Forecast pooling or information pooling during crises? MIDAS forecasting of GDP in a small open economy

• Main Authors: CHOW-TAN, Hwee Kwan, HAN, Daniel
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: Forecast evaluation; Factor MIDAS; pooling GDP forecasts; global financial crisis; Covid-19 pandemic crisis; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_working_paper/6; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1005&context=soe_working_paper
• Institution: Singapore Management University

This study compares two distinct approaches, pooling forecasts from single indicator MIDAS models versus pooling information from indicators into factor MIDAS models, for short-term Singapore GDP growth forecasting with a large ragged-edge mixed frequency dataset. We investigate their relative predi...