Proyecciones macroeconómicas con datos en frecuencias mixtas. Modelos ADL-MIDAS, U-MIDAS y TF-MIDAS con aplicaciones para Uruguay

Santiago Etchegaray Alvarez ()
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Santiago Etchegaray Alvarez: Banco Central del Uruguay

No 2022004, Documentos de trabajo from Banco Central del Uruguay

Abstract: This paper estimates, evaluates and compares the nowcasting and forecast¬ing performance of ADL-MIDAS, U-MIDAS and TF-MIDAS models. To do so, 25 monthly series are considered as possible indicators of GDP growth and the forecast accuracy is assessed in two overlapping periods: one period that includes the COVID-19 pandemic and another that excludes it. When the period affected by the pandemic is considered TFMIDAS results the most precise model, while if this period is excluded from the evaluation there is no difference in the predictive ability between the three models considered. Then different forms of nonparametric forecasts combinations are evaluated, obtaining similar results with most of them and, in general, outperforming when the best model is the only one considered.

Keywords: Macroeconomic forecasting; Mixed frequency; TF-MIDAS; U-MIDAS; ADL-MIDAS; Nowcasting; Forecasts combination (search for similar items in EconPapers)
JEL-codes: C22 C32 C53 E37 (search for similar items in EconPapers)
Pages: 35 pages
Date: 2022
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