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Macroeconomic Forecasting with Mixed Frequency Data : Forecasting US output growth and inflation

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  • Clements, Michael P

    (Department of Economics, University of Warwick)

  • Galvão, Ana Beatriz

    (Bank of Portugal)

Abstract

Although many macroeconomic series such as US real output growth are sampled quarterly, many potentially useful predictors are observed at a higher frequency. We look at whether a recently developed mixed data-frequency sampling (MIDAS) approach can improve forecasts of output growth and inflation. We carry out a number of related real-time forecast comparisons using various indicators as explanatory variables. We find that MIDAS model forecasts of output growth are more accurate at horizons less than one quarter using coincident indicators ; that MIDAS models are an effective way of combining information from multiple indicators ; and that the forecast accuracy of the unemployment-rate Phillips curve for inflation is enhanced using the MIDAS approach.

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Bibliographic Info

Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 773.

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Length: 36 pages
Date of creation: 2006
Date of revision:
Handle: RePEc:wrk:warwec:773

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Keywords: Data frequency ; multiple predictors ; combination ; real-time forecasting;

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References

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Cited by:
  1. Alper, C. Emre & Fendoglu, Salih & Saltoglu, Burak, 2008. "Forecasting Stock Market Volatilities Using MIDAS Regressions: An Application to the Emerging Markets," MPRA Paper 7460, University Library of Munich, Germany.
  2. Asgharian, Hossein & Hou, Ai Jun & Javed, Farrukh, 2013. "Importance of the macroeconomic variables for variance prediction A GARCH-MIDAS approach," Knut Wicksell Working Paper Series 2013/4, Knut Wicksell Centre for Financial Studies, Lund University.
  3. Mihaela Bratu, 2012. "A Strategy to Improve the Survey of Professional Forecasters (SPF) Predictions Using Bias-Corrected-Accelerated (BCA) Bootstrap Forecast Intervals," International Journal of Synergy and Research, ToKnowPress, vol. 1(2), pages 45-59.
  4. C. Emre Alper & Salih Fendoglu & Burak Saltoglu, 2009. "MIDAS Volatility Forecast Performance Under Market Stress: Evidence from Emerging and Developed Stock Markets," Working Papers 2009/04, Bogazici University, Department of Economics.
  5. Ana Beatriz Galv�o, 2007. "Changes in Predictive Ability with Mixed Frequency Data," Working Papers 595, Queen Mary, University of London, School of Economics and Finance.

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