variables measured at multiple different frequencies, in various factor-MIDAS prediction models. Our key empirical findings are … that: (i) When using real-time data, factor-MIDAS prediction models outperform various linear benchmark models …-MIDAS models, across virtually all forecast horizons, estimation schemes, and data vintages that are analyzed …

methods Our results suggest that model averaging does not dominate other well designed prediction model specification methods … using recursive estimation windows, which dominate other "windowing" approaches in our experiments, prediction models … constructed using pure principal component type models combined with shrinkage methods yield mean square forecast error "best …

prediction precision. In particular, we carry out a series of ex-ante prediction experiments in order to examine: the marginal … and estimating prediction models. We also present new evidence that early releases of money are rational, whereas prices … "target" variable to be predicted, using only "first release" data in model estimation and prediction construction yields mean …