Saved in:
| Main Authors: | , , |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2411.05629 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866915009957724160 |
|---|---|
| author | Marcellino, Massimiliano Renzetti, Andrea Tornese, Tommaso |
| author_facet | Marcellino, Massimiliano Renzetti, Andrea Tornese, Tommaso |
| contents | We propose a functional MIDAS model to leverage high-frequency information for forecasting and nowcasting distributions observed at a lower frequency. We approximate the low-frequency distribution using Functional Principal Component Analysis and consider a group lasso spike-and-slab prior to identify the relevant predictors in the finite-dimensional SUR-MIDAS approximation of the functional MIDAS model. In our application, we use the model to nowcast the U.S. households' income distribution. Our findings indicate that the model enhances forecast accuracy for the entire target distribution and for key features of the distribution that signal changes in inequality. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2411_05629 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Nowcasting distributions: a functional MIDAS model Marcellino, Massimiliano Renzetti, Andrea Tornese, Tommaso Econometrics We propose a functional MIDAS model to leverage high-frequency information for forecasting and nowcasting distributions observed at a lower frequency. We approximate the low-frequency distribution using Functional Principal Component Analysis and consider a group lasso spike-and-slab prior to identify the relevant predictors in the finite-dimensional SUR-MIDAS approximation of the functional MIDAS model. In our application, we use the model to nowcast the U.S. households' income distribution. Our findings indicate that the model enhances forecast accuracy for the entire target distribution and for key features of the distribution that signal changes in inequality. |
| title | Nowcasting distributions: a functional MIDAS model |
| topic | Econometrics |
| url | https://arxiv.org/abs/2411.05629 |