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Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models
16 references·0 citing·41 second hop
Forecasting Mixed‐Frequency Time Series with ECM‐MIDAS Models (2014)Forecasting Mixed‐Frequency Time Series w…Nowcasting: The real-time informational content of macroeconomic data (2008)Nowcasting: The real-time inf…MIDAS Regressions: Further Results and New Directions (2007)MIDAS Regressions: Further Re…The MIDAS Touch: Mixed Data Sampling Regression Models (2004)The MIDAS Touch: Mixed Data S…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Forecasting Output and Inflation: The Role of Asset Prices (2003)Forecasting Output and Inflat…Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…Tests for Forecast Encompassing (1998)Tests for Forecast Encompassi…Forecasting Economic Time Series (1998)Forecasting Economic Time Ser…Testing the equality of prediction mean squared errors (1997)Testing the equality of predi…Testing for an unstable root in conditional and structural error correction models (1994)Testing for an unstable root …Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyEstimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Forecasting and testing in co-integrated systems (1987)Forecasting and testing in co…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…The Combination of Forecasts (1969)The Combination of ForecastsThe Distributed Lag Between Capital Appropriations and Expenditures (1965)The Distributed Lag Between C…Determining the Number of Factors in Approximate Factor Models (2002)Forecasting Using Principal Components From a Large Number of Predictors (2002)Macroeconomic Forecasting Using Diffusion Indexes (2002)Large Bayesian vector auto regressions (2009)Real-Time Measurement of Business Conditions (2009)Prior Selection for Vector Autoregressions (2014)The Precision of National Income Estimates (1942)New Methods of Quality Control (1963)Short-Term Sales Forecasting (1965)Principles of Forecasting (2001)Time series forecasting using a hybrid ARIMA and neural network model (2003)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Comparing Predictive Accuracy (1995)Forecasting Economic Time Series (2000)25 years of time series forecasting (2006)Tests of Conditional Predictive Ability (2006)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Statistical analysis of cointegration vectors (1988)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Macroeconomics and Reality (1980)In Search of Complementarity in Innovation Strategy: Internal R&D and External Knowledge Acquisition (2006)Introductory Econometrics for Finance (2008)Critical Values for Cointegration Tests (2010)Empirical exchange rate models of the seventies (1983)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Approximately normal tests for equal predictive accuracy in nested models (2006)Postwar U.S. Business Cycles: An Empirical Investigation (1997)Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory* (2000)Why Has U.S. Inflation Become Harder to Forecast? (2007)Credit Spreads and Business Cycle Fluctuations (2012)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Distributed Lags: A Survey (1967)Econometric Measurement of the Duration of Advertising Effect on Sales (1976)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing32,281 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1994Comparing Predictive Accuracy5,578 cited
  • 1969The Combination of Forecasts3,438 cited
  • 1997Testing the equality of prediction mean squared errors2,123 cited
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  • 2003Forecasting Output and Inflation: The Role of Asset Prices1,488 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
  • 2008Nowcasting: The real-time informational content of macroeconomic data1,153 cited
  • 1965The Distributed Lag Between Capital Appropriations and Expenditures1,133 cited
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  • 2007MIDAS Regressions: Further Results and New Directions1,003 cited
  • 1998Forecasting Economic Time Series863 cited
  • 1998Tests for Forecast Encompassing786 cited
  • 1994Testing for an unstable root in conditional and structural error correction models592 cited

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2004
The MIDAS Touch: Mixed Data Sampling Regression Models
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