Arbeitspapier
Macroeconomic forecasting with mixed frequency data: Forecasting US output growth
Many macroeconomic series such as US 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 approach is compared to other ways of making use of monthly data to predict quarterly output growth. The MIDAS specification used in the comparison employs 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 of exploiting monthly data compared to alternative methods. We also exploit the best method to use the monthly vintages of the indicators for real-time forecasting.
- Language
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Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 616
- Classification
-
Wirtschaft
Model Construction and Estimation
Forecasting Models; Simulation Methods
- Subject
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Mixed data frequency
Coincident indicators
Real-time forecasting
US output growth
Wirtschaftsprognose
Gesamtwirtschaftliche Produktion
Statistische Methode
Autokorrelation
USA
- Event
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Geistige Schöpfung
- (who)
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Clements, Michael P.
Galvão, Ana Beatriz
Marcellino, Massimiliano
- Event
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Veröffentlichung
- (who)
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Queen Mary University of London, Department of Economics
- (where)
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London
- (when)
-
2007
- 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
- Clements, Michael P.
- Galvão, Ana Beatriz
- Marcellino, Massimiliano
- Queen Mary University of London, Department of Economics
Time of origin
- 2007
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