastingperformanceofthewidelyusedVARandBayesian VAR model to the unrestricted MIDAS regression. The models are tested on a real-time macroeconomic data set ranging from 2000 to 2015. READ MORE

  5. 5. MIDAS : Forecasting quarterly GDP using higher-frequency data

    University essay from Uppsala universitet/Statistiska institutionen; Uppsala universitet/Statistiska institutionen

    Author : Hanna Lindgren; Victor Nilsson; [2015]
    Keywords : MIDAS; GDP; forecasting; mixed-frequency data;

    Abstract : We forecast US GDP sampled quarterly over horizons ranging from one quarter to three years. Using AR-MIDAS models we study three lag polynomials: the Almon lag, the exponential Almon lag and the beta lag, and nine macroeconomic variables, sampled weekly or monthly. Our benchmark model is an AR(1) and we compare forecast errors using RMSE. READ MORE