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- W2941736669 abstract "This paper tackles the mixed-frequency modeling problem from a new perspective. Instead of drawing upon the common distributed lag polynomial model, we use a transfer function representation to develop a new type of models, named TF-MIDAS. We derive the theoretical TF-MIDAS implied by the high-frequency VARMA family models and as a function of the aggregation scheme (flow and stock). This exact correspondence leads to potential gains in terms of nowcasting and forecasting performance against the current alternatives. A Monte Carlo simulation exercise confirms that TF-MIDAS beats UMIDAS models in terms of out-of-sample nowcasting performance for several data generating high-frequency processes." @default.
- W2941736669 created "2019-05-03" @default.
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- W2941736669 date "2019-03-30" @default.
- W2941736669 modified "2023-09-27" @default.
- W2941736669 title "TF-MIDAS: a new mixed-frequency model to forecast macroeconomic variables" @default.
- W2941736669 hasPublicationYear "2019" @default.
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