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Macroeconomic forecasting with mixed frequency data: forecasting US output growth and inflation.
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Clements, Michael P. and Galvão, Ana Beatriz C. (Ana Beatriz Camatari) (2006) Macroeconomic forecasting with mixed frequency data: forecasting US output growth and inflation. Working Paper. Coventry: University of Warwick, Department of Economics. Warwick economic research papers (No.773).
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Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
Abstract
Although many macroeconomic series such as US real output growth are sampled quarterly, many potentially useful predictors are observed at a higher frequency. We look at whether a recently developed mixed data-frequency sampling (MIDAS) approach can improve forecasts of output growth and inflation. We carry out a number of related real-time forecast comparisons using various indicators as explanatory variables. We find that MIDAS model forecasts of output growth are more accurate at horizons less than one quarter using coincident indicators ; that MIDAS models are an effective way of combining information from multiple indicators ; and that the forecast accuracy of the unemployment-rate Phillips curve for inflation is enhanced using the MIDAS approach.
Item Type: | Working or Discussion Paper (Working Paper) | ||||
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Subjects: | H Social Sciences > HG Finance | ||||
Divisions: | Faculty of Social Sciences > Economics | ||||
Library of Congress Subject Headings (LCSH): | Economic forecasting, Econometric models, Sampling (Statistics), Phillips curve, Unemployment -- Effect of inflation on -- Mathematical models, Inflation (Finance) -- Mathematical models | ||||
Series Name: | Warwick economic research papers | ||||
Publisher: | University of Warwick, Department of Economics | ||||
Place of Publication: | Coventry | ||||
Official Date: | July 2006 | ||||
Dates: |
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Number: | No.773 | ||||
Number of Pages: | 36 | ||||
Status: | Not Peer Reviewed | ||||
Access rights to Published version: | Open Access (Creative Commons) |
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