Cointegration Analysis with Mixed-Frequency Data
In: CESifo Working Paper Series No. 1939
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In: CESifo Working Paper Series No. 1939
SSRN
In: International journal of forecasting, Band 36, Heft 3, S. 1149-1162
ISSN: 0169-2070
In: Asimakopoulos , S , Paredes , J & Warmedinger , T 2020 , ' Real-time fiscal forecasting using mixed frequency data ' , The Scandinavian Journal of Economics , vol. 22 , no. 1 , pp. 369-390 . https://doi.org/10.1111/sjoe.12338
The sovereign debt crisis has increased the importance of monitoring budgetary execution. We employ real‐time data using a Mixed Data Sampling (MiDaS) methodology to demonstrate how budgetary slippages can be detected early on. We show that in spite of using real‐time data, the year‐end forecast errors diminish significantly when incorporating intra‐annual information. Our results show the benefits of forecasting aggregates via subcomponents, in this case total government revenue and expenditure. Our methodology could significantly improve fiscal surveillance and could therefore be an important part of the European Commission's model toolkit.
BASE
In: International journal of forecasting, Band 29, Heft 3, S. 395-410
ISSN: 0169-2070
In: The Scandinavian Journal of Economics, Band 122, Heft 1, S. 369-390
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In: ECB Working Paper No. 1550
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Working paper
In: Advances in econometrics volume 13
Often applied econometricians are faced with working with data that is less than ideal. The data may be observed with gaps in it, a model may suggest variables that are observed at different frequencies, and sometimes econometric results are very fragile to the inclusion or omission of just a few observations in the sample. Papers in this volume discuss new econometric techniques for addressing these problems
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Working paper
In: Advances in econometrics volume 13 (1998)
In: FEDS Working Paper No. 2015-50
SSRN
In: International journal of forecasting, Band 40, Heft 3, S. 1206-1237
ISSN: 0169-2070
In: Swiss Finance Institute Research Paper No. 16-11
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Working paper
In: International Journal of Forecasting (2023). https://doi.org/10.1016/j.ijforecast.2023.08.003.
SSRN
We develop a new structural Vector Autoregressive (SVAR) model for analysis with mixed-frequency data. The MIDAS-SVAR model allows to identify structural dynamic links exploiting the information contained in variables sampled at different frequencies. It also provides a general framework to test homogeneous frequency-based representations versus mixed-frequency data models. A set of Monte Carlo experiments suggests that the test per-forms well both in terms of size and power. The MIDAS-SVAR is then used to study how monetary policy and financial uncertainty impact on the dynamics of gross capital inflows to the US. While no relation is found when using standard quarterly data, mixed frequency analysis exploiting the variability present in the series within the quarter shows that the effect of an interest rate shock is greater the longer the time lag between the month of the shock and the end of the quarter.
BASE
In: Emerging markets, finance and trade: EMFT, Band 57, Heft 15, S. 4473-4493
ISSN: 1558-0938