Search
Now showing items 1-6 of 6
Title:A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates Author(s):FORONI, Claudia; MARCELLINO, Massimiliano
Date:2014Citation:
- International journal of forecasting, 2014, Vol. 30, No. 3, pp. 554-568
Type:ArticleAbstract:In this paper, we focus on the different methods which have been proposed in the literature to date for dealing with mixed-frequency and ragged-edge datasets: bridge equations, mixed-data sampling (MIDAS), and mixed-frequency ...
Date:2014Citation:
Title:A survey of econometric methods for mixed-frequency data Author(s):FORONI, Claudia; MARCELLINO, MassimilianoDate:2013Type:Working PaperSeries/Number:EUI ECO; 2013/02Abstract: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 ...
Date:2013Type:Working PaperSeries/Number:EUI ECO; 2013/02Abstract: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 ...
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 ...
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: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:A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables Author(s):FORONI, Claudia; MARCELLINO, MassimilianoDate:2012Type:Working PaperSeries/Number:EUI ECO; 2012/07Abstract: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 ...
Date:2012Type:Working PaperSeries/Number:EUI ECO; 2012/07Abstract: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 ...