Pooling-Based Data Interpolation and Backdating

IGIER Working Paper No. 299

38 Pages Posted: 9 Oct 2005

See all articles by Massimiliano Giuseppe Marcellino

Massimiliano Giuseppe Marcellino

Bocconi University - Department of Economics; Centre for Economic Policy Research (CEPR)

Multiple version iconThere are 2 versions of this paper

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

Marcellino, Massimiliano, Pooling-Based Data Interpolation and Backdating (September 2005). IGIER Working Paper No. 299, Available at SSRN: https://ssrn.com/abstract=812987 or http://dx.doi.org/10.2139/ssrn.812987

Massimiliano Marcellino (Contact Author)

Bocconi University - Department of Economics ( email )

Via Gobbi 5
Milan, 20136
Italy

Centre for Economic Policy Research (CEPR) ( email )

London
United Kingdom

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