Abstract
The literature on mixed-frequency models is relatively recent and has found applications across economics and finance. The standard application in economics considers the use of (usually) monthly variables (e.g. industrial production) for predicting/fitting quarterly variables (e.g. real GDP). This paper proposes a multivariate singular spectrum analysis (MSSA) based method for mixed-frequency interpolation and forecasting, which can be used for any mixed-frequency combination. The novelty of the proposed approach rests on the grounds of simplicity within the MSSA framework. We present our method using a combination of monthly and quarterly series and apply MSSA decomposition and reconstruction to obtain monthly estimates and forecasts for the quarterly series. Our empirical application shows that the suggested approach works well, as it offers forecasting improvements on a dataset of eleven developed countries over the last 50 years. The implications for mixed-frequency modelling and forecasting, and useful extensions of this method, are also discussed.
Original language | English |
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Pages (from-to) | 1263-1272 |
Number of pages | 10 |
Journal | International Journal of Forecasting |
Volume | 35 |
Issue number | 4 |
Early online date | 15 Jul 2019 |
DOIs | |
Publication status | Published - Oct 2019 |
Externally published | Yes |
Keywords
- Forecasting
- GDP
- Industrial production
- Mixed-frequency
- Multivariate SSA
ASJC Scopus subject areas
- Business and International Management