Forecasting Quarterly German GDP at Monthly Intervals Using Monthly Ifo Business Conditions Data
By Stefan Mittnik, Peter A. Zadrozny. Social Science Research Network, 2004
124 citations recorded by the source corpus.
Subfields: Applied Mathematics, Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/76f34842de68e0551fde0fa1d6092853fedeb9c7
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Applied Mathematics
In Economics and Econometrics
- Eric Ghysels
- Jennie Bai
- Jonathan H. Wright
- Bjørn Eraker
- Andrew T. Foerster
- Hernán D. Seoane
- Tae Bong Kim
- C. Chiu
Citations in the corpus
- Bayesian Mixed Frequency VARs (2015, methodology): “Other mixed-frequency VAR approaches use stockflow relationships for interpolation, such as Zadrozny (1988), Mittnik and Zadrozny (2005), or Mariano and Murasawa (2010).1 The BMF approach, on the other hand, follows the Bayesian approach to missing data similar to, for example, Kim et al. (1998).”
- Macroeconomics and the Reality of Mixed Frequency Data (2016, background): “2 See for example, Harvey and Pierse (1984), Bernanke et al. (1997), Zadrozny (1990), Mariano and Murasawa (2003), Mittnik and Zadrozny (2004), and more recently Aruoba et al. (2009), Ghysels and Wright (2009), Kuzin et al. (2009), Marcellino and Schumacher (2010), Foroni and Marcellino (2014) and…”
- Cointegration Analysis with Mixed-Frequency Data (2007, background): “We assume that the underlying data generating process of a multivariate time series of mixed-frequency data, composed of both the high and the low-frequency variables, operates at the highest frequency, as in Zadrozny (1990), Mittnik and Zadrozny (2004) and Mariano and Murasawa (2003, 2004).”
- State Space Models and MIDAS Regressions (2013, background): “…of state space models by Harvey and Pierse (1984), Harvey (1989), Bernanke, Gertler, and Watson (1997), Zadrozny (1990), Mariano and Murasawa (2003), Mittnik and Zadrozny (2004), Aruoba, Diebold, and Scotti (2009), Ghysels and Wright (2009), Kuzin, Marcellino, and Schumacher (2009), among others.”
- A Survey of Econometric Methods for Mixed-Frequency Data (2013, unknown): “yTm+hm|Tm+w = μ̂+GF̂Tm+w (51) G = Σ̃yF (hm − w)× Σ̂−1 F , (52)”
- Now-Casting and the Real-time Data Flow (2013, unknown): “Earlier applications include Zadrozny (1990) and Mittnik and Zadrozny (2004).”