Forecasting fiscal time series using mixed frequency data

Thomas Warmedinger, Joan Paredes and Stylianos Asimakopoulos

No 1550, Working Paper Series from European Central Bank

Abstract: Given the increased importance of fiscal monitoring, this study amends the existing literature in the field of intra-annual fiscal data in two main dimensions. First, we use quarterly fiscal data to forecast a very disaggregated set of fiscal series at annual frequency. This makes the analysis useful in the typical forecasting environment of large institutions, which employ a "bottom-up" or disaggregated framework. Aside from this practical type of consideration, we find that forecasts for total revenues and expenditures via their subcomponents can actually result more accurate than a direct forecast of the aggregate. Second, we employ a Mixed Data Sampling (MiDaS) approach to analyze mixed frequency fiscal data, which is a methodological novelty. It is shown that MiDaS is the best approach for the analysis of mixed frequency fiscal data compared to two alternative approaches. The results regarding the information content of quarterly fiscal data confirm previous work that such data should be taken into account as it becomes available throughout the year for improving the end-year forecast. For instance, once data for the third quarter is incorporated, the annual forecast becomes very accurate (very close to actual data). We also benchmark against the European Commission's forecast and find the results fare favorably, particularly when considering that they stem from a simple univariate framework. JEL Classification: C22, C53, E62, H68

Keywords: aggregated vs. disaggregated forecast; fiscal policy; mixed frequency data; short-term forecasting (search for similar items in EconPapers)
Date: 2013-05
New Economics Papers: this item is included in nep-ets, nep-for and nep-pbe
Note: 375746
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

Downloads: (external link)
https://www.ecb.europa.eu//pub/pdf/scpwps/ecbwp1550.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ecb:ecbwps:20131550

Access Statistics for this paper

More papers in Working Paper Series from European Central Bank 60640 Frankfurt am Main, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Official Publications ().