Pooling-Based Data Interpolation and Backdating
IGIER Working Paper No. 299
38 Pages Posted: 9 Oct 2005
There are 2 versions of this paper
Pooling-Based Data Interpolation and Backdating
Pooling-Based Data Interpolation and Backdating
Date Written: September 2005
Abstract
Pooling forecasts obtained from different procedures typically reduces the mean square forecast error and more generally improves the quality of the forecast. In this paper we evaluate whether pooling interpolated or backdated time series obtained from different procedures can also improve the quality of the generated data. Both simulation results and empirical analyses with macroeconomic time series indicate that pooling plays a positive and important role also in this context.
Keywords: Pooling, Interpolation, Factor Model, Kalman Filter, Spline
JEL Classification: C32, C43, C82
Suggested Citation: Suggested Citation
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