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Forecasting quarterly data using monthly information

โœ Scribed by Peter Rathjens; Russell P. Robins

Publisher
John Wiley and Sons
Year
1993
Tongue
English
Weight
607 KB
Volume
12
Category
Article
ISSN
0277-6693

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โœฆ Synopsis

There are occasions when researchers are interested in quarterly forecasts of variables that are released at higher frequencies. In these situations it is common for researchers to convert from the higher frequency to the lower frequency by some method, such as averaging or stock-end, and then to model the low-frequency data. This paper shows how to improve quarterly forecasts by using within-quarter variations of monthly data. We compare the one-step-ahead and multi-step-ahead forecasts for real GNP generated using our approach with those of Fair and Shiller (1990). Our model is extremely simple and, yet, or perhaps because of, produces a lower RMSE than any model in Fair and Shiller (1990).

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