Macroeconomic forecasting evaluation of MIDAS models

DOI10.1007/978-3-031-40209-8_10MaRDI QIDQ6609949zbMATH OpenFDO

Authors Nicolás Bonino-Gayoso, A. García-Hiernaux

Publication date 24 September 2024

Full work available at URL https://doi.org/10.1007/978-3-031-40209-8_10

zbMATH Keywords

forecastingMAFEMIDASmixed-frequency modelsnowcastingRMSFETF-MIDASU-MIDAS

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Economic time series analysis (91B84)

Cites work

• Fast estimation methods for time-series models in state–space form
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• MIDAS Regressions: Further Results and New Directions
• Mixed data sampling (MIDAS) regression models
• Predicting volatility: getting the most out of return data sampled at different frequencies
• State-space methods for time series analysis. Theory, applications and software
• TF-MIDAS: a transfer function based mixed-frequency model
• Unrestricted mixed data sampling (MIDAS): MIDAS regressions with unrestricted lag polynomials

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