AbstractsMathematics

MIDAS

by Hanna Lindgren




Institution: Uppsala University
Department:
Year: 2015
Keywords: MIDAS; GDP; forecasting; mixed-frequency data; Natural Sciences; Mathematics; Probability Theory and Statistics; Naturvetenskap; Matematik; Sannolikhetsteori och statistik; Fristående kurs; Freestanding course; Statistics; Statistik
Record ID: 1370798
Full text PDF: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-242554


Abstract

We forecast US GDP sampled quarterly over horizons ranging from one quarter to three years. Using AR-MIDAS models we study three lag polynomials: the Almon lag, the exponential Almon lag and the beta lag, and nine macroeconomic variables, sampled weekly or monthly. Our benchmark model is an AR(1) and we compare forecast errors using RMSE. In all instances the AR-MIDAS achieves lower forecast errors compared to the benchmark model. The predictor sampled weekly generally performs better compared to other predictors, which are sampled monthly.