Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US Output Growth
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Evan F. Koenig & Sheila Dolmas & Jeremy Piger, 2003.
"The Use and Abuse of Real-Time Data in Economic Forecasting,"
The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 618-628, August.
- Sheila Dolmas & Evan F. Koenig & Jeremy M. Piger, 2000. "The use and abuse of \"real-time\" data in economic forecasting," Working Papers 0004, Federal Reserve Bank of Dallas.
- Sheila Dolmas & Evan F. Koenig & Jeremy M. Piger, 2002. "The use and abuse of 'real-time' data in economic forecasting," Working Papers 2001-015, Federal Reserve Bank of St. Louis.
- Sheila Dolmas & Evan F. Koenig & Jeremy M. Piger, 2000. "The use and abuse of \"real-time\" data in economic forecasting," International Finance Discussion Papers 684, Board of Governors of the Federal Reserve System (U.S.).
- West, Kenneth D, 1996.
"Asymptotic Inference about Predictive Ability,"
Econometrica, Econometric Society, vol. 64(5), pages 1067-1084, September.
- West, K.D., 1994. "Asymptotic Inference About Predictive Ability," Working papers 9417, Wisconsin Madison - Social Systems.
- Kenneth D. West, 1994. "Asymptotic Inference About Predictive Ability," Macroeconomics 9410002, University Library of Munich, Germany.
- Todd Clark & Michael McCracken, 2005. "Evaluating Direct Multistep Forecasts," Econometric Reviews, Taylor & Francis Journals, vol. 24(4), pages 369-404.
- Karamouzis, Nicholas & Lombra, Raymond, 1989.
"Federal reserve policymaking: an overview and analysis of the policy process,"
Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 30(1), pages 7-62, January.
- Karamouzis, N. & Lombra, R., 1988. "Federal Reserve Policy Making: An Overview And Analysis Of The Policy Process," Papers 0-88-8, Pennsylvania State - Department of Economics.
- Karamouzis, N. & Lombra, R., 1989. "Federal Reserve Policymaking: An Overview And Analisys Of The Policy Process," Papers 8-88-5, Pennsylvania State - Department of Economics.
- Clark, Todd E. & McCracken, Michael W., 2009.
"Tests of Equal Predictive Ability With Real-Time Data,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 441-454.
- Todd E. Clark & Michael W. McCracken, 2007. "Tests of equal predictive ability with real-time data," Research Working Paper RWP 07-06, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Michael W. McCracken, 2008. "Tests of equal predictive ability with real-time data," Working Papers 2008-029, Federal Reserve Bank of St. Louis.
- Daniel M. Chin & Preston J. Miller, 1996. "Using monthly data to improve quarterly model forecasts," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 20(Spr), pages 16-33.
- West, Kenneth D & McCracken, Michael W, 1998.
"Regression-Based Tests of Predictive Ability,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 817-840, November.
- West, K.D. & McCracken, M.W., 1997. "Regression-Based Tests of Predictive Ability," Working papers 9710, Wisconsin Madison - Social Systems.
- Kenneth D. West & Michael W. McCracken, 1998. "Regression-Based Tests of Predictive Ability," NBER Technical Working Papers 0226, National Bureau of Economic Research, Inc.
- Athanasios Orphanides, 2001.
"Monetary Policy Rules Based on Real-Time Data,"
American Economic Review, American Economic Association, vol. 91(4), pages 964-985, September.
- Athanasios Orphanides, 1998. "Monetary policy rules based on real-time data," Finance and Economics Discussion Series 1998-03, Board of Governors of the Federal Reserve System (U.S.).
- Yi Zheng & James Rossiter, 2006. "Using Monthly Indicators to Predict Quarterly GDP," Staff Working Papers 06-26, Bank of Canada.
- Hendry, David F & Mizon, Grayham E, 1978. "Serial Correlation as a Convenient Simplification, not a Nuisance: A Comment on a Study of the Demand for Money by the Bank of England," Economic Journal, Royal Economic Society, vol. 88(351), pages 549-563, September.
- Francis X. Diebold & Jose A. Lopez, 1995.
"Forecast evaluation and combination,"
Research Paper
9525, Federal Reserve Bank of New York.
- Francis X. Diebold & Jose A. Lopez, 1996. "Forecast Evaluation and Combination," NBER Technical Working Papers 0192, National Bureau of Economic Research, Inc.
- Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2004.
"The MIDAS Touch: Mixed Data Sampling Regression Models,"
University of California at Los Angeles, Anderson Graduate School of Management
qt9mf223rs, Anderson Graduate School of Management, UCLA.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," CIRANO Working Papers 2004s-20, CIRANO.
- Joutz, Fred & Stekler, H. O., 2000. "An evaluation of the predictions of the Federal Reserve," International Journal of Forecasting, Elsevier, vol. 16(1), pages 17-38.
- Faust, Jon & Rogers, John H. & H. Wright, Jonathan, 2003.
"Exchange rate forecasting: the errors we've really made,"
Journal of International Economics, Elsevier, vol. 60(1), pages 35-59, May.
- Jon Faust & John H. Rogers & Jonathan H. Wright, 2001. "Exchange rate forecasting: the errors we've really made," International Finance Discussion Papers 714, Board of Governors of the Federal Reserve System (U.S.).
- G. Elliott & C. Granger & A. Timmermann (ed.), 2006. "Handbook of Economic Forecasting," Handbook of Economic Forecasting, Elsevier, edition 1, volume 1, number 1.
- Croushore, Dean & Stark, Tom, 2001.
"A real-time data set for macroeconomists,"
Journal of Econometrics, Elsevier, vol. 105(1), pages 111-130, November.
- Dean Croushore & Tom Stark, 1999. "A real-time data set for macroeconomists," Working Papers 99-4, Federal Reserve Bank of Philadelphia.
- Kilian, Lutz, 1999. "Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 491-510, Sept.-Oct.
- Stark, Tom & Croushore, Dean, 2002.
"Forecasting with a real-time data set for macroeconomists,"
Journal of Macroeconomics, Elsevier, vol. 24(4), pages 507-531, December.
- Dean Croushore & Tom Stark, 2001. "Forecasting with a real-time data set for macroeconomists," Working Papers 01-10, Federal Reserve Bank of Philadelphia.
- Tom Stark and Dean Croushore, 2001. "Forecasting with a Real-Time Data Set for Macroeconomists," Computing in Economics and Finance 2001 258, Society for Computational Economics.
- James H. Stock & Mark W. Watson, 2003. "How did leading indicator forecasts perform during the 2001 recession?," Economic Quarterly, Federal Reserve Bank of Richmond, vol. 89(Sum), pages 71-90.
- Jean Boivin & Serena Ng, 2005.
"Understanding and Comparing Factor-Based Forecasts,"
International Journal of Central Banking, International Journal of Central Banking, vol. 1(3), December.
- Jean Boivin & Serena Ng, 2005. "Understanding and Comparing Factor-Based Forecasts," NBER Working Papers 11285, National Bureau of Economic Research, Inc.
- Boivin, Jean & Ng, Serena, 2005. "Understanding and Comparing Factor-Based Forecasts," MPRA Paper 836, University Library of Munich, Germany.
- Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2006.
"Predicting volatility: getting the most out of return data sampled at different frequencies,"
Journal of Econometrics, Elsevier, vol. 131(1-2), pages 59-95.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," CIRANO Working Papers 2004s-19, CIRANO.
- Eric Ghysels & Pedro Santa-Clara & Rossen Valkanov, 2004. "Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies," NBER Working Papers 10914, National Bureau of Economic Research, Inc.
- Schumacher, Christian & Breitung, Jörg, 2006. "Real-time forecasting of GDP based on a large factor model with monthly and quarterly data," Discussion Paper Series 1: Economic Studies 2006,33, Deutsche Bundesbank.
- Ghysels, Eric & Wright, Jonathan H., 2009.
"Forecasting Professional Forecasters,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 504-516.
- Eric Ghysels & Jonathan H. Wright, 2006. "Forecasting professional forecasters," Finance and Economics Discussion Series 2006-10, Board of Governors of the Federal Reserve System (U.S.).
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Thomas B. Götz & Alain Hecq & Jean‐Pierre Urbain, 2014.
"Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 33(3), pages 198-213, April.
- Hecq, A.W. & Götz, T.B. & Urbain, J.R.Y.J., 2012. "Forecasting Mixed Frequency Time Series with ECM-MIDAS Models," Research Memorandum 012, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP1," Working Papers 333, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Pedregal, D.J. & Dejuán, O. & Gómez, N. & Tobarra, M.A., 2009. "Modelling demand for crude oil products in Spain," Energy Policy, Elsevier, vol. 37(11), pages 4417-4427, November.
- Marcellino, Massimiliano & Schumacher, Christian, 2007.
"Factor-MIDAS for now- and forecasting with ragged-edge data: a model comparison for German GDP,"
Discussion Paper Series 1: Economic Studies
2007,34, Deutsche Bundesbank.
- Massimiliano Marcellino & Christian Schumacher, 2008. "Factor-MIDAS for Now- and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP," Economics Working Papers ECO2008/16, European University Institute.
- Schumacher, Christian & Marcellino, Massimiliano, 2008. "Factor-MIDAS for now- and forecasting with ragged-edge data: A model comparison for German GDP," CEPR Discussion Papers 6708, C.E.P.R. Discussion Papers.
- Diego J. Pedregal & Javier J. Pérez & Antonio Sánchez Fuentes, 2014. "A Tookit to strengthen Government," Hacienda Pública Española / Review of Public Economics, IEF, vol. 211(4), pages 117-146, December.
- 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.
- Pérez, Javier J. & Pedregal, Diego J., 2008. "Should quarterly government finance statistics be used for fiscal surveillane in Europe?," Working Paper Series 937, European Central Bank.
- Bhaghoe, Sailesh & Ooft, Gavin, 2021. "Nowcasting Quarterly GDP Growth in Suriname with Factor-MIDAS and Mixed-Frequency VAR Models," Studies in Applied Economics 176, The Johns Hopkins Institute for Applied Economics, Global Health, and the Study of Business Enterprise.
- Diego J. Pedregal & Javier J. Pérez & A. Jesús Sánchez-Fuentes, 2014. "A toolkit to strengthen government budget surveillance," Working Papers 1416, Banco de España.
- Schumacher, Christian & Breitung, Jörg, 2008. "Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data," International Journal of Forecasting, Elsevier, vol. 24(3), pages 386-398.
- Barhoumi, K. & Brunhes-Lesage, V. & Darné, O. & Ferrara, L. & Pluyaud, B. & Rouvreau, B., 2008. "Monthly forecasting of French GDP: A revised version of the OPTIM model," Working papers 222, Banque de France.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Michael P. Clements & Ana Beatriz Galvão, 2007.
"Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US Output Growth,"
Working Papers
616, Queen Mary University of London, School of Economics and Finance.
- Michael P. Clements & Ana Beatriz Galvão, 2007. "Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US Output Growth," Working Papers 616, Queen Mary University of London, School of Economics and Finance.
- Clements, Michael P. & Galvao, Ana Beatriz, 2006.
"Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US output growth and inflation,"
Economic Research Papers
269743, University of Warwick - Department of Economics.
- Clements, Michael P & Galvão, Ana Beatriz, 2006. "Macroeconomic Forecasting with Mixed Frequency Data : Forecasting US output growth and inflation," The Warwick Economics Research Paper Series (TWERPS) 773, University of Warwick, Department of Economics.
- Michael P. Clements & Ana Beatriz Galvao, 2009.
"Forecasting US output growth using leading indicators: an appraisal using MIDAS models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1187-1206.
- Michael P. Clements & Ana Beatriz Galvão, 2009. "Forecasting US output growth using leading indicators: an appraisal using MIDAS models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 24(7), pages 1187-1206, November.
- Michael P. Clements & David I. Harvey, 2010.
"Forecast encompassing tests and probability forecasts,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(6), pages 1028-1062.
- Clements, Michael P. & Harvey, David I., 2006. "Forecast Encompassing Tests and Probability Forecasts," Economic Research Papers 269744, University of Warwick - Department of Economics.
- Clements, Michael P & Harvey, David I, 2006. "Forecast Encompassing Tests and Probability Forecasts," The Warwick Economics Research Paper Series (TWERPS) 774, University of Warwick, Department of Economics.
- Galvão, Ana Beatriz, 2013.
"Changes in predictive ability with mixed frequency data,"
International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
- Ana Beatriz Galvão, 2007. "Changes in Predictive Ability with Mixed Frequency Data," Working Papers 595, Queen Mary University of London, School of Economics and Finance.
- Clements, Michael P. & Beatriz Galvao, Ana, 2010.
"Real-time Forecasting of Inflation and Output Growth in the Presence of Data Revisions,"
Economic Research Papers
270771, University of Warwick - Department of Economics.
- Clements, Michael P. & Galvão, Ana Beatriz, 2010. "Real-time Forecasting of Inflation and Output Growth in the Presence of Data Revisions," The Warwick Economics Research Paper Series (TWERPS) 953, University of Warwick, Department of Economics.
- David Hendry & Michael P. Clements, 2010. "Forecasting from Mis-specified Models in the Presence of Unanticipated Location Shifts," Economics Series Working Papers 484, University of Oxford, Department of Economics.
- Clements, Michael P. & Beatriz Galvão, Ana, 2010.
"First announcements and real economic activity,"
European Economic Review, Elsevier, vol. 54(6), pages 803-817, August.
- Clements, Michael P. & Beatriz Galvao, Ana, 2008. "First Announcements and Real Economic Activity," Economic Research Papers 271314, University of Warwick - Department of Economics.
- Clements, Michael P. & Galvão, Ana Beatriz, 2009. "First Announcements and Real Economic Activity," The Warwick Economics Research Paper Series (TWERPS) 885, University of Warwick, Department of Economics.
- Clements Michael P., 2012. "Forecasting U.S. Output Growth with Non-Linear Models in the Presence of Data Uncertainty," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(1), pages 1-27, January.
- Barbara Rossi, 2019.
"Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them,"
Economics Working Papers
1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
- Barbara Rossi, 2019. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," Working Papers 1162, Barcelona School of Economics.
- Rossi, Barbara, 2020. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," CEPR Discussion Papers 14472, C.E.P.R. Discussion Papers.
- Clark, Todd & McCracken, Michael, 2013.
"Advances in Forecast Evaluation,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1107-1201,
Elsevier.
- Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers (Old Series) 1120, Federal Reserve Bank of Cleveland.
- Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers 2011-025, Federal Reserve Bank of St. Louis.
- Duarte, Cláudia & Rodrigues, Paulo M.M. & Rua, António, 2017. "A mixed frequency approach to the forecasting of private consumption with ATM/POS data," International Journal of Forecasting, Elsevier, vol. 33(1), pages 61-75.
- Raffaella Giacomini & Barbara Rossi, 2013. "Forecasting in macroeconomics," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 17, pages 381-408, Edward Elgar Publishing.
- Huiwen Lai & Eric C. Y. Ng, 2020. "On business cycle forecasting," Frontiers of Business Research in China, Springer, vol. 14(1), pages 1-26, December.
- Clark, Todd E. & McCracken, Michael W., 2009.
"Tests of Equal Predictive Ability With Real-Time Data,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 441-454.
- Todd E. Clark & Michael W. McCracken, 2007. "Tests of equal predictive ability with real-time data," Research Working Paper RWP 07-06, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Michael W. McCracken, 2008. "Tests of equal predictive ability with real-time data," Working Papers 2008-029, Federal Reserve Bank of St. Louis.
- Dean Croushore, 2011.
"Frontiers of Real-Time Data Analysis,"
Journal of Economic Literature, American Economic Association, vol. 49(1), pages 72-100, March.
- Dean Croushore, 2008. "Frontiers of real-time data analysis," Working Papers 08-4, Federal Reserve Bank of Philadelphia.
- Molodtsova, Tanya & Nikolsko-Rzhevskyy, Alex & Papell, David H., 2008. "Taylor rules with real-time data: A tale of two countries and one exchange rate," Journal of Monetary Economics, Elsevier, vol. 55(Supplemen), pages 63-79, October.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2015.
"Realtime nowcasting with a Bayesian mixed frequency model with stochastic volatility,"
Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 178(4), pages 837-862, October.
- Andrea Carriero & Todd E. Clark & Massimiliano Marcellino, 2012. "Real-time nowcasting with a Bayesian mixed frequency model with stochastic volatility," Working Papers (Old Series) 1227, Federal Reserve Bank of Cleveland.
- Marcellino, Massimiliano & Carriero, Andrea & Clark, Todd, 2013. "Real-Time Nowcasting with a Bayesian Mixed Frequency Model with Stochastic Volatility," CEPR Discussion Papers 9312, C.E.P.R. Discussion Papers.
- Barbara Rossi, 2013.
"Exchange Rate Predictability,"
Journal of Economic Literature, American Economic Association, vol. 51(4), pages 1063-1119, December.
- Barbara Rossi, 2013. "Exchange Rate Predictability," Working Papers 690, Barcelona School of Economics.
- Barbara Rossi, 2013. "Exchange rate predictability," Economics Working Papers 1369, Department of Economics and Business, Universitat Pompeu Fabra.
- Rossi, Barbara, 2013. "Exchange Rate Predictability," CEPR Discussion Papers 9575, C.E.P.R. Discussion Papers.
- Rossi, Barbara, 2013.
"Advances in Forecasting under Instability,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324,
Elsevier.
- Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
More about this item
Keywords
Mixed data frequency; Coincident indicators; Real-time forecasting; US output growth;All these keywords.
JEL classification:
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:qmw:qmwecw:616. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Nicholas Owen (email available below). General contact details of provider: https://edirc.repec.org/data/deqmwuk.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.