Browsing Working Papers by Subject "MIDAS"

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Browsing Working Papers by Subject "MIDAS"

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    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 ...
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    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 ...
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    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 ...
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    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 ...
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    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 ...