Götz T.B.; Hecq A.W.; Urbain J.R.Y.J. - Graduate School of Business and Economics (GSBE), … - 2014
We extend the repeated observations forecasting ROF analysis of Croushore and Stark 2002 to allow for regressors of possibly higher sampling frequencies than the regressand. For the U.S. GNP quarterly growth rate, we compare the forecasting performances of an AR model with several...