This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Abstract - #308637
Title: WITHDRAWN: Specification Issues in Mixed-Frequency Time Series Modeling
Author(s): Klaus Wohlrabe
Keywords: mixed-frequency ; state-space ; model selection ; MIDAS ; forecasting

We investigate the neglected aspect of model specification for two mixed-frequency model classes: the state-space approach and the MIDAS framework. Based on information criteria, we demonstrate that small-scale models are sufficient for mixed-frequency state-space modelling and parameter proliferation is not a major concern. In contrast, MIDAS models are very parsimonious independently of the included lags and the frequency mixture. We derive MIDAS representations from bivariate high-frequency vector autoregressions which enables us to determine theoretical lag lengths for MIDAS models. In a Monte Carlo study we demonstrate that standard selection criteria choose on average larger models than theoretically predicted. . Furthermore we outline that under certain circumstances restricted weighting functions increase forecasting accuracy.

The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.

Back to the full JSM 2010 program

2010 JSM Online Program Home

For information, contact or phone (888) 231-3473.

If you have questions about the Continuing Education program, please contact the Education Department.