Macroeconomic forecasting evaluation of MIDAS models

DOI10.1007/978-3-031-40209-8_10MaRDI QIDQ6609949

Alfredo García-Hiernaux, Nicolás Bonino-Gayoso

Publication date: 24 September 2024

zbMATH Keywords

forecastingnowcastingMIDASmixed-frequency modelsTF-MIDASU-MIDASRMSFEMAFE

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Cites Work

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• MIDAS Regressions: Further Results and New Directions
• Predicting volatility: getting the most out of return data sampled at different frequencies
• Mixed data sampling (MIDAS) regression models
• TF-MIDAS: a transfer function based mixed-frequency model
• Fast estimation methods for time-series models in state–space form
• Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials

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