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Guerin, Pierre; Marcellino, Massimiliano - Department of Economics, European University Institute - 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/10008868072

A survey of econometric methods for mixed-frequency data

Foroni, Claudia; Marcellino, Massimiliano - Department of Economics, European University Institute - 2013

The development of models for variables sampled at different frequencies has attracted substantial interest in the recent econometric literature. In this paper we provide an overview of the most common techniques, including bridge equations, MIxed DAta Sampling (MIDAS) models, mixed frequency...

Persistent link: https://www.econbiz.de/10010610582

A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables

FORONI, Claudia; MARCELLINO, Massimiliano - Department of Economics, European University Institute - 2012

forecasting the quarterly growth rate of Euro area GDP and its components, using a very large set of monthly indicators taken from …

Persistent link: https://www.econbiz.de/10010540194

Forecasting Emerging Market Indicators: Brazil and Russia

Bystrov, Victor - Department of Economics, European University Institute - 2006

The adoption of inflation targeting in emerging market economies makesaccurate forecasting of inflation and output …, autoregressive and small-scale vector autoregressive models can be suggested as forecasting tools. However,these models include only … forecasting performance of the models considered depends on the statistical properties of the series to be forecast, which are …

Persistent link: https://www.econbiz.de/10005557725

the Reliability of Real Time Estimates of the EURO Area Output Gap

Marcellino, Massimiliano; Musso, Alberto - Department of Economics, European University Institute - 2010

This paper provides evidence on the reliability of euro area real-time output gap estimates, including those provided by the IMF, OECD and EC and a set of model based measures. A genuine real-time data set is used, including vintages of several sets of euro area output gap estimates available...

Persistent link: https://www.econbiz.de/10008631555

The Forecasting Performance of Real Time Estimates of the EURO Area Output Gap

Marcellino, Massimiliano; Musso, Alberto - Department of Economics, European University Institute - 2010

clearly to a lack of any usefulness of real-time output gap estimates for inflation forecasting both in the short term (one …

Persistent link: https://www.econbiz.de/10008498379

Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change

Banerjee, Anindya; Marcellino, Massimiliano; Masten, Igor - Department of Economics, European University Institute - 2008

We conduct a detailed simulation study of the forecasting performance of diffusion index-based methods in short samples … compare the relative forecasting performance of factor models and more traditional time series methods. We find that changes …

Persistent link: https://www.econbiz.de/10005557689

Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP

Marcellino, Massimiliano; Schumacher, Christian - Department of Economics, European University Institute - 2008

This paper compares different ways to estimate the current state of the economy using factor models that can handle unbalanced datasets. Due to the different release lags of business cycle indicators, data unbalancedness often emerges at the end of multivariate samples, which is sometimes...

Persistent link: https://www.econbiz.de/10005557690

A Monthly Indicator of the Euro Area GDP

Frale, Cecilia; Marcellino, Massimiliano; Mazzi, Gian Luigi - Department of Economics, European University Institute - 2008

A continuous monitoring of the evolution of the economy is fundamental for the decisions of public and private decision makers. This paper proposes a new monthly indicator of the euro area real Gross Domestic Product (GDP), with several original features. First, it considers both the output side...

Persistent link: https://www.econbiz.de/10005557751

Survey Data as Coicident or Leading Indicators

Frale, Cecilia; Marcellino, Massimiliano; Mazzi, Gian Luigi - Department of Economics, European University Institute - 2009

second survey-based factor, and the short term forecasting performance of the model in a pseudo-real time experiment. We find …. Moreover, the two factor model outperforms in terms of out of sample forecasting accuracy the traditional autoregressive …

Persistent link: https://www.econbiz.de/10004980235