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Pooling-Based Data Interpolation and Backdating

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Author Info
Massimiliano Marcellino

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Abstract

Pooling forecasts obtained from different procedures typically reduces the mean square forecast error and more generally improve the quality of the forecast. In this paper, we evaluate whether pooling-interpolated or-backdated time series obtained from different procedures can also improve the quality of the generated data. Both simulation results and empirical analyses with macroeconomic time series indicate that pooling plays a positive and important role in this context also. Copyright 2007 The Author Journal compilation 2007 Blackwell Publishing Ltd.

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9892.2006.00498.x
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Publisher Info
Article provided by Blackwell Publishing in its journal Journal of Time Series Analysis.

Volume (Year): 28 (2007)
Issue (Month): 1 (01)
Pages: 53-71
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Handle: RePEc:bla:jtsera:v:28:y:2007:i:1:p:53-71

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  1. Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-75, November. [Downloadable!] (restricted)
  2. Nijman, T E & Palm, F C, 1986. "The Construction and Use of Approximations for Missing Quarterly Observations: A Model-based Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 47-58, January.
  3. Tommaso Proietti, 2004. "Temporal Disaggregation by State Space Methods: Dynamic Regression Methods Revisited," Econometrics 0411011, EconWPA. [Downloadable!]
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  4. Stock J.H. & Watson M.W., 2002. "Forecasting Using Principal Components From a Large Number of Predictors," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 1167-1179, December. [Downloadable!] (restricted)
  5. Santos Silva, J. M. C. & Cardoso, F. N., 2001. "The Chow-Lin method using dynamic models," Economic Modelling, Elsevier, vol. 18(2), pages 269-280, April. [Downloadable!] (restricted)
  6. David F. Hendry & Michael P. Clements, 2004. "Pooling of forecasts," Econometrics Journal, Royal Economic Society, vol. 7(1), pages 1-31, 06. [Downloadable!] (restricted)
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  7. Timmermann, Allan G, 2005. "Forecast Combinations," CEPR Discussion Papers 5361, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  8. Graham Elliott & Allan Timmermann, 2008. "Economic Forecasting," Journal of Economic Literature, American Economic Association, vol. 46(1), pages 3-56, March.
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  9. Marcellino, Massimiliano, 1999. "Some Consequences of Temporal Aggregation in Empirical Analysis," Journal of Business & Economic Statistics, American Statistical Association, vol. 17(1), pages 129-36, January.
  10. Jushan Bai & Serena Ng, 2004. "Confidence Intervals for Diffusion Index Forecasts with a Large Number of Predictor," Econometrics 0408006, EconWPA. [Downloadable!]
  11. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(2), pages 147-62, April.
  12. Jushan Bai, 2003. "Inferential Theory for Factor Models of Large Dimensions," Econometrica, Econometric Society, vol. 71(1), pages 135-171, January. [Downloadable!] (restricted)
  13. Gabriel Fagan & Jérôme Henry & Ricardo Mestre, 2001. "An area-wide model (AWM) for the euro area," Working Paper Series 42, European Central Bank. [Downloadable!]
  14. Elena Angelini & Jerome Henry & Ricardo Mestre, 2001. "Diffusion index-based inflation forecasts for the euro area," Working Paper Series 061, European Central Bank. [Downloadable!]
  15. Angelini, Henry, Marcellino, 2002. "interpolation with a large information set," Computing in Economics and Finance 2002 72, Society for Computational Economics. [Downloadable!]
  16. Massimiliano Marcellino & James H. Stock & Mark W. Watson, . "Macroeconomic Forecasting in the Euro Area: Country Specific versus Area-Wide Information," Working Papers 201, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University. [Downloadable!]
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