EconPapers    
Economics at your fingertips  
 

Pooling versus model selection for nowcasting with many predictors: An application to German GDP

Vladimir Kuzin, Massimiliano Marcellino and Christian Schumacher ()

No 7197, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: This paper discusses pooling versus model selection for now- and forecasting in the presence of model uncertainty with large, unbalanced datasets. Empirically, unbalanced data is pervasive in economics and typically due to different sampling frequencies and publication delays. Two model classes suited in this context are factor models based on large datasets and mixed-data sampling (MIDAS) regressions with few predictors. The specification of these models requires several choices related to, amongst others, the factor estimation method and the number of factors, lag length and indicator selection. Thus, there are many sources of mis-specification when selecting a particular model, and an alternative could be pooling over a large set of models with different specifications. We evaluate the relative performance of pooling and model selection for now- and forecasting quarterly German GDP, a key macroeconomic indicator for the largest country in the euro area, with a large set of about one hundred monthly indicators. Our empirical findings provide strong support for pooling over many specifications rather than selecting a specific model.

Keywords: factor models; forecast combination; forecast pooling; MIDAS; mixed-frequency data; model selection; nowcasting (search for similar items in EconPapers)
JEL-codes: C53 E37 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-for and nep-mac
Date: 2009-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12) Track citations by RSS feed

Downloads: (external link)
http://www.cepr.org/active/publications/discussion_papers/dp.php?dpno=7197 (application/pdf)
CEPR Discussion Papers are free to download for our researchers, subscribers and members. If you fall into one of these categories but have trouble downloading our papers, please contact us at subscribers@cepr.org

Related works:
Working Paper: Pooling versus Model Selection for Nowcasting with Many Predictors: An Application to German GDP (2009) Downloads
Working Paper: Pooling versus model selection for nowcasting with many predictors: an application to German GDP (2009) Downloads
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:cpr:ceprdp:7197

Ordering information: This working paper can be ordered from
http://www.cepr.org/ ... ers/dp.php?dpno=7197

Access Statistics for this paper

More papers in CEPR Discussion Papers from C.E.P.R. Discussion Papers Centre for Economic Policy Research, 33 Great Sutton Street, London EC1V 0DX.
Bibliographic data for series maintained by ().

 
Page updated 2019-08-20
Handle: RePEc:cpr:ceprdp:7197