Forecasting with Mixed-Frequency Data
PublisherOxford University Press
Place of publicationOxford
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This article, which presents a regression framework that relates the quarterly macro variable (such as GDP growth) to higher-frequency variables in a relatively simple, parsimonious way, is organized as follows. Section 2 covers mixed data sampling (MIDAS) regressions. Section 3 covers so-called nowcasting, and the Kalman filter and its relationship with MIDAS regressions. The final section discusses volatility models using mixed frequencies. © 2011 by Oxford University Press. All rights reserved.