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The University Of Pennsylvania Models For High-Frequency Macroeconomic Modeling

In: Econometric Forecasting And High-Frequency Data Analysis

Author

Listed:
  • Lawrence R. Klein

    (University of Pennsylvania, Department of Economics, 3718 Locust Walk, Philadelphia, PA 19104, USA)

  • Suleyman Ozmucur

    (University of Pennsylvania, Department of Economics, 3718 Locust Walk, Philadelphia, PA 19104, USA)

Abstract

The following sections are included:IntroductionThe Methodology of the Current Quarter Model (CQM)The Methodology of the Survey CornerConclusionReferences

Suggested Citation

  • Lawrence R. Klein & Suleyman Ozmucur, 2008. "The University Of Pennsylvania Models For High-Frequency Macroeconomic Modeling," World Scientific Book Chapters, in: Roberto S Mariano & Yiu-Kuen Tse (ed.), Econometric Forecasting And High-Frequency Data Analysis, chapter 2, pages 53-91, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812778963_0002
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    Citations

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    Cited by:

    1. Alessandro Girardi & Roberto Golinelli & Carmine Pappalardo, 2017. "The role of indicator selection in nowcasting euro-area GDP in pseudo-real time," Empirical Economics, Springer, vol. 53(1), pages 79-99, August.
    2. Guido Bulligan & Roberto Golinelli & Giuseppe Parigi, 2010. "Forecasting monthly industrial production in real-time: from single equations to factor-based models," Empirical Economics, Springer, vol. 39(2), pages 303-336, October.

    More about this item

    Keywords

    Econometric Forecasting; High-Frequency Data; Time Series; Seasonality; Compound Autoregressive Processes; Affine Processes; Macroeconomic Modeling; Evaluating Forecast Uncertainty; Financial Data Analysis;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory

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