EconPapers    
Economics at your fingertips  
 

Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US output growth and inflation

Michael Clements and Ana Galvão ()

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

Abstract: Although many macroeconomic series such as US real output growth are sampled quarterly, many potentially useful predictors are observed at a higher frequency. We look at whether a recently developed mixed data-frequency sampling (MIDAS) approach can improve forecasts of output growth and inflation. We carry out a number of related real-time forecast comparisons using various indicators as explanatory variables. We find that MIDAS model forecasts of output growth are more accurate at horizons less than one quarter using coincident indicators ; that MIDAS models are an effective way of combining information from multiple indicators ; and that the forecast accuracy of the unemployment-rate Phillips curve for inflation is enhanced using the MIDAS approach.

Keywords: Data frequency; multiple predictors; combination; real-time forecasting (search for similar items in EconPapers)
JEL-codes: C51 C53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets, nep-for and nep-mac
Date: 2006
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8) Track citations by RSS feed

Downloads: (external link)
https://warwick.ac.uk/fac/soc/economics/research/w ... s/2006/twerp_773.pdf

Related works:
Working Paper: Macroeconomic Forecasting with Mixed Frequency Data: Forecasting US output growth and inflation (2006) 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:wrk:warwec:773

Access Statistics for this paper

More papers in The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Margaret Nash ().

 
Page updated 2019-09-12
Handle: RePEc:wrk:warwec:773