Reverse restricted MIDAS model with application to US interest rate forecasts

DOI10.1080/03610918.2018.1563148MaRDI QIDQ5083996zbMATH OpenOpenAlexWikidataFDO

Authors Qifa Xu, Xingxuan Zhuo, Cuixia Jiang, Fang Sun, Xue Huang

Publication date 21 June 2022

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2018.1563148

zbMATH Keywords

MIDASmixed frequency dataRR-MIDASRU-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 actuarial sciences and financial mathematics (62P05) Applications of statistics to economics (62P20)

Recommendations

• Forecasting mixed-frequency time series with ECM-MIDAS models
• Mixed data sampling (MIDAS) regression models
• State Space Models and MIDAS Regressions
• MIDAS Regressions: Further Results and New Directions
• Bayesian MIDAS penalized regressions: estimation, selection, and prediction

Cites work

• Forecasting mixed-frequency time series with ECM-MIDAS models
• Implementing residual-based KPSS tests for cointegration with data subject to temporal aggregation and mixed sampling frequencies
• Macroeconomics and the reality of mixed frequency data
• MIDAS Regressions: Further Results and New Directions
• Predicting volatility: getting the most out of return data sampled at different frequencies
• Prediction of temporally aggregated systems involving both stock and flow variables
• Regression models with mixed sampling frequencies
• Regression Quantiles
• State Space Models and MIDAS Regressions
• The Integration of Artificial Neural Networks and Text Mining to Forecast Gold Futures Prices

Describes a project that uses

Uses Software

• midasr

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