Forecasting mixed-frequency time series with ECM-MIDAS models

DOI10.1002/FOR.2286MaRDI QIDQ4687501zbMATH OpenOpenAlexFDO

Authors Alain Hecq, Jean-Pierre Urbain, Thomas B. Götz

Publication date 12 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://cris.maastrichtuniversity.nl/ws/files/1011882/guid-c3d501be-442c-43cd-8757-6126cfb565b5-ASSET1.0.pdf

zbMATH Keywords

cointegrated non-stationary time serieserror correction modelover-parametrizationUS inflation rate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)

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Cited in

(11)

• Bayesian MIDAS penalized regressions: estimation, selection, and prediction
• Econometric modeling at mixed frequencies
• Implementing residual-based KPSS tests for cointegration with data subject to temporal aggregation and mixed sampling frequencies
• Estimation of vector error correction models with mixed-frequency data
• Testing for cointegration with temporally aggregated and mixed-frequency time series
• Diffusion index model specification and estimation using mixed frequency datasets
• Granger causality testing in mixed-frequency VARs with possibly (co)integrated processes
• Reverse restricted MIDAS model with application to US interest rate forecasts
• Forecasting inflation rates using daily data: a nonparametric MIDAS approach
• The econometric analysis of mixed frequency data sampling
• Testing for Granger causality in large mixed-frequency VARs

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