Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US Output Growth and Inflation
نویسندگان
چکیده
منابع مشابه
Has Economic Models’ Forecasting Performance for US Output Growth and Inflation Changed Over Time, and When?
We evaluate various economic models’ relative performance in forecasting future US output growth and inflation on a monthly basis. Our approach takes into account the possibility that the models’ relative performance can be varying over time. We show that the models’ relative performance has, in fact, changed dramatically over time, both for revised and realtime data, and investigate possible f...
متن کاملHave Economic Models’ Forecasting Performance for US Output Growth and Inflation Changed Over Time, and When?
We evaluate various economic models’ relative performance in forecasting future US output growth and inflation on a monthly basis. Our approach takes into account the possibility that the models’ relative performance can be varying over time. We show that the models’ relative performance has, in fact, changed dramatically over time, both for revised and realtime data, and investigate possible f...
متن کاملModeling and Forecasting Iranian Inflation with Time Varying BVAR Models
This paper investigates the forecasting performance of different time-varying BVAR models for Iranian inflation. Forecast accuracy of a BVAR model with Litterman’s prior compared with a time-varying BVAR model (a version introduced by Doan et al., 1984); and a modified time-varying BVAR model, where the autoregressive coefficients are held constant and only the deterministic components are allo...
متن کاملForecasting Manufacturing Output Growth Using Firm-Level Survey Data∗
Traditionally forecasts of macroeconomic aggregates are extracted from prospective qualitative survey data by relating official data on the aggregate to both the proportion of survey respondents who are “optimists” and the proportion who are “pessimists”. But there is no reason to focus on these proportions to the exclusion of other possible means of aggregating and quantifying the underlying p...
متن کاملVolatility Forecasting with High Frequency Data
The daily volatility is typically unobserved but can be estimated using high frequent tick-by-tick data. In this paper, we study the problem of forecasting the unobserved volatility using past values of measured volatility. Specifically, we use daily estimates of volatility based on high frequency data, called realized variance, and construct the optimal linear forecast of future volatility. Ut...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.878445