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Markov-switching mixed-frequency VAR models
Foroni, Claudia; Guérin, Pierre; Marcellino, Massimiliano - In: International journal of forecasting 31 (2015) 3, pp. 692-711
Persistent link: https://www.econbiz.de/10011474529
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Nowcasting macroeconomic variables using high-frequency fiscal data
Ambriško, Róbert - 2022
Persistent link: https://www.econbiz.de/10013264805
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Predictive performance of mixed-frequency nowcasting and forecasting models (with application to Philippine inflation and GDP growth)
Mariano, Roberto S.; Özmucur, Süleyman - In: Journal of quantitative economics 19 (2021), pp. 383-400
Persistent link: https://www.econbiz.de/10013441733
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Reservoir computing for macroeconomic forecasting with mixed-frequency data
Ballarin, Giovanni; Dellaportas, Petros; Grigoryeva, … - In: International journal of forecasting 40 (2024) 3, pp. 1206-1237
Persistent link: https://www.econbiz.de/10014547272
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Doubly multiplicative error models with long- and short-run components
Amendola, Adalgiso; Candila, V.; Cipollini, F.; Gallo, … - In: Socio-economic planning sciences : the international … 91 (2024), pp. 1-15
Persistent link: https://www.econbiz.de/10014528556
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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 Arkadievich - 2010
This study utilizes the dynamic factor model of Giannone et al. (2008) in order to make now-/forecasts of GDP quarter … Swiss GDP. We find that the factor model offers a substantial improvement in forecast accuracy of GDP growth rates compared … accuracy is achieved when GDP nowcasts for an actual quarter are made about three months ahead of the official data release. We …
Persistent link: https://www.econbiz.de/10010274409
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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. - 2010
This study utilizes the dynamic factor model of Giannone et al. (2008) in order to make now-/forecasts of GDP quarter … Swiss GDP. We find that the factor model offers a substantial improvement in forecast accuracy of GDP growth rates compared … accuracy is achieved when GDP nowcasts for an actual quarter are made about three months ahead of the official data release. We …
Persistent link: https://www.econbiz.de/10010277729
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Anticipating business-cycle turning points in real time using density forecasts from a VAR
Schreiber, Sven - 2014 - This version: January 2014
For the timely detection of business-cycle turning points we suggest to use mediumsized linear systems (subset VARs with automated zero restrictions) to forecast the relevant underlying variables, and to derive the probability of the turning point from the forecast density as the probability...
Persistent link: https://www.econbiz.de/10010233998
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Nowcasting real GDP in Tunisia using large datasets and mixed-frequency models
Ben Rhomdhane, Hagher; Benlallouna, Brahim Mehdi - 2022
quarterly real GDP (RGDP) using several mixed-frequency models. These include a mixed dynamic factor model, unrestricted mixed … of GDP (manufacturing, non-manufacturing, and services) using a set of available monthly indicators by sector …. Furthermore, mixed-frequency dynamic factor models and unrestricted MIDAS perform well in terms of root mean squared errors …
Persistent link: https://www.econbiz.de/10012887758
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Tracking economic activity with alternative high-frequency data
Eckert, Florian; Kronenberg, Philipp; Mikosch, Heiner; … - 2020
is identified as the weekly growth rate of GDP. It turns out that the model is well suited to exploit the business cycle … information contained in alternative highfrequency data. GDP is tracked timely and accurately during the Corona crisis and past …
Persistent link: https://www.econbiz.de/10012395297