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Monthly Forecasting of GDP with Mixed Frequency Multivariate Singular Spectrum Analysis

Autores 
Dimitrios Thomakos
Emmanuel Sirimal Silva
Hossein Hassani
Ano de Divulgação 
2019
Código JEL 
C1 - Econometric and Statistical Methods: General
C53 - Forecasting and Other Model Applications
E1 - General Aggregative Models
Resumo 
The literature on mixed-frequency models is relatively recent and has found applications across economics and finance. The standard application in economics considers the use of (usually) monthly variables (e.g. industrial production) in predicting/fitting quarterly variables (e.g. real GDP). In this paper we propose a Multivariate Singular Spectrum Analysis (MSSA) based method for mixed frequency interpolation and forecasting, which can be used for any mixed frequency combination. The novelty of the proposed approach rests on the grounds of simplicity within the MSSA framework. We present our method using a combination of monthly and quarterly series and apply MSSA decomposition and reconstruction to obtain monthly estimates and forecasts for the quarterly series. Our empirical application shows that the suggested approach works well, as it offers forecasting improvements on a dataset of eleven developed countries over the last 50 years. The implications for mixed frequency modelling and forecasting, and useful extensions of this method, are also discussed.
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