Sökning: "Mixed-Frequency Models"

Visar resultat 1 - 5 av 7 uppsatser innehållade orden Mixed-Frequency Models.

  1. 1. Nowcasting U.S. inflation using mixed frequency real-time data

    Master-uppsats, Lunds universitet/Matematisk statistik

    Författare :Gustaf Lundgren; Nils Wicktor; [2023]
    Nyckelord :Inflation; Machine Learning; Nowcasting; MIDAS; Almon distributed lag models; Real-Time data; Random Forest; XGBoost; Mathematics and Statistics;

    Sammanfattning : Different models were developed with the aim of nowcasting inflation at a daily basis with high frequency variables, while using real-time data to avoid look ahead bias. Both popular machine learning models such as Random Forest and XGBoost, and more traditional models such as UMIDAS and Almon distributed lag models were used to make the nowcasts. LÄS MER

  3. 2. Nowcasting Private Consumption in Switzerland using a Mixed-Frequency Dynamic Factor Model with High-Frequency Data

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Marius Koechlin; [2021]
    Nyckelord :Nowcasting; Private consumption; Dynamic factor mode; Mixed-frequency data; Kalman filter;

    Sammanfattning : Various empirical papers have provided evidence that dynamic factor models and the use of high- and mixed-frequency data yield good estimates for nowcasts. This thesis uses the dynamic factor model framework of Giannone et al. (2008) with daily, weekly, and monthly data to nowcast private consumption in Switzerland. LÄS MER

  4. 3. Nowcasting U.S. Inflation: The Role of Online Retail Prices

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Edvin Ahlander; Eric Axdorph; [2021]
    Nyckelord :Inflation; Nowcasting; Mixed-Frequency Models; Online Retail Prices;

    Sammanfattning : We examine whether high-frequency online retail price data contributes to more accurate nowcasts of the U.S. inflation rate, as given by the monthly change in the Consumer Price Index, when other commonly considered variables for predicting inflation already have been taken into account. LÄS MER

  5. 4. Importance of daily data in long horizon inflation forecasting - a MIDAS approach

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Katrin Ekström; Sofia Lundgren; [2018-02-19]
    Nyckelord :MIDAS; inflation; forecasting;

    Sammanfattning : We examine the accuracy of forecast models for the monthly Euro area inflation, focusing on the MIDAS approach. We compare two mixed frequency models with four low frequency models, using fourteen mixed frequency variables sampled at daily or monthly frequency. LÄS MER

  7. 5. COMPARING THE FORECASTING PERFORMANCE OF VAR, BVAR AND U-MIDAS

    Magister-uppsats, Uppsala universitet/Statistiska institutionen

    Författare :Alessio Belloni; [2017]
    Nyckelord :;

    Sammanfattning : ThispaperaimstocomparetheforecastingperformanceofthewidelyusedVARandBayesian VAR model to the unrestricted MIDAS regression. The models are tested on a real-time macroeconomic data set ranging from 2000 to 2015. LÄS MER