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Browsing ECO Articles by Author "SCHUMACHER, Christian"
Now showing items 1-3 of 3
Title:MIDAS vs. Mixed-Frequency VAR: Nowcasting GDP in the Euro Area
Author(s):KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2011Type of Publication: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 ...
Title:Factor-MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP
Author(s):MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2010-01-01Type of Publication: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, ...
Title:Factor Midas for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison For German Gdp*
Author(s):MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2010Type of Publication: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, ...