High-Mixed Frequency Forecasting Methods
with Applications to Philippine GDP and Inflation
by Roberto S. Mariano
University of Pennsylvania
SYNOPSIS
This paper analyzes alternative high-frequency forecasting models for GDP growth and inflation in the Philippines, utilizing indicators that are observable at different frequencies and with particular focus on mixed-data sampling (MIDAS) regressions as well as dynamic time-series models with latent factors.
ABOUT THE SPEAKER
Professor Roberto S. Mariano is currently Professor Emeritus of Economics at the University of Pennsylvania and at Singapore Management University. He is also a fellow of the Econometric Society and a member of the Panel of Research Experts providing advice on the research program of the Central Bank of the Philippines. Prior to his retirement from Singapore Management University (SMU) in 2010, Professor Mariano was the Founding Dean of the School of Economics, and Founding Director of the Sim Kee Boon Institute for Financial Economics (SKBI) which he founded in July 2008. He was also the Founding Dean of the School of Economics and Social Sciences in SMU for the period 2002-2007. During his tenure in SMU, he also served as the Vice Provost of Research and Deputy Director of the Wharton-SMU Research Centre.
Before joining SMU, Professor Mariano was a member of the economics faculty of the University of Pennsylvania since 1971. He has held visiting positions in various academic institutions in the United States, Europe and Asia such as the University of California in Berkeley; the Institute for Advanced Studies in Vienna, Austria; the University of Western Australia; and the Centre for Operations Research and Econometrics (CORE) in Louvain, Belgium.
He received his master's degree in statistics from the University of the Philippines, his master's degree in mathematics from the University of Illinois (USA) and his PhD in statistics from Stanford University (USA).
His research interests include High-Mixed-Frequency Forecasting, Dynamic Latent Factor Models for Output Gap Estimation, and Statistical Tests for Multiple Forecast Comparison. He has served on the editorial board of several international professional journals, including Journal of Econometrics, Econometric Theory, Journal of the American Statistical Association, and International Economic Review.
Professor Mariano has been a consultant on econometric modelling for forecasting and policy analysis for various central banks, government ministries, stock exchanges, and private companies in Asia and the United States. He has authored numerous research papers and books on econometric methodology and applications. His paper with F. Diebold on "Comparing Forecast Accuracy," which develops the Diebold-Mariano statistic, is one of the highly cited publications in econometric methodology today.
Details
| Date |
Friday, 23 November 2018 |
| Time |
3:30pm - 5:00pm |
| Venue |
Singapore Management University
Administration Building, Level 4
Executive Seminar Room 4.2
81 Victoria Street, Singapore 188065
(Click here for map) (Building #1)
|
| Register |
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