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| Tekijä: | Howrey, E. P. Hymans, S. H. Donihue, M. R. |
| Otsikko: | Merging monthly and quarterly forecasts: experience with MQEM. |
| Lehti: | Journal of Forecasting
1991 : MAY, VOL. 10:3, p. 255-268 |
| Asiasana: | ECONOMIC FORECASTING ECONOMETRIC MODELS USA |
| Kieli: | eng |
| Tiivistelmä: | Monthly observations on income, prices etc. are an important source of information on the economy. Forecasts from quarterly econometric models are typically revised on a monthly basis, to reflect the information in current economic data. The revision process involves setting targets for the quarterly values of endogenous variables for which monthly data are available, and then altering the intercept terms in the quarterly model to achieve the target values. A formal statistical approach to the use of monthly data to update quarterly forecasts is described and applied to the MQEM model. The procedure is evaluated in terms of both ex post and ex ante forecasting performance. |
SCIMA