Macroeconomic forecasting with mixed frequency data: forecasting US output growth and inflation.
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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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)|
|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|
|Number of Pages:||36|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
Bhansali, R. J. (2002). Multi-step forecasting. In Clements, M. P., and Hendry, D. F. (eds.), A Companion to Economic Forecasting, pp. 206—221: Oxford: Blackwells.
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