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approach is based on combination of the Cumulated Sum of Squared Forecast Error Differential (CSSFED) suggested earlier in …
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In this paper we extend the targeted-regressor approach suggested in Bai and Ng (2008) for variables sampled at the same frequency to mixed-frequency data. Our MIDASSO approach is a combination of the unrestricted MIxed-frequency DAta-Sampling approach (U-MIDAS) (see Foroni et al., 2015; Castle et...
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findings further suggest that the widespread practice of relying on full sample forecast evaluation metrics may not be ideal …
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alternative during the 2008m1-2009m5 forecast period. In addition, Google indicators are available at weekly frequency and not …
Persistent link: https://www.econbiz.de/10003897268
forecast under the assumption of a generalized loss function. We find only limited evidence for the existence of an asymmetric …
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This paper documents a comparative application of algorithms to deal with the problem of missing values in higher frequency data sets. We refer to Swiss business tendency survey (BTS) data, in particular the KOF manufacturing surveys, which are conducted in both monthly and quarterly frequency,...
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