Essays about: "mixed-frequency data"

Found 5 essays containing the words mixed-frequency data.

  1. 1. 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

  2. 2. COMPARING THE FORECASTING PERFORMANCE OF VAR, BVAR AND U-MIDAS

    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

  3. 3. A Mixed Frequency Steady-State Bayesian Vector Autoregression: Forecasting the Macroeconomy

    University essay from Uppsala universitet/Statistiska institutionen

    Author : Måns Unosson; [2016]
    Keywords : Bayesian VAR; Gibbs Sampling; State-space; Mixed Frequency Data; Steady-state; Macroeconometrics; Forecasting;

    Abstract : This thesis suggests a Bayesian vector autoregressive (VAR) model which allows for explicit parametrization of the unconditional mean for data measured at different frequencies, without the need to aggregate data to the lowest common frequency. Using a normal prior for the steady-state and a normal-inverse Wishart prior for the dynamics and error covariance, a Gibbs sampler is proposed to sample the posterior distribution. READ MORE

  4. 4. 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

  5. 5. FORECASTING WITH MIXED FREQUENCY DATA:MIDAS VERSUS STATE SPACE DYNAMIC FACTOR MODEL : AN APPLICATION TO FORECASTING SWEDISH GDP GROWTH

    University essay from Örebro universitet/Handelshögskolan vid Örebro Universitet

    Author : Yu Chen; [2013]
    Keywords : mixed frequency data; MIDAS regression; state space model; dynamic factor model; Swedish GDP growth;

    Abstract : Most macroeconomic activity series such as Swedish GDP growth are collected quarterly while an important proportion of time series are recorded at a higher frequency. Thus, policy and business decision makers are often confront with the problems of forecasting and assessing current business and economy state via incomplete statistical data due to publication lags. READ MORE