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A comparison of mean squared error approximations for a small estimated state space model
Schumacher, Christian - In: Allgemeines statistisches Archiv : AStA ; journal of … 88 (2004) 3, pp. 327-345
Persistent link: https://www.econbiz.de/10002159360
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MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area
Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - In: International Journal of Forecasting 27 (2011) 2, pp. 529-542
This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model specification in the presence of mixed-frequency data, e.g. monthly and quarterly series. MIDAS leads to parsimonious models which are based on exponential lag polynomials for the...
Persistent link: https://www.econbiz.de/10008871388
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MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area
Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - In: International Journal of Forecasting 27 (2011) 2, pp. 529-542
This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model specification in the presence of mixed-frequency data, e.g. monthly and quarterly series. MIDAS leads to parsimonious models which are based on exponential lag polynomials for the...
Persistent link: https://www.econbiz.de/10011051460
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Real-time forecasting of German GDP based on a large factor model with monthly and quarterly data
Schumacher, Christian; Breitung, Jörg - In: International Journal of Forecasting 24 (2008) 3, pp. 386-398
Persistent link: https://www.econbiz.de/10005429490
Cover Image
A comparison of mean squared error approximations for a small estimated state space model
Schumacher, Christian - In: Allgemeines statistisches Archiv : AStA ; journal of … 88 (2004) 3, pp. 327-346
Persistent link: https://www.econbiz.de/10006550017