USING MACRO DATA TO OBTAIN BETTER MICRO FORECASTS

DOI10.1017/S0266466608080237MaRDI QIDQ3632390zbMATH OpenFDO

Authors Jan R. Magnus, Andrey L. Vasnev

Publication date 11 June 2009

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S0266466608080237

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) Monte Carlo methods (65C05) Economic time series analysis (91B84)

Recommendations

• COMBINING FORECASTING PROCEDURES: SOME THEORETICAL RESULTS
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Cites work

• Bayesian Model Averaging for Linear Regression Models
• Bayesian model averaging: A tutorial. (with comments and a rejoinder).
• Combining Micro and Macro Data in Microeconometric Models
• Econometric Analysis of Aggregation in the Context of Linear Prediction Models
• Forecasting the term structure of government bond yields
• Forecasting Using Principal Components From a Large Number of Predictors
• Information Theory and Mixing Least-Squares Regressions
• On the selection of forecasting models
• Pooling of forecasts
• The macroeconomy and the yield curve: a dynamic latent factor approach

Cited in

(3)

• Flow of conjunctural information and forecast of euro area economic activity
• Forecast uncertainty reduction in nonlinear models
• Combining Micro and Macro Data in Microeconometric Models

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