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Title:Factor-MIDAS for nowcasting and forecasting with ragged-edge data : a model comparison for German GDP Author(s):MARCELLINO, Massimiliano
; SCHUMACHER, ChristianDate:2010Citation:
- Oxford Bulletin of Economics and Statistics, 2010, 72, 4, 518-550
Type:ArticleAbstract:In this article, we merge two strands from the recent econometric literature. First, factor models based on large sets of macroeconomic variables for forecasting, which have generally proven useful for forecasting. However, ...
; SCHUMACHER, ChristianDate:2010Citation:
Title:MIDAS vs. Mixed-Frequency VAR: Nowcasting GDP in the Euro Area Author(s):KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2011Citation:
- International Journal of Forecasting, 2011, 27, 2, 529-542
Type:ArticleAbstract:This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model specification in the presence of mixed-frequency data, e.g. monthly and quarterly series. MIDAS leads to parsimonious ...
; SCHUMACHER, ChristianDate:2011Citation:
Title:MIDAS vs. Mixed-frequency VAR: Nowcasting GDP in the Euro Area Author(s):KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/32Abstract: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 ...
; SCHUMACHER, ChristianDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/32Abstract: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 ...
Title:Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP Author(s):KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/13Abstract: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 ...
; SCHUMACHER, ChristianDate:2009Type:Working PaperSeries/Number:EUI ECO; 2009/13Abstract: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 ...
Title:Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP Author(s):MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/16Abstract: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 ...
; SCHUMACHER, ChristianDate:2008Type:Working PaperSeries/Number:EUI ECO; 2008/16Abstract: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 ...