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Forecasting EMU Macroeconomic Variables
Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2002
variables. Hence, both the fiscal and the monetary authorities have developed aggregate forecasting models, along the lines … over-fit in sample, we assess their performance in a real time forecasting framework. It turns out that for several … forecasting and modeling EMU variables. …
Persistent link: https://www.econbiz.de/10005124368
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Markov-switching MIDAS models
Guérin, Pierre; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011
This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of...
Persistent link: https://www.econbiz.de/10008854481
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Short-term GDP forecasting with a mixed frequency dynamic factor model with stochastic volatility
Marcellino, Massimiliano; Porqueddu, Mario; Venditti, … - C.E.P.R. Discussion Papers - 2013
for forecasting GDP growth at short-term horizons in the euro area. We discuss three sets of empirical results. First we … forecast revisions. Third we design a pseudo out of sample forecasting exercise and examine point and density forecast accuracy …
Persistent link: https://www.econbiz.de/10011083444