Forecasting US output growth using leading indicators: an appraisal using MIDAS models
利用MIDAS回归方法，结合多个月度领先指标，评估其对美国季度产出增长在一年内各预测期的预测能力，发现实时数据能显著提升预测效果。
Abstract We evaluate the predictive power of leading indicators for output growth at horizons up to 1 year. We use the MIDAS regression approach as this allows us to combine multiple individual leading indicators in a parsimonious way and to directly exploit the information content of the monthly series to predict quarterly output growth. When we use real‐time vintage data, the indicators are found to have significant predictive ability, and this is further enhanced by the use of monthly data on the quarter at the time the forecast is made. Copyright © 2009 John Wiley & Sons, Ltd.