MIDAS迴歸:參數估計與預測能力檢定

The asymptotic properties of the proposed tests will be established in the project. Monte Carlo simulations will be conducted to demonstrate the finite-sample properties of the proposed tests and to compare the forecasting performance of different MIDAS regressions. To illustrate the usefulness of the proposed methods, we will empirically evaluate the predictive ability of the MIDAS regressions. We focus on nowcasting and forecasting quarterly Taiwan's GDP growth using a set of monthly and daily macroeconomic indicators.