Gomez-Zamudio, Luis M.; Ibarra-Ramírez, Raúl - 2017
This article evaluates the use of financial data sampled at high frequencies to improve short-term forecasts of … quarterly GDP for Mexico. In particular, the mixed data sampling (MIDAS) regression model is employed to incorporate both … suggest that the MIDAS model that incorporates daily financial data lead to improvements for quarterly forecasts of GDP growth …