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Proyecciones macroeconómicas con datos en frecuencias mixtas. Modelos ADL-MIDAS, U-MIDAS y TF-MIDAS con aplicaciones para Uruguay

Author

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  • Santiago Etchegaray Alvarez

    (Banco Central del Uruguay)

Abstract

This paper estimates, evaluates and compares the nowcasting and forecast¬ing performance of ADL-MIDAS, U-MIDAS and TF-MIDAS models. To do so, 25 monthly series are considered as possible indicators of GDP growth and the forecast accuracy is assessed in two overlapping periods: one period that includes the COVID-19 pandemic and another that excludes it. When the period affected by the pandemic is considered TFMIDAS results the most precise model, while if this period is excluded from the evaluation there is no difference in the predictive ability between the three models considered. Then different forms of nonparametric forecasts combinations are evaluated, obtaining similar results with most of them and, in general, outperforming when the best model is the only one considered.

Suggested Citation

  • Santiago Etchegaray Alvarez, 2022. "Proyecciones macroeconómicas con datos en frecuencias mixtas. Modelos ADL-MIDAS, U-MIDAS y TF-MIDAS con aplicaciones para Uruguay," Documentos de trabajo 2022004, Banco Central del Uruguay.
    • Handle: RePEc:bku:doctra:2022004
    as

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    File URL: https://www.bcu.gub.uy/Estadisticas-e-Indicadores/Documentos%20de%20Trabajo/4.2022.pdf
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Macroeconomic forecasting; Mixed frequency; TF-MIDAS; U-MIDAS; ADL-MIDAS; Nowcasting; Forecasts combination;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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