Arbeitspapier
MIDAS modeling for core inflation forecasting
This paper presents a forecasting exercise that assesses the predictive potential of a daily price index based on online prices. Prices are compiled using web scrapping services provided by the private company PriceStats in cooperation with a finance research corporation, State Street Global Markets. This online price index is tested as a predictor of the monthly core inflation rate in Argentina, known as "resto IPCBA" and published by the Statistics Office 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 evaluated. Different classes of these models are found to produce a slight boost in out-of-sample predictive performance at immediate horizons when compared to benchmark näive models and estimators. Additionally, an analysis of intra-period forecasts, reveals a slight trend towards increased forecast accuracy as the daily variable approaches one full month for certain horizons.
- Language
-
Englisch
- Bibliographic citation
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Series: IDB Working Paper Series ; No. IDB-WP-897
- Classification
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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
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MIDAS
Distributed lags
Core inflation
Forecasting
- Event
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Geistige Schöpfung
- (who)
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Libonatti, Luis
- Event
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Veröffentlichung
- (who)
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Inter-American Development Bank (IDB)
- (where)
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Washington, DC
- (when)
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2018
- DOI
-
doi:10.18235/0001250
- Handle
- Last update
-
10.03.2025, 11:44 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
- Inter-American Development Bank (IDB)
Time of origin
- 2018
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