Monthly Forecasting of GDP with Mixed Frequency Multivariate Singular Spectrum Analysis

António Rua and Hossein Hassani
Authors registered in the RePEc Author Service: Dimitrios D. Thomakos

Working Papers from Banco de Portugal, Economics and Research Department

Abstract: The literature on mixed-frequency models is relatively recent and has found applications across economics and finance. The standard application in economics considers the use of (usually) monthly variables (e.g. industrial production) in predicting/fitting quarterly variables (e.g. real GDP). In this paper we propose a Multivariate Singular Spectrum Analysis (MSSA) based method for mixed frequency interpolation and forecasting, which can be used for any mixed frequency combination. The novelty of the proposed approach rests on the grounds of simplicity within the MSSA framework. We present our method using a combination of monthly and quarterly series and apply MSSA decomposition and reconstruction to obtain monthly estimates and forecasts for the quarterly series. Our empirical application shows that the suggested approach works well, as it offers forecasting improvements on a dataset of eleven developed countries over the last 50 years. The implications for mixed frequency modelling and forecasting, and useful extensions of this method, are also discussed.

JEL-codes: C1 C53 E1 (search for similar items in EconPapers)
Date: 2019
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (9)

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Journal Article: Monthly forecasting of GDP with mixed-frequency multivariate singular spectrum analysis (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:ptu:wpaper:w201913

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