A MIDAS approach to modeling first and second moment dynamics (Q726588): Difference between revisions
From MaRDI portal
m rollbackEdits.php mass rollback Tag: Rollback |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1016/j.jeconom.2016.04.009 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W3125253874 / rank | |||
Normal rank |
Revision as of 19:02, 19 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A MIDAS approach to modeling first and second moment dynamics |
scientific article |
Statements
A MIDAS approach to modeling first and second moment dynamics (English)
0 references
12 July 2016
0 references
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.
0 references
mixed-data-sampling (MIDAS) models
0 references
Bayesian estimation
0 references
stochastic votality
0 references
out-of-sample forecasts
0 references
inflation forecasts
0 references
industrial production
0 references
Gibbs sampling methods
0 references