Macroeconomic forecasting with mixed data sampling frequencies: Evidence from a small open economy
Document Type
Journal Article
Publication Title
Journal of Forecasting
Publisher
John Wiley and Sons, Ltd
Place of Publication
United Kingdom
School
School of Business and Law
RAS ID
26734
Abstract
The aim of this study was to forecast the Singapore gross domestic product (GDP) growth rate by employing the mixed-data sampling (MIDAS) approach using mixed and high-frequency financial market data from Singapore, and to examine whether the high-frequency financial variables could better predict the macroeconomic variables. We adopt different time-aggregating methods to handle the high-frequency data in order to match the sampling rate of lower-frequency data in our regression models. Our results showed that MIDAS regression using high-frequency stock return data produced a better forecast of GDP growth rate than the other models, and the best forecasting performance was achieved by using weekly stock returns. The forecasting result was further improved by performing intra-period forecasting.
DOI
10.1002/for.2528
Access Rights
subscription content
Comments
Tsui, A. K., Xu, C. Y., & Zhang, Z. (2018). Macroeconomic forecasting with mixed data sampling frequencies: Evidence from a small open economy. Journal of Forecasting. Available here.