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Forecasting with mixed-frequency time series models

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  • Wohlrabe, Klaus

Abstract

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  • Wohlrabe, Klaus, 2009. "Forecasting with mixed-frequency time series models," Munich Dissertations in Economics 9681, University of Munich, Department of Economics.
    • Handle: RePEc:lmu:dissen:9681
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    File URL: https://edoc.ub.uni-muenchen.de/9681/1/wohlrabe_klaus.pdf
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    Cited by:

    1. Kai Carstensen & Steffen Henzel & Johannes Mayr & Klaus Wohlrabe, 2009. "IFOCAST: Methoden der ifo-Kurzfristprognose," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 62(23), pages 15-28, December.
    2. Götz, Thomas B. & Knetsch, Thomas A., 2017. "Google data in bridge equation models for German GDP," Discussion Papers 18/2017, Deutsche Bundesbank.
    3. Claudia Foroni & Massimiliano Marcellino, 2013. "A survey of econometric methods for mixed-frequency data," Economics Working Papers ECO2013/02, European University Institute.
    4. Klaus Wohlrabe, 2011. "Konstruktion von Indikatoren zur Analyse der wirtschaftlichen Aktivität in den Dienstleistungsbereichen," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 55, January.
    5. Christian Seiler & Klaus Wohlrabe, 2013. "Das ifo Geschäftsklima und die deutsche Konjunktur," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 66(18), pages 17-21, October.
    6. Schumacher Christian, 2011. "Forecasting with Factor Models Estimated on Large Datasets: A Review of the Recent Literature and Evidence for German GDP," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 231(1), pages 28-49, February.
    7. Wolfgang Nierhaus & Timo Wollmershäuser, 2016. "ifo Konjunkturumfragen und Konjunkturanalyse: Band II," ifo Forschungsberichte, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 72, January.
    8. Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2011. "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area," International Journal of Forecasting, Elsevier, vol. 27(2), pages 529-542.
    9. Heinisch, Katja, 2016. "A real-time analysis on the importance of hard and soft data for nowcasting German GDP," Annual Conference 2016 (Augsburg): Demographic Change 145864, Verein für Socialpolitik / German Economic Association.
    10. Klaus Wohlrabe, 2009. "Makroökonomische Prognosen mit gemischten Frequenzen," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 62(21), pages 22-33, November.
    11. Francisco Blasques & Siem Jan Koopman & Max Mallee, 2014. "Low Frequency and Weighted Likelihood Solutions for Mixed Frequency Dynamic Factor Models," Tinbergen Institute Discussion Papers 14-105/III, Tinbergen Institute.
    12. Heinisch, Katja & Scheufele, Rolf, 2017. "Should forecasters use real-time data to evaluate leading indicator models for GDP prediction? German evidence," IWH Discussion Papers 5/2017, Halle Institute for Economic Research (IWH).
    13. repec:jss:jstsof:v:072:i04 is not listed on IDEAS
    14. Klaus Wohlrabe, 2012. "Prognose des Dienstleistungssektors in Deutschland," ifo Schnelldienst, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, vol. 65(01), pages 31-39, January.

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    Keywords

    mixed-frequency; forecasting; MIDAS; state-space;

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