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Linking series generated at different frequencies This work is part of a PhD dissertation presented at the University of California, San Diego (1999)

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Listed:
  • Namwon Hyung

    (Department of Economics, University of Seoul, Seoul, Korea)

  • Clive W.J. Granger

    (Department of Economics, University of California, San Diego, California, USA)

Abstract

This is a report on our studies of the systematical use of mixed-frequency datasets. We suggest that the use of high-frequency data in forecasting economic aggregates can increase the accuracy of forecasts. The best way of using this information is to build a single model that relates the data of all frequencies, for example, an ARMA model with missing observations. As an application of linking series generated at different frequencies, we show that the use of a monthly industrial production index improves the predictability of the quarterly GNP. Copyright © 2008 John Wiley & Sons, Ltd.

Suggested Citation

  • Namwon Hyung & Clive W.J. Granger, 2008. "Linking series generated at different frequencies This work is part of a PhD dissertation presented at the University of California, San Diego (1999)," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 95-108.
    • Handle: RePEc:jof:jforec:v:27:y:2008:i:2:p:95-108
    DOI: 10.1002/for.1042
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    References listed on IDEAS

    as
    1. Luis C. Nunes, 2005. "Nowcasting quarterly GDP growth in a monthly coincident indicator model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 575-592.
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    6. C. W. J. Granger, 1998. "Extracting information from mega‐panels and high‐frequency data," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 52(3), pages 258-272, November.
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    Cited by:

    1. Pedregal, Diego J. & Pérez, Javier J., 2010. "Should quarterly government finance statistics be used for fiscal surveillance in Europe?," International Journal of Forecasting, Elsevier, vol. 26(4), pages 794-807, October.
    2. Qian, Hang, 2013. "Vector Autoregression with Mixed Frequency Data," MPRA Paper 47856, University Library of Munich, Germany.
    3. Qian, Hang, 2012. "A Flexible State Space Model and its Applications," MPRA Paper 38455, University Library of Munich, Germany.
    4. Klaus Wohlrabe, 2009. "Macroeconomic forecasting with mixed frequencies," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 62(21), pages 22-33, November.

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