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.

Sprache
Englisch

Erschienen in
Series: Working Paper ; No. 616

Klassifikation
Wirtschaft
Model Construction and Estimation
Forecasting Models; Simulation Methods
Thema
Mixed data frequency
Coincident indicators
Real-time forecasting
US output growth
Wirtschaftsprognose
Gesamtwirtschaftliche Produktion
Statistische Methode
Autokorrelation
USA

Ereignis
Geistige Schöpfung
(wer)
Clements, Michael P.
Galvão, Ana Beatriz
Marcellino, Massimiliano
Ereignis
Veröffentlichung
(wer)
Queen Mary University of London, Department of Economics
(wo)
London
(wann)
2007

Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Clements, Michael P.
  • Galvão, Ana Beatriz
  • Marcellino, Massimiliano
  • Queen Mary University of London, Department of Economics

Entstanden

  • 2007

Ähnliche Objekte (12)