Essays about: "mixed-frequency data"
Showing result 1 - 5 of 8 essays containing the words mixed-frequency data.
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1. Nowcasting U.S. inflation using mixed frequency real-time data
University essay from Lunds universitet/Matematisk statistikAbstract : Different models were developed with the aim of nowcasting inflation at a daily basis with high frequency variables, while using real-time data to avoid look ahead bias. Both popular machine learning models such as Random Forest and XGBoost, and more traditional models such as UMIDAS and Almon distributed lag models were used to make the nowcasts. READ MORE
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2. Nowcasting Private Consumption in Switzerland using a Mixed-Frequency Dynamic Factor Model with High-Frequency Data
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : 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
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3. Nowcasting U.S. Inflation: The Role of Online Retail Prices
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : 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
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4. Importance of daily data in long horizon inflation forecasting - a MIDAS approach
University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistikAbstract : 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
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5. COMPARING THE FORECASTING PERFORMANCE OF VAR, BVAR AND U-MIDAS
University essay from Uppsala universitet/Statistiska institutionenAbstract : 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
