A Survey of Econometric Methods for Mixed-Frequency Data

Foroni, Claudia; Marcellino, Massimiliano

doi:10.2139/ssrn.2268912

Cited by 102 publications

(88 citation statements)

References 60 publications

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“…The most significant characteristic of the model is the use of mixed periodicity for the OISSTs that are highly correlated with the QSCAT wind speeds as independent variables. Mixed periodicity refers to the lags composites [33]. First of all, the autocorrelation was analyzed to identify the proper lags of mixed periodicity between two variables in time.…”

Section: Statistical Model For Wind Speed Forecastingmentioning

confidence: 99%

Offshore Wind Speed Forecasting: The Correlation between Satellite-Observed Monthly Sea Surface Temperature and Wind Speed over the Seas around the Korean Peninsula

Kim

Kang

2017

Energies

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Abstract:Wind power forecasting is a key role for large-scale wind power penetration on conventional electric power systems by understanding stochastic nature of winds. This paper proposes an empirical statistical model for forecasting monthly offshore wind speeds as a function of remotely sensed sea surface temperatures over the seas around the Korean Peninsula. The model uses the optimal lagged multiple linear regression method, and predictors are characterized by mixed periodicities derived from the autocorrelation between spatially variable satellite-observed sea surface temperatures and wind speeds at all grid points over a period of about ten years (2001 to 2008). Offshore wind speeds were found to be correlated with sea surface temperatures within a seasonal range of two-to four-month lags. In particular, offshore wind speeds were closely associated with the sea surface temperature at lag 4 M, followed by lag 3 M and lag 2 M. Correlation is less at lag 1 M as compared lag 2 M, lag 3 M and lag 4 M. The results demonstrate that this approach successfully produces accurate depictions of monthly wind speeds at the gridded network. The hindcast offshore wind speeds and wind power density showed slightly improved skills compared to the seasonally varying climatology with the value of root-mean square errors, +18% and +23%, respectively. The spatial distributions of the monthly gridded wind speed and wind power density remained fairly stable from one month to another, whereas individual regions displayed slight differences in variability. The results of this study are expected to be useful in establishing guidelines for operating and managing nascent offshore farms around the Korean Peninsula.

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Section: Statistical Model For Wind Speed Forecastingmentioning

confidence: 99%

Offshore Wind Speed Forecasting: The Correlation between Satellite-Observed Monthly Sea Surface Temperature and Wind Speed over the Seas around the Korean Peninsula

Kim

Kang

2017

Energies

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“…additional source data are needed in order to allocate changes in inventories to a specific quarter, since the level of inventories can last for several accounting periods. C P I a n d i n v e s t m e n t d e f l a t o r C P I a n d im p o r t d e f l a t o r consumption, but the definitions, scope and index formulae of the two price indices differ: CPI is constructed as a Laspeyrestype index and HFCE IPD is a Paasche-type index; CPI measures the prices of expenditures in the domestic territory, while HFCE IPD measures the prices of consumption by residents wherever it occurs (for our tourist who purchase touristic services abroad the weighted average of CPIs of the five leading destination countries is used); HFCE IPD includes the prices of goods and dwelling services produced by households for their own use, but the CPI only measures the prices of market transactions; CPI measures the prices of actual explicit payments made for financial and insurance services, while the HFCE IPD measures the prices of financial and insurance services provided, including those for financial services indirectly measured (FISIM) 9 . Export and import implicit price deflators have a huge distance from CPI with RMSE of 4.6603 and 5.4153, respectively.…”

Section: Implicit Price Deflatorsmentioning

confidence: 99%

GDP revisions and nowcasting in Serbia

Labus¹

2017

Ekonomika preduzeca

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SažetakMi se bavimo u ovom članku pitanjima vezanim za obračun kvartalnih računa, njihovu reviziju i instant procenu bruto domaćeg proizvoda (BDP) na bazi raspoloživih mesečnih ekonomskih i finansijskih indikatora. Ako se BDP pravovremeno i tačno meri, tada nosioci ekonomske politike i javnost mogu pouzdano da prate šta se dešava sa primenom programa fiskalne konsolidacije. Reputacija ovog programa, izmedju ostalog, zavisi od njegovih rezultata u koje javnost neće da sumnja. Kako su, medjutim, konačni podaci o BDP i njegovim komponentama poznati tek najesen iduće godine, a podložni su revizija ne samo do tada nego i u naredne dve godine -što je standardna metodologija ESA 2010 koju primenjuje Evrostat u Evropskoj uniji -pouzdanost ocena BDP može da trpi štetu zbog potrebe da ocene budu napravljene što hitnije. A što se tiče potrebe za brzim informacijama, brza procena BDP može da bude od koristi. Preliminarni podaci o BDP iz tekućeg kvartala raspoloživi su tek dva mesena po njegovom završetku. Brza procena BDP može da skrati taj period, čak i u odnosu na fleš ocenu BDP koja je raspoloživa mesec dana nakon završetka kvartala. Naravno, pravi izazovi kod brze procene BDP postoje kod pitanja koje mesečne serije uključiti u njenu analizu. Naš članak posvećen je svim ovim navedenim pitanjima. Ključne reči: obračun BDP-a, implicitni BDP deflator, brze procene BDP-a Abstract 1This paper addresses the issues of Quarterly National Accounts compilation and Gross Domestic Product (GDP) revisions as well as GDP shortterm forecasting based on available monthly series of economic and financial indicators. If GDP is promptly and properly measured, policy makers and the general public can closely monitor implementation of the fiscal consolidation program. Reputation of the program depends on achievements that should be beyond any doubt. Since figures on quarterly GDP and its components are provisional until autumn of next year, and subject for revision over the next two years -which is a standard ESA 2010 methodology -accuracy of data might interfere with prompt availability. Additionally, nowcasting can provide timely estimates of current GDP. Figures on this quarter GDP are available two months after the end of the quarter. Flash estimates of GDP are available one month after the end of the quarter. The nowcasting technique can substantially shorten this gap. However, the challenging issue is related to a choice of the monthly series that should be included in Mixed Data Sampling econometrics. We address both of these issues in this paper.

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“…Finalmente, la mezcla de frecuencias distintas en los datos (los autores utilizan datos diarios desde noviembre de 1999 hasta agosto de 2008, pero también utilizan la inflación anualizada durante el mismo periodo y diferenciales de la tasa de interés que se presumen mensuales) sugiere posibles complicaciones en la estimación, sobre las cuales se han hecho importantes avances recientemente en la literatura (Foroni y Marcellino 2013), pero sobre los que no se hace ninguna discusión en ese documento. Según Arbeláez y Steiner (2009) el tipo de cambio en Colombia no ha sido persistentemente más volátil que en otros países, como México, Brasil y Chile e incluso que en la zona del euro, aun cuando la volatilidad en Colombia aumentó en forma importante durante 2005 a tasas superiores a las registradas en estos países.…”

Section: Modelación De La Volatilidad Y Efectividad De Las Intervenciunclassified

Regímenes de volatilidad del tipo de cambio en Colombia e intervenciones de política

Uribe¹,

Restrepo²,

Fernández³

2015

Investigación Económica

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ResumenEn este documento se explora la evolución reciente de la volatilidad del tipo de cambio nominal (peso-dólar) en Colombia. Se identifican algunas de las características del proceso que la describe, separando la evolución de la volatilidad condicional y la volatilidad no condicional, a la cual se le permite transitar entre regímenes, utilizando un modelo ARCH con cambios de régimen (SWARCH). Al comparar los regímenes de volatilidad, se concluye que las intervenciones del Banco de la República en el mercado cambiario no han sido efectivas para inducir un cambio de régimen en la volatilidad de la serie. Palabras clave: política cambiaria Colombia, SWARCH, intervenciones, volatilidad tipo de cambio países emergentes. Clasificación JEL: C58, E42, E58, E61. AbstractIn this document, we explore the dynamics of the volatility of the Colombian exchange rate (USA dollar-Colombia peso). Some features of the stochastic process describing the exchange rate volatility are identified. Special attention is given to the distinction between conditional and unconditional moments. We use an ARCH model with regimen switching (SWARCH) to perform this task. From the comparison of the volatility regimes we conclude that the interventions of the Colombia Central Bank have been ineffective to induce a regimen change in the market. . Los autores agradecen el apoyo de la Universidad del Valle y del Centro de Investigaciones y Documentación Socioeconómica (CIDSE) en tiempo y recursos, así como la excelente asistencia de investigación de Karol Carbonell y las discusiones con los integrantes del grupo de Macroeconomía Aplicada y Economía Financiera (MAEF) de su institución de adscripción, en especial los comentarios de Inés María Ulloa. Además, agradecen los comentarios realizados por los pares académicos anónimos de la revista. Las opiniones expresadas en este documento son responsabilidad de los autores, así como los errores u omisiones que se pudieren presentar.

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A Survey of Econometric Methods for Mixed-Frequency Data

Cited by 102 publications

References 60 publications

Offshore Wind Speed Forecasting: The Correlation between Satellite-Observed Monthly Sea Surface Temperature and Wind Speed over the Seas around the Korean Peninsula

Offshore Wind Speed Forecasting: The Correlation between Satellite-Observed Monthly Sea Surface Temperature and Wind Speed over the Seas around the Korean Peninsula

GDP revisions and nowcasting in Serbia

Regímenes de volatilidad del tipo de cambio en Colombia e intervenciones de política

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