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Understanding geographical disposition of midas forecasting accuracy in european countries
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| 1.66 MB | Adobe PDF |
Orientador(es)
Resumo(s)
The measuring of economic activity has long been a time consuming process which often results in
official aggregated statistics being published with some delay in relation to the end of the observation
period. In order to assess where the forecasting of country wide economic activity can be the most
useful, we propose an exercise on which the forecasts root mean squared errors of several European
countries’ GDP are taken trough a MIDAS regression on a rolling estimation window. The results of this
exercise should allow for a comparison on the regional dispositions of the forecasting quality and
assess which countries show the highest gains from the use of MIDAS methodology in comparason to
the ARIMA univariate process. We find that the gains of using the MIDAS methodology in relation to
the ARIMA process are heterogenous between countries. Even though the countries appear to have
distinct potential for the use of MIDAS models, the geographical sub-region division into Center,
Eastern, Northern and Southern European countries does not seem to produce good separation
groups.
Descrição
Dissertation presented as the partial requirement for obtaining a Master's degree in Statistics and Information Management, specialization in Information Analysis and Management
Palavras-chave
MIDAS Forecasting Quality Economic Activity European Coutries