Foroni, Claudia; Marcellino, Massimiliano; Stevanović, … - 2018
Temporal aggregation in general introduces a moving average (MA) component in the aggregated model. A similar feature … in the mixed frequency context. In this paper, we show, analytically, in Monte Carlo simulations and in a forecasting …-term forecasting performance of MIDAS-ARMA and UMIDAS-ARMA is better than that of, respectively, MIDAS and UMIDAS. The empirical …
