EconPapers    
Economics at your fingertips  
 

Forecasting Commodity Prices with Mixed-Frequency Data: An OLS-Based Generalized ADL Approach

Yu-chin Chen () and Wen-Jen Tsay ()
Additional contact information
Yu-chin Chen: University of Washington

No 11-A001, IEAS Working Paper : academic research from Institute of Economics, Academia Sinica, Taipei, Taiwan

Abstract: This paper presents a generalized autoregressive distributed lag (GADL) model for conducting regression estimations that involve mixed-frequency data. As an example, we show that daily asset market information - currency and equity mar- ket movements - can produce forecasts of quarterly commodity price changes that are superior to those in the previous research. Following the traditional ADL lit- erature, our estimation strategy relies on a Vandermonde matrix to parameterize the weighting functions for higher-frequency observations. Accordingly, infer- ences can be obtained using ordinary least squares principles without Kalman fi ltering, non-linear optimizations, or additional restrictions on the parameters. Our fi ndings provide an easy-to-use method for conducting mixed data-sampling analysis as well as for forecasting world commodity price movements.

Keywords: Mixed frequency data; autoregressive distributed lag; commodity prices; forecasting (search for similar items in EconPapers)
JEL-codes: C22 C53 F31 F47 Q02 (search for similar items in EconPapers)
Pages: 34 pages
Date: 2011-03, Revised 2011-05
New Economics Papers: this item is included in nep-agr, nep-ecm, nep-for and nep-mst
References: Add references at CitEc
Citations: View citations in EconPapers (10) Track citations by RSS feed

Downloads: (external link)
http://www.econ.sinica.edu.tw/upload/file/11-A001-1(all).2011050311404646.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 400 Bad Request

Related works:
Working Paper: Forecasting Commodity Prices with Mixed-Frequency Data: An OLS-Based Generalized ADL Approach 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:sin:wpaper:11-a001

Access Statistics for this paper

More papers in IEAS Working Paper : academic research from Institute of Economics, Academia Sinica, Taipei, Taiwan Contact information at EDIRC.
Bibliographic data for series maintained by HsiaoyunLiu ().

 
Page updated 2021-04-20
Handle: RePEc:sin:wpaper:11-a001