Does forecasting benefit from mixed-frequency data sampling model: The evidence from forecasting gdp growth using financial factor in Thailand

• Main Authors: Natthaphat Kingnetr, Tanaporn Tungtrakul, Songsak Sriboonchitta
• Format: Book Series
• Published: 2018
• Subjects: Computer Science
• Online Access: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=85037824678&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/58528
• Institution: Chiang Mai University

© Springer International Publishing AG 2018. It is common for macroeconomic data to be observed at different frequencies. This gives a challenge to analysts when forecasting with multivariate model is concerned. The mixed-frequency data sampling (MIDAS) model has been developed to deal with such problem. However, there are several MIDAS model specifications and they can affect forecasting outcomes. Thus, we investigate the forecasting performance of MIDAS model under different specifications. Using financial variable to forecast quarterly GDP growth in Thailand, our results suggest that U-MIDAS model significantly outperforms the traditional time-aggregate model and MIDAS models with weighting schemes. Additionally, MIDAS model with Beta weighting scheme exhibits greater forecasting precision than the time-aggregate model. This implies that MIDAS model may not be able to surpass the traditional time-aggregate model if inappropriate weighting scheme is used.