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http://hdl.handle.net/10419/62843
  
Title:Macroeconomic forecasting with mixed frequency data: Forecasting US output growth PDF Logo
Authors:Clements, Michael P.
Galvão, Ana Beatriz
Marcellino, Massimiliano
Issue Date:2007
Series/Report no.:Working Paper, Department of Economics, Queen Mary, University of London 616
Abstract:Many macroeconomic series such as US real output growth are sampled quarterly, although potentially useful predictors are often observed at a higher frequency. We look at whether a mixed data-frequency sampling (MIDAS) approach can improve forecasts of output growth. The MIDAS approach is compared to other ways of making use of monthly data to predict quarterly output growth. The MIDAS specification used in the comparison employs a novel way of including an autoregressive term. We find that the use of monthly data on the current quarter leads to significant improvement in forecasting current and next quarter output growth, and that MIDAS is an effective way of exploiting monthly data compared to alternative methods. We also exploit the best method to use the monthly vintages of the indicators for real-time forecasting.
Subjects:Mixed data frequency
Coincident indicators
Real-time forecasting
US output growth
JEL:C51
C53
Document Type:Working Paper
Appears in Collections:Working Paper Series, School of Economics and Finance, Queen Mary, University of London

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