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Forecasting US output growth using leading indicators: an appraisal using MIDAS models
Author(s) -
Clements Michael P.,
Galvão Ana Beatriz
Publication year - 2009
Publication title -
journal of applied econometrics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 2.878
H-Index - 99
eISSN - 1099-1255
pISSN - 0883-7252
DOI - 10.1002/jae.1075
Subject(s) - predictive power , econometrics , regression , exploit , vintage , computer science , quarter (canadian coin) , regression analysis , time series , statistics , economics , mathematics , machine learning , geography , philosophy , computer security , archaeology , epistemology
We evaluate the predictive power of leading indicators for output growth at horizons up to 1 year. We use the MIDAS regression approach as this allows us to combine multiple individual leading indicators in a parsimonious way and to directly exploit the information content of the monthly series to predict quarterly output growth. When we use real‐time vintage data, the indicators are found to have significant predictive ability, and this is further enhanced by the use of monthly data on the quarter at the time the forecast is made. Copyright © 2009 John Wiley & Sons, Ltd.