The Resource A comparison of mixed frequency approaches for modelling Euro area macroeconomic variables, Claudia Foroni and Massimiliano Marcellino

A comparison of mixed frequency approaches for modelling Euro area macroeconomic variables, Claudia Foroni and Massimiliano Marcellino

Label
A comparison of mixed frequency approaches for modelling Euro area macroeconomic variables
Title
A comparison of mixed frequency approaches for modelling Euro area macroeconomic variables
Statement of responsibility
Claudia Foroni and Massimiliano Marcellino
Creator
Contributor
Subject
Language
eng
Summary
Forecast models that take into account unbalanced datasets have recently attracted substantial attention. In this paper, we focus on different methods pro- posed so far in the literature to deal with mixed-frequency and ragged-edge datasets: bridge equations, mixed-data sampling (MIDAS), and mixed-frequency (MF) models. We discuss their performance on now- and forecasting the quarterly growth rate of Euro area GDP and its components, using a very large set of monthly indicators taken from Eurostat dataset of Principal European Economic Indicators (PEEI). We both investigate the behavior of single indicator models and combine first the forecasts within each class of models and then the information in the dataset by means of factor models, in a pseudo real-time framework. Anticipating some of the results, MIDAS without an AR component performs worse than the corresponding approach which incorporates it, and MF-VAR seems to outperform the MIDAS approach only at longer horizons. Bridge equations have overall a good performance. Pooling many indicators within each class of models is overall superior to most of the single indicator models. Pooling information with the use of factor models gives even better results, at least at short horizons. A battery of robustness checks high- lights the importance of monthly information during the crisis more than in stable periods. Extending the analysis to a real-time context highlights that revisions do not influence substantially the results
Member of
Cataloging source
IT-FiEUI
http://library.link/vocab/creatorName
Foroni, Claudia
Index
no index present
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorName
  • Marcellino, Massimiliano
  • European University Institute
Series statement
  • EUI working papers. ECO
  • EUI papers
Series volume
2012/07
http://library.link/vocab/subjectName
  • Monetary policy
  • Macroeconomics
Label
A comparison of mixed frequency approaches for modelling Euro area macroeconomic variables, Claudia Foroni and Massimiliano Marcellino
Link
http://hdl.handle.net/1814/21135
Instantiates
Publication
Note
Keywords: mixed-frequency data; mixed-frequency VAR; MIDAS; factor models; nowcasting; forecasting; E37; C53
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
txt
Content type MARC source
rdacontent.
Control code
FIEb17090210
Dimensions
30 cm.
Extent
57 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
n
Other physical details
illustrations
System control number
(OCoLC)811252554
Label
A comparison of mixed frequency approaches for modelling Euro area macroeconomic variables, Claudia Foroni and Massimiliano Marcellino
Link
http://hdl.handle.net/1814/21135
Publication
Note
Keywords: mixed-frequency data; mixed-frequency VAR; MIDAS; factor models; nowcasting; forecasting; E37; C53
Carrier category
volume
Carrier category code
nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
txt
Content type MARC source
rdacontent.
Control code
FIEb17090210
Dimensions
30 cm.
Extent
57 pages
Media category
unmediated
Media MARC source
rdamedia.
Media type code
n
Other physical details
illustrations
System control number
(OCoLC)811252554

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