The authors are grateful for helpful comments and discussions to three anonymous referees, Riccardo Cristadoro, Sandra Eickmeier, Petra Gerlach-Kristen, Malte Knüppel, Gerhard Rünstler, Karsten Ruth, Klaus Wohlrabe and participants at the Bank of England CCBS research forum ‘New Developments in Dynamic Factor Modelling’ 2007, the Workshop ‘Forecasting Short-Term Developments and the Role of Econometric Models’ at the Bank of Canada 2007, the Pfingsttagung of the DStatG 2008, the Annual Conference of the Verein für Socialpolitik 2008, the Joint Research Workshop OeNB-SNB-Bbk 2008, the Workshop ‘Forecasting Macroeconomic Variables Using Dynamic Factor Models’ at the Banque de France 2008, the CFE Workshop 2008 in Neuchatel and a seminar at the Bundesbank. The codes for this article were written in Matlab. Some functions were taken from the Econometrics Toolbox written by James P. LeSage from http://www.spatial-econometrics.com. Other codes were kindly provided by Mario Forni from http://www.economia.unimore.it/forni_mario/matlab.htm, Arthur Sinko from http://www.unc.edu/~sinko/midas.zip and Gerhard Rünstler.
Factor MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP*
Article first published online: 16 JUN 2010
© Blackwell Publishing Ltd and the Department of Economics, University of Oxford, 2010
Oxford Bulletin of Economics and Statistics
Volume 72, Issue 4, pages 518–550, August 2010
How to Cite
Marcellino, M. and Schumacher, C. (2010), Factor MIDAS for Nowcasting and Forecasting with Ragged-Edge Data: A Model Comparison for German GDP. Oxford Bulletin of Economics and Statistics, 72: 518–550. doi: 10.1111/j.1468-0084.2010.00591.x
- Issue published online: 16 JUN 2010
- Article first published online: 16 JUN 2010
- Final Manuscript Received: December 2009
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