Macroeconomics and the reality of mixed frequency data

DOI10.1016/j.jeconom.2016.04.008zbMath1431.62377OpenAlexW3123321000MaRDI QIDQ726586

Eric Ghysels

Publication date: 12 July 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2016.04.008

Mathematics Subject Classification ID

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

Related Items

Testing for Cointegration with Temporally Aggregated and Mixed‐Frequency Time Series, Hierarchical Regularizers for Mixed-Frequency Vector Autoregressions, Testing for deterministic seasonality in mixed-frequency VARs, Reverse restricted MIDAS model with application to US interest rate forecasts, A Bayesian Framework for Sparse Estimation in High-Dimensional Mixed Frequency Vector Autoregressive Models, Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data, Incorporating overnight and intraday returns into multivariate GARCH volatility models, The rescaled VAR model with an application to mixed-frequency macroeconomic forecasting, Unnamed Item, Measuring, mapping, and uncertainty quantification in the space-time cube, Dynamic panels with MIDAS covariates: nonlinearity, estimation and fit, Testing a large set of zero restrictions in regression models, with an application to mixed frequency Granger causality, Measuring the effects of expectations shocks, A flexible mixed-frequency vector autoregression with a steady-state prior, A MIDAS approach to modeling first and second moment dynamics, Testing for Granger causality in large mixed-frequency VARs, A mixed frequency approach for stock returns and valuation ratios, Frequency Domain Estimation of Continuous Time Cointegrated Models with Mixed Frequency and Mixed Sample Data, Granger Causality Testing in Mixed‐Frequency VARs with Possibly (Co)Integrated Processes, Exact Discrete Representations of Linear Continuous Time Models with Mixed Frequency Data, Computationally efficient inference in large Bayesian mixed frequency VARs, Nowcasting with large Bayesian vector autoregressions, Nowcasting the output gap, Nowcasting in a pandemic using non-parametric mixed frequency VARs, Panel data nowcasting

Uses Software

• partsm
• MIDAS Regressions

Cites Work

• MIDAS Regressions: Further Results and New Directions
• Granger causality and the sampling of economic processes
• Predicting volatility: getting the most out of return data sampled at different frequencies
• Convergence results for maximum likelihood type estimators in multivariable ARMA models
• A MIDAS approach to modeling first and second moment dynamics
• Regression models with mixed sampling frequencies
• Seasonally and approximation errors in rational expectations models
• On periodic and multiple autoregressions
• Forecasting aggregated vector ARMA processes
• Temporal aggregation and spurious instantaneous causality in multiple time series models
• Rational Expectations and the Estimation of Econometric Models: An Alternative Procedure
• Convergence analysis of parametric identification methods
• Forecasting and conditional projection using realistic prior distributions
• State Space Models and MIDAS Regressions
• On Information and Sufficiency
• Maximum Likelihood Estimation of Misspecified Models
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item