Pooling-based data interpolation and backdating
Title: Pooling-based data interpolation and backdating
Author: MARCELLINO, Massimiliano
Citation: Journal of time series analysis, 2007, Vol. 28, No. 1, pp. 53-71
Pooling forecasts obtained from different procedures typically reduces the mean square forecast error and more generally improve the quality of the forecast. In this paper, we evaluate whether pooling-interpolated or-backdated time series obtained from different procedures can also improve the quality of the generated data. Both simulation results and empirical analyses with macroeconomic time series indicate that pooling plays a positive and important role in this context also.
Subject: Pooling; Interpolation; Factor model; Kalman filter; spline; C32; C43; C82
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