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Mixed Data Sampling Modelling (MIDAS): Application to the forecasting of French economic growthrates

Author

Listed:
  • Paul Rosele Chim

    (UG - Université de Guyane, MINEA - UG - Université de Guyane)

  • Hisseine Saad Mahamat

    (LAMETA - Laboratoire Montpelliérain d'Économie Théorique et Appliquée - UM1 - Université Montpellier 1 - UPVM - Université Paul-Valéry - Montpellier 3 - INRA - Institut National de la Recherche Agronomique - Montpellier SupAgro - Centre international d'études supérieures en sciences agronomiques - UM - Université de Montpellier - CNRS - Centre National de la Recherche Scientifique - Montpellier SupAgro - Institut national d’études supérieures agronomiques de Montpellier)

Abstract

The short-termanalysis of a country'seconomy in a context of globalisation and interdependenceis a verydelicate and complexexercise for the management of economic and monetarypolicy. Indeed, managers and politicaldecision-makersscrutinize the economic conditions of the moment, make anticipations, and adapttheirgovernanceaccordingly. Thus, the evolution of the parametersthat influence the rate of growth of the Gross Domestic Product (GDP) fuels passions and animatesdebates. Time seriesfrom the real and financialeconomy do not have the samecharacteristics, both in terms of their sampling frequency and theirpredictive contribution. This raises questions about the use of thesedata: -Which temporal aggregationis the mostrelevant? -Whatindicatorsshouldbeconsidered? -What model can beconstructedfor a givenestimate, at what temporal frequency? The purpose of ourstudyis to answerthese questions by evokingfundamentalelements of econometric estimation in order to discern the problems and issues at stake. Weattempt a new model construction and applyit to the GDP data of the French economy, the unemployment rate and the CAC 40 stock market index from the 1st quarter of 2010 to the 3rd quarter of 2012.

Suggested Citation

  • Paul Rosele Chim & Hisseine Saad Mahamat, 2020. "Mixed Data Sampling Modelling (MIDAS): Application to the forecasting of French economic growthrates," Post-Print hal-03921626, HAL.
    • Handle: RePEc:hal:journl:hal-03921626
    DOI: 10.9790/487X-2210042844
    as

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