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

zbMATH Keywords

forecastingnowcastingMIDASmixed-frequency modelsTF-MIDASU-MIDASRMSFEMAFE

Mathematics Subject Classification ID

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

Cites work

• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Fast estimation methods for time-series models in state–space form
• 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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