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Macroeconomic Forecasting With Mixed-Frequency Data: Forecasting Output Growth in the United States
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Clements, Michael P. and Galvão, Ana Beatriz. (2008) Macroeconomic Forecasting With Mixed-Frequency Data: Forecasting Output Growth in the United States. Journal of Business and Economic Statistics, Vol.26 (No.4). pp. 546-554. ISSN 0735-0015
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Official URL: http://dx.doi.org/10.1198/073500108000000015
Abstract
Many macroeconomic series, such as U.S. real output growth, are sampled quarterly, although potentially useful predictors are often observed at a higher frequency. We look at whether a mixed data-frequency sampling (MIDAS) approach can improve forecasts of output growth. The MIDAS specification used in the comparison uses a novel way of including an autoregressive term. We find that the use of monthly data on the current quarter leads to significant improvement in forecasting current and next quarter output growth, and that MIDAS is an effective way to exploit monthly data compared with alternative methods.
| Item Type: | Journal Article |
|---|---|
| Subjects: | H Social Sciences > HC Economic History and Conditions H Social Sciences Q Science > QA Mathematics |
| Divisions: | Faculty of Social Sciences > Economics |
| Journal or Publication Title: | Journal of Business and Economic Statistics |
| Publisher: | Americal Statistical Association |
| ISSN: | 0735-0015 |
| Date: | October 2008 |
| Volume: | Vol.26 |
| Number: | No.4 |
| Number of Pages: | 9 |
| Page Range: | pp. 546-554 |
| Identification Number: | 10.1198/073500108000000015 |
| Status: | Peer Reviewed |
| Publication Status: | Published |
| Access rights to Published version: | Restricted or Subscription Access |
| URI: | http://wrap.warwick.ac.uk/id/eprint/17519 |
Data sourced from Thomson Reuters' Web of Knowledge
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