We analyze ways of incorporating low frequency information into models for the pre- diction of high frequency variables. In doing so, we consider the two existing versions of the mixed frequency VAR, with a focus on the forecasts for the high frequency variables. Furthermore, we introduce new models, namely the reverse unrestricted MIDAS (RU- MIDAS) and reverse MIDAS (R-MIDAS), which can be used for producing forecasts of high frequency variables that also incorporate low frequency information. We then conduct several empirical applications for assessing the relevance of quarterly survey data for forecasting a set of monthly acroeconomic indicators. Overall, it turns out that low frequency information is important, particularly when it has just been released.
Using low frequency information for predicting high frequency variables
Foroni Claudia;Marcellino Massimiliano
2018
Abstract
We analyze ways of incorporating low frequency information into models for the pre- diction of high frequency variables. In doing so, we consider the two existing versions of the mixed frequency VAR, with a focus on the forecasts for the high frequency variables. Furthermore, we introduce new models, namely the reverse unrestricted MIDAS (RU- MIDAS) and reverse MIDAS (R-MIDAS), which can be used for producing forecasts of high frequency variables that also incorporate low frequency information. We then conduct several empirical applications for assessing the relevance of quarterly survey data for forecasting a set of monthly acroeconomic indicators. Overall, it turns out that low frequency information is important, particularly when it has just been released.File | Dimensione | Formato | |
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