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A survey of econometric methods for mixed-frequency data
Foroni, Claudia; Marcellino, Massimiliano - Norges Bank - 2013
The development of models for variables sampled at di¤erent frequencies has attracted substantial interest in the recent econometric literature. In this paper we provide an overview of the most common techniques, including bridge equations, MIxed DAta Sampling (MIDAS) models, mixed frequency...
Persistent link: https://www.econbiz.de/10010835415
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A survey of econometric methods for mixed-frequency data
Foroni, Claudia; Marcellino, Massimiliano - Department of Economics, European University Institute - 2013
The development of models for variables sampled at different frequencies has attracted substantial interest in the recent econometric literature. In this paper we provide an overview of the most common techniques, including bridge equations, MIxed DAta Sampling (MIDAS) models, mixed frequency...
Persistent link: https://www.econbiz.de/10010610582
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Nowcasting world trade with machine learning : a three-step approach
Chinn, Menzie David; Meunier, Baptiste; Stumpner, Sebastian - 2023
across different horizons and real-time datasets. To further improve performances when forecasting with machine learning, we …
Persistent link: https://www.econbiz.de/10014362630
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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. - KOF Swiss Economic Institute, Department of Management, … - 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/10008480878
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Tracking the future on the web: construction of leading indicators using internet searches
Artola, Concha; Galán, Enrique - Banco de España - 2012
for economic analysis and forecasting. This enormous volume of information, available in real time, can be handled by … inflows to Spain (the Spanish tourist industry's main customers). The improvement in the forecasting provided by the short …
Persistent link: https://www.econbiz.de/10010684834
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Forecasting growth in eastern Europe and central Asia
Ohnsorge, Franziska; Korniyenko, Yevgeniya - European Bank for Reconstruction and Development (EBRD) - 2011
-autoregressive model is used to forecast growth under various scenarios. The paper includes a comparison between the forecasting …
Persistent link: https://www.econbiz.de/10010627319
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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. - In: Journal of Economics and Statistics (Jahrbuecher fuer … 232 (2012) 4, pp. 429-444
-on-quarter growth rate 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/10010580967
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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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Markov-Switching MIDAS Models
Guerin, Pierre; Marcellino, Massimiliano - Department of Economics, European University Institute - 2011
This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of...
Persistent link: https://www.econbiz.de/10008868072
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Markov-switching MIDAS models
Guérin, Pierre; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2011
This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of mixed-frequency data in Markov-switching models. After a discussion of...
Persistent link: https://www.econbiz.de/10008854481