A MIDAS approach to modeling first and second moment dynamics (Q726588): Difference between revisions
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Revision as of 18:41, 19 March 2024
scientific article
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English | A MIDAS approach to modeling first and second moment dynamics |
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A MIDAS approach to modeling first and second moment dynamics (English)
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12 July 2016
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In this paper the authors generalize the conventional regression specification to account for MIDAS effects in the votality equation. The Bayesian modeling approach offers several advantages in this approach, and it is discussed how to generate draws from the predictive density using Gibbs sampling methods. Empirical applications are considered and different forecast combination schemes are covered in this paper. Results observed suggest that model combination schemes assign weight to MIDAS-in-votality models and produce consistent gains in out-of-sample predictive performance.
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mixed-data-sampling (MIDAS) models
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Bayesian estimation
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stochastic votality
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out-of-sample forecasts
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inflation forecasts
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industrial production
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Gibbs sampling methods
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