Browsing Department of Economics (ECO) by Subject "E37"

DSpace/Manakin Repository

Browsing Department of Economics (ECO) by Subject "E37"

Sort by: Order: Results:

  • Icon
    Title: A survey of econometric methods for mixed-frequency data  Author(s): FORONI, Claudia; MARCELLINO, Massimiliano Date: 2013 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...
  • Icon
    Title: A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables  Author(s): FORONI, Claudia; MARCELLINO, Massimiliano Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Forecast models that take into account unbalanced datasets have recently attracted substantial attention. In this paper, we focus on different methods pro- posed so far in the literature to deal with mixed-frequency and ...
  • Icon
    Title: Markov-Switching MIDAS Models  Author(s): GUÉRIN, Pierre; MARCELLINO, Massimiliano Date: 2011 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...
  • Icon
    Title: The Forecasting Performance of Real Time Estimates of the EURO Area Output Gap  Author(s): MARCELLINO, Massimiliano; MUSSO, Alberto Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper provides real time evidence on the usefulness of the euro area output gap as a leading indicator for inflation and growth. A genuine real-time data set for the euro area is used, including vintages of several ...
  • Icon
    Title: The Reliability of Real Time Estimates of the EURO Area Output Gap  Author(s): MARCELLINO, Massimiliano; MUSSO, Alberto Date: 2010 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper provides evidence on the reliability of euro area real-time output gap estimates, including those provided by the IMF, OECD and EC and a set of model based measures. A genuine real-time data set is used, including ...
  • Icon
    Title: MIDAS vs. Mixed-frequency VAR: Nowcasting GDP in the Euro Area  Author(s): KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, Christian Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF- VAR) approaches to model speci cation in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious ...
  • Icon
    Title: Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP  Author(s): KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, Christian Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper discusses pooling versus model selection for now- and forecasting in the presence of model uncertainty with large, unbalanced datasets. Empirically, unbalanced data is pervasive in economics and typically due ...
  • Icon
    Title: Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change  Author(s): BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, Igor Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We conduct a detailed simulation study of the forecasting performance of diffusion index-based methods in short samples with structural change. We consider several data generation processes, to mimic different types ...
  • Icon
    Title: Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP  Author(s): MARCELLINO, Massimiliano; SCHUMACHER, Christian Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: This paper compares different ways to estimate the current state of the economy using factor models that can handle unbalanced datasets. Due to the different release lags of business cycle indicators, data unbalancedness ...