Arbeitspapier
MIDAS modeling for core inflation forecasting
A forecasting exercise is presented to assess the predictive potential of a daily price index based on online prices, compiled by web scrapping by the private company PriceStats in cooperation with a finance research corporation, State Street Global Markets, as a predictor for a measure of the monthly core inflation rate in Argentina, known as "resto IPCBA" and published by the Statistics Office of the Government of the City of Buenos Aires. Mixed frequency regression models offer a convenient arrangement to accommodate variables sampled at different frequencies and hence many specifications are tested. Various classes of MIDAS models are found to produce a slight boost in terms of out-of-sample predictive performance at immediate horizons when compared to benchmark naïve models and estimators. Additionally, an analysis of intraperiod forecasts, reveals a slight trend towards increased forecast accuracy as the daily variable approaches a full month for certain horizons.
- Language
-
Englisch
- Bibliographic citation
-
Series: Economic Research Working Papers ; No. 72
- Classification
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Forecasting Models; Simulation Methods
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Subject
-
MIDAS
distributedlags
coreinflation
forecasting
- Event
-
Geistige Schöpfung
- (who)
-
Libonatti, Luis
- Event
-
Veröffentlichung
- (who)
-
Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
- (where)
-
Buenos Aires
- (when)
-
2017
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Libonatti, Luis
- Banco Central de la República Argentina (BCRA), Investigaciones Económicas (ie)
Time of origin
- 2017
Other Objects (12)
MIDAS modeling for core inflation forecasting
Core inflation: Robust common trend model forecasting
Inflation forecasting
The role of commodity prices in forecasting U.S. core inflation
Forecasting Austrian Inflation
Real-time forecasting with a MIDAS VAR
Real-time forecasting with a MIDAS VAR
A structural common factor approach to core inflation estimation and forecasting
A structural common factor approach to core inflation estimation and forecasting
Inflation Forecasting with Inflation Sentiment Indicators
Inflation forecasting with inflation sentiment indicators
Forecasting inflation in China
MIDAS modeling for core inflation forecasting
Core inflation: Robust common trend model forecasting
Inflation forecasting
The role of commodity prices in forecasting U.S. core inflation
Forecasting Austrian Inflation
Real-time forecasting with a MIDAS VAR
Real-time forecasting with a MIDAS VAR
A structural common factor approach to core inflation estimation and forecasting
A structural common factor approach to core inflation estimation and forecasting
Inflation Forecasting with Inflation Sentiment Indicators
Inflation forecasting with inflation sentiment indicators
Forecasting inflation in China
MIDAS modeling for core inflation forecasting
Core inflation: Robust common trend model forecasting
Inflation forecasting
The role of commodity prices in forecasting U.S. core inflation
Forecasting Austrian Inflation
Real-time forecasting with a MIDAS VAR
Real-time forecasting with a MIDAS VAR
A structural common factor approach to core inflation estimation and forecasting
A structural common factor approach to core inflation estimation and forecasting
Inflation Forecasting with Inflation Sentiment Indicators
Inflation forecasting with inflation sentiment indicators