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Makroökonomische Prognosen mit gemischten Frequenzen

  • Klaus Wohlrabe


Die Prognose von makroökonomischen Zeitreihen steht häufig vor dem Problem, dass die verwendeten Indikatoren und die Zielzeitreihe in verschiedenen Frequenzen vorliegen. So ist das Bruttoinlandsprodukt nur auf Quartalsbasis verfügbar, während die meisten Indikatoren, wie z.B. das ifo Geschäftsklima, monatlich erhoben werden. Der vorliegende Artikel stellt zwei Modellklassen aus der neueren Literatur vor, die Schätzungen mit gemischten Frequenzen ohne aggregationsbedingten Informationsverlust erlauben: MIDAS-Modelle und VAR-Zustandsraummodelle. Diese Verfahren haben den Vorteil, dass hochfrequente Informationen, die innerhalb einer Periode hinzukommen, in die Prognose einbezogen werden können. Anhand einer Fallstudie für das deutsche BIP wird gezeigt, dass die neuen Modellklassen genauere Prognosen als die üblichen Zeitreihenmodelle liefern. Die neuen Verfahren werden am ifo Institut zur Kurzfristprognose eingesetzt.

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Article provided by Ifo Institute for Economic Research at the University of Munich in its journal ifo Schnelldienst.

Volume (Year): 62 (2009)
Issue (Month): 21 (November)
Pages: 22-33

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Handle: RePEc:ces:ifosdt:v:62:y:2009:i:21:p:22-33
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