Working Paper Series No 3 / 2014 Density forecasts with MIDAS models

  title={Working Paper Series No 3 / 2014 Density forecasts with MIDAS models},
  author={Knut Are Aastveit and Claudia Foroni and Francesco Ravazzolo},
In this paper we derive a general parametric bootstrapping approach to compute density forecasts for various types of mixed-data sampling (MIDAS) regressions. We consider both classical and unrestricted MIDAS regressions with and without an autoregressive component. First, we compare the forecasting performance of the different MIDAS models in Monte Carlo simulation experiments. We find that the results in terms of point and density forecasts are coherent. Moreover, the results do not clearly… CONTINUE READING


Publications citing this paper.


Publications referenced by this paper.
Showing 1-10 of 42 references

Nowcasting GDP in real time: A density combination approach

  • K. Aastveit, K. Gerdrup, A. Jore, L. Thorsrud
  • Journal of Business and Economic Statistics 32 (1…
  • 2014
Highly Influential
10 Excerpts

U-midas: Midas regressions with unrestricted lag polynomials

  • C. Foroni, M. Marcellino, C. Schumacher
  • Journal of the Royal Statistical Society - Series…
  • 2013
Highly Influential
11 Excerpts

Forecasting US output growth using leading indicators: an appraisal using MIDAS models

  • M. P. Clements, A. B. Galvão
  • Journal of Applied Econometrics 24 (7), 1187–1206…
  • 2009
Highly Influential
5 Excerpts

Recent developments in bootstrapping time series

  • J. Berkowitz, L. Kilian
  • Econometric Reviews 19 (1), 1–48.
  • 2000
Highly Influential
8 Excerpts

An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator

  • D. Andrews, J. Monahan
  • Econometrica 60, 953–966.
  • 1992
Highly Influential
6 Excerpts

Edegeworth corrections by bootstrap in autorgressive

  • A. Bose
  • Annals of Statistics 16 (4), 1709–1722.
  • 1988
Highly Influential
6 Excerpts

Combining inflation density forecasts

  • C. Kascha, F. Ravazzolo
  • Journal of Forecasting 29 (1-2), 231–250.
  • 2010
Highly Influential
4 Excerpts

Similar Papers

Loading similar papers…