Article

Forecasting with Mixed-Frequency Data

Elena Andreou, Eric Ghysels and Andros Kourtellos

in The Oxford Handbook of Economic Forecasting

Published in print July 2011 | ISBN: 9780195398649
Published online September 2012 | | DOI: http://dx.doi.org/10.1093/oxfordhb/9780195398649.013.0009

Series: Oxford Handbooks

 Forecasting with Mixed-Frequency Data

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This article, which presents a regression framework that relates the quarterly macro variable (such as GDP growth) to higher-frequency variables in a relatively simple, parsimonious way, is organized as follows. Section 2 covers mixed data sampling (MIDAS) regressions. Section 3 covers so-called nowcasting, and the Kalman filter and its relationship with MIDAS regressions. The final section discusses volatility models using mixed frequencies.

Keywords: MIDAS regressions; macroeconomic variables; mixed data sampling; nowcasting; Kalman filter; volatility models

Article.  8577 words. 

Subjects: Economics ; Econometric and Statistical Methods and Methodology: General

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