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U-MIDAS: MIDAS regressions with unrestricted lag polynomials

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Bibliographische Detailangaben
Hauptverfasser:	Foroni, Claudia (VerfasserIn), Marcellino, Massimiliano 1970- (VerfasserIn), Schumacher, Christian (VerfasserIn)
Format:	Buch
Sprache:	English
Veröffentlicht:	Frankfurt am Main Dt. Bundesbank 2011
Schriftenreihe:	Discussion paper / Deutsche Bundesbank : Series 1, Economic studies 2011,35
Online-Zugang:	Volltext Inhaltsverzeichnis
Beschreibung:	Auch im Internet verfügbar. - Zsfassung in dt. Sprache
Beschreibung:	47 S. graph. Darst.
ISBN:	9783865587800 9783865587817

Internformat

MARC


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700	1		\|a Marcellino, Massimiliano \|d 1970- \|e Verfasser \|0 (DE-588)114655065 \|4 aut
700	1		\|a Schumacher, Christian \|e Verfasser \|0 (DE-588)171835085 \|4 aut
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Datensatz im Suchindex

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adam_text	Titel: U-MIDAS Autor: Foroni, Claudia Jahr: 2011 Contents 1 Introduction 1 2 The rationale behind U-MIDAS and its use in forecasting 3 2.1 U-MIDAS regressions in dynamic linear models ............. 3 2.2 Forecasting with U-MIDAS ........................ 6 2.3 U-MIDAS and MIDAS with exponential Almon lags........... 8 3 Monte Carlo experiments 9 3.1 The simulation design ........................... 9 3.2 The models under comparison....................... 10 3.3 Monte Carlo in-sample comparison results................ 12 3.4 Monte Carlo forecast comparison results................. 12 3.5 The role of BIC for lag length selection.................. 15 3.6 An alternative DGP with non-recursive VAR structure......... 16 3.7 Using MIDAS as DGP........................... 18 3.8 Summary of the simulation results..................... 19 4 Empirical application to US GDP growth 19 5 An application to Euro area GDP growth 23 6 Conclusions 27 A Appendix 31 A.l Identification of the disaggregate process................. 31 A.2 Monthly US data.............................. 32 A.3 Monthly Euro area indicators....................... 33 A.4 Top performers monthly Euro area indicators .............. 36
any_adam_object	1
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isbn	9783865587800 9783865587817
language	English
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physical	47 S. graph. Darst.
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series2	Discussion paper / Deutsche Bundesbank : Series 1, Economic studies
spelling	Foroni, Claudia Verfasser aut U-MIDAS MIDAS regressions with unrestricted lag polynomials Claudia Foroni ; Massimiliano Marcellino ; Christian Schumacher Frankfurt am Main Dt. Bundesbank 2011 47 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Discussion paper / Deutsche Bundesbank : Series 1, Economic studies 2011,35 Auch im Internet verfügbar. - Zsfassung in dt. Sprache Marcellino, Massimiliano 1970- Verfasser (DE-588)114655065 aut Schumacher, Christian Verfasser (DE-588)171835085 aut Deutsche Bundesbank Discussion paper Series 1, Economic studies ; 2011,35 (DE-604)BV017594637 2011,35 http://hdl.handle.net/10419/55529 Verlag kostenfrei Volltext HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024827448&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis
spellingShingle	Foroni, Claudia Marcellino, Massimiliano 1970- Schumacher, Christian U-MIDAS MIDAS regressions with unrestricted lag polynomials
title	U-MIDAS MIDAS regressions with unrestricted lag polynomials
title_auth	U-MIDAS MIDAS regressions with unrestricted lag polynomials
title_exact_search	U-MIDAS MIDAS regressions with unrestricted lag polynomials
title_full	U-MIDAS MIDAS regressions with unrestricted lag polynomials Claudia Foroni ; Massimiliano Marcellino ; Christian Schumacher
title_fullStr	U-MIDAS MIDAS regressions with unrestricted lag polynomials Claudia Foroni ; Massimiliano Marcellino ; Christian Schumacher
title_full_unstemmed	U-MIDAS MIDAS regressions with unrestricted lag polynomials Claudia Foroni ; Massimiliano Marcellino ; Christian Schumacher
title_short	U-MIDAS
title_sort	u midas midas regressions with unrestricted lag polynomials
title_sub	MIDAS regressions with unrestricted lag polynomials
url	http://hdl.handle.net/10419/55529 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024827448&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
volume_link	(DE-604)BV017594637
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