| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7213 |
| DP7213 Transparency under Flexible Inflation Targeting: Experiences and Challenges | |
| Lars E.O. Svensson | |
| 发表日期 | 2009-03-08 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | This paper discusses pooling versus model selection for now- and forecasting in the presence of model uncertainty with large, unbalanced datasets. Empirically, unbalanced data is pervasive in economics and typically due to different sampling frequencies and publication delays. Two model classes suited in this context are factor models based on large datasets and mixed-data sampling (MIDAS) regressions with few predictors. The specification of these models requires several choices related to, amongst others, the factor estimation method and the number of factors, lag length and indicator selection. Thus, there are many sources of mis-specification when selecting a particular model, and an alternative could be pooling over a large set of models with different specifications. We evaluate the relative performance of pooling and model selection for now- and forecasting quarterly German GDP, a key macroeconomic indicator for the largest country in the euro area, with a large set of about one hundred monthly indicators. Our empirical findings provide strong support for pooling over many specifications rather than selecting a specific model. |
| 主题 | International Macroeconomics |
| 关键词 | Factor models Forecast combination Forecast pooling Midas Mixed-frequency data Model selection Nowcasting |
| URL | https://cepr.org/publications/dp7213 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536048 |
| 推荐引用方式 GB/T 7714 | Lars E.O. Svensson. DP7213 Transparency under Flexible Inflation Targeting: Experiences and Challenges. 2009. |
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