Add to ORKGFrequency mismatch has been a problem in econometrics for quite some time. Many monthly economic and financial indicators are normally aggregated to match quarterly macroeconomic series such as GDP when analysed in a statistical model. However, temporal aggregation, although widely accepted, is prone to information loss. To address this issue, mixed frequency modelling was employed by using state space models with time-varying parameters. Quarter-on-quarter growth rate of GDP estimates were first treated as a monthly series with missing observation. Using Kalman filter algorithm, state space models were estimated with eleven monthly economic indicators as exogenous variables. A one-step-ahead predicted value for GDP growth rates was generat...
Many macroeconomic series, such as U.S. real output growth, are sampled quarterly, although potentia...
Many macroeconomic series, such as U.S. real output growth, are sampled quarterly, although potentia...
In this article, we merge two strands from the recent econometric literature. First, factor models b...
Frequency mismatch has been a problem in econometrics for quite some time. Many monthly economic and...
Although many macroeconomic series such as US real output growth are sampled quarterly, many potenti...
<p>This dissertation asks whether frequency misspecification of a New Keynesian model</p><p>results ...
Most macroeconomic activity series such as Swedish GDP growth are collected quarterly while an impor...
Defence date: 7 September 2012; Examining Board: Professor Massimiliano Marcellino, EUI, Supervisor;...
Although many macroeconomic series such as US real output growth are sampled quarterly, many potenti...
This thesis develops a unified framework for forecasting with macroeconomic time series measured ove...
This dissertation investigate the forecasting performance of mixed frequency factor models with mix...
In this paper, we focus on the different methods which have been proposed in the literature to date ...
This paper tackles the mixed-frequency modeling problem from a new perspective. Instead of drawing u...
One of the most attractive data releases by the Japanese statistical system is the quarterly real gr...
The authors propose a new method to forecast macroeconomic variables that combines two existing appr...
Many macroeconomic series, such as U.S. real output growth, are sampled quarterly, although potentia...
Many macroeconomic series, such as U.S. real output growth, are sampled quarterly, although potentia...
In this article, we merge two strands from the recent econometric literature. First, factor models b...
Frequency mismatch has been a problem in econometrics for quite some time. Many monthly economic and...
Although many macroeconomic series such as US real output growth are sampled quarterly, many potenti...
<p>This dissertation asks whether frequency misspecification of a New Keynesian model</p><p>results ...
Most macroeconomic activity series such as Swedish GDP growth are collected quarterly while an impor...
Defence date: 7 September 2012; Examining Board: Professor Massimiliano Marcellino, EUI, Supervisor;...
Although many macroeconomic series such as US real output growth are sampled quarterly, many potenti...
This thesis develops a unified framework for forecasting with macroeconomic time series measured ove...
This dissertation investigate the forecasting performance of mixed frequency factor models with mix...
In this paper, we focus on the different methods which have been proposed in the literature to date ...
This paper tackles the mixed-frequency modeling problem from a new perspective. Instead of drawing u...
One of the most attractive data releases by the Japanese statistical system is the quarterly real gr...
The authors propose a new method to forecast macroeconomic variables that combines two existing appr...
Many macroeconomic series, such as U.S. real output growth, are sampled quarterly, although potentia...
Many macroeconomic series, such as U.S. real output growth, are sampled quarterly, although potentia...
In this article, we merge two strands from the recent econometric literature. First, factor models b...