Using low frequency information for predicting high frequency variables
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DOI: 10.1016/j.ijforecast.2018.06.004
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- Claudia Foroni & Pierre Guérin & Massimiliano Marcellino, 2015. "Using low frequency information for predicting high frequency variables," Working Paper 2015/13, Norges Bank.
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More about this item
Keywords
Mixed-frequency VAR models; Temporal aggregation; MIDAS models;All these keywords.
JEL classification:
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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