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18-026/III - Forecasting economic time series using score-driven dynamic models with mixed-data sampling


  • Authors
    Paolo Gorgi, VU Amsterdam; Siem Jan (S.J.) Koopman, VU Amsterdam; Tinbergen Institute, The Netherlands; Mengheng Li, VU Amsterdam
  • Publication date
    March 21, 2018
  • Keywords
    Factor model, GAS model, Inflation forecasting, MIDAS, Score-driven model, Weighted maximum likelihood
  • JEL
    C42