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Short-term forecasting with mixed-frequency data: A MIDASSO approach
Siliverstovs, Boriss - KOF Swiss Economic Institute, Department of Management, … - 2015
-Sampling approach (U-MIDAS) (see Foroni et al., 2015; Castle et al., 2009; Bec and Mogliani, 2013), and the LASSO-type penalised … regression used in Bai and Ng (2008), called the elastic net (Zou and Hastie, 2005). We illustrate our approach by forecasting …
Persistent link: https://www.econbiz.de/10011196718
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Short-term forecasting with mixed-frequency data: A MIDASSO approach
Siliverstovs, Boriss - 2015
-Sampling approach (U-MIDAS) (see Foroni et al., 2015; Castle et al., 2009; Bec and Mogliani, 2013), and the LASSO-type penalised … regression used in Bai and Ng (2008), called the elastic net (Zou and Hastie, 2005). We illustrate our approach by forecasting …
Persistent link: https://www.econbiz.de/10011307779
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Short-term forecasting with mixed-frequency data : a MIDASSO approach
Siliverstovs, Boriss - 2015
-Sampling approach (U-MIDAS) (see Foroni et al., 2015; Castle et al., 2009; Bec and Mogliani, 2013), and the LASSO-type penalised … regression used in Bai and Ng (2008), called the elastic net (Zou and Hastie, 2005). We illustrate our approach by forecasting …
Persistent link: https://www.econbiz.de/10010498420
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Dissecting the Purchasing Managers’ Index: Are all relevant components included? Are all included components relevant?
Siliverstovs, Boriss - KOF Swiss Economic Institute, Department of Management, … - 2015
We apply the novel approach of Siliverstovs (2015) to modelling data sampled at different frequencies in order to scrutinise the composition of one of the most influential economic indicators in Switzerland. The Purchasing Managers' Index consists of eight sub-indices out of which only five...
Persistent link: https://www.econbiz.de/10011203043
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Dissecting the Purchasing Managers' Index: Are all relevant components included? Are all included components relevant?
Siliverstovs, Boriss - 2015
We apply the novel approach of Siliverstovs (2015) to modelling data sampled at different frequencies in order to scrutinise the composition of one of the most influential economic indicators in Switzerland. The Purchasing Managers' Index consists of eight sub-indices out of which only five...
Persistent link: https://www.econbiz.de/10011307780
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Dissecting the Purchasing Managers' Index : are all relevant components included? ; are all included components relevant?
Siliverstovs, Boriss - 2015
We apply the novel approach of Siliverstovs (2015) to modelling data sampled at different frequencies in order to scrutinise the composition of one of the most influential economic indicators in Switzerland. The Purchasing Managers' Index consists of eight sub-indices out of which only five...
Persistent link: https://www.econbiz.de/10010498418
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Assessing the Real-Time Informational Content of Macroeconomic Data Releases for Now-/Forecasting GDP: Evidence for Switzerland
Siliverstovs, Boriss; Kholodilin, Konstantin A. - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2010
-on-quarter growth rates in Switzerland. It also assesses the informational content of macroeconomic data releases for forecasting of the … for GDP forecasting although their ranking depends on the underlying transformation of monthly indicators from which the …
Persistent link: https://www.econbiz.de/10008615361
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Are GDP Revisions Predictable? Evidence for Switzerland
Siliverstovs, Boriss - KOF Swiss Economic Institute, Department of Management, … - 2011
This study presents a model that delivers more accurate forecasts of the revised rather initial estimates of the quarterly GDP growth rate in Switzerland during the period of the recent financial crisis. The key explanation to our findings is that our model, capitalizing on the information...
Persistent link: https://www.econbiz.de/10009024962
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The Real-Time Predictive Content of the KOF Economic Barometer
Siliverstovs, Boriss - In: Swiss Journal of Economics and Statistics (SJES) 147 (2011) III, pp. 353-375
We investigate whether the KOF Economic Barometer - a leading indicator released by the KOF Swiss Economic Institute - is useful for short-term prediction of quarterly year-on-year real GDP growth in Switzerland. Using a real-time data set consisting of historical vintages of GDP data and the...
Persistent link: https://www.econbiz.de/10009292825
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Are GDP Revisions Predictable? Evidence for Switzerland
Siliverstovs, Boriss - In: Applied Economics Quarterly (formerly: Konjunkturpolitik) 58 (2012) 4, pp. 299-326
This study presents a model that delivers more accurate forecasts of the revised rather initial estimates of the quarterly GDP growth rate in Switzerland during the period of the recent financial crisis. The key explanation to our findings is that our model, capitalizing on the information...
Persistent link: https://www.econbiz.de/10010711215