Massimiliano Marcellino, Andrea Renzetti, Tommaso Tornese
arXiv 8 Nov 2024 · Econometrics
arXiv:2411.05629 · PDF · DOI · OpenAlex · Extracted main text
We propose a functional MIDAS model to leverage high-frequency information for forecasting and nowcasting distributions observed at a lower frequency. We approximate the low-frequency distribution using Functional Principal Component Analysis and consider a group lasso spike-and-slab prior to identify the relevant predictors in the finite-dimensional SUR-MIDAS approximation of the functional MIDAS model. In our application, we use the model to nowcast the U.S. households' income distribution. Our findings indicate that the model enhances forecast accuracy for the entire target distribution and for key features of the distribution that signal changes in inequality.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Mogliani, Matteo, Simoni, Anna (2021) Bayesian MIDAS penalized regressions: Estimation, selection, and prediction | 0.961 | 9 | 4 | 89% |
| 2 | Schorfheide, Frank, Song, Dongho (2015) Real-time forecasting with a mixed-frequency VAR | 0.928 | 4 | 3 | 100% |
| 3 | Ramsay, J. O., Silverman, B. W (2005) Functional Data Analysis | 0.644 | 2 | 2 | 100% |
| 4 | Petersen, Alexander, Müller, Hans-Georg (2016) Functional data analysis for density functions by transformation to a Hilbert space | 0.585 | 3 | 1 | 100% |
| 5 | Carriero, Andrea, Chan, Joshua, Clark, Todd E., Marcellino, Massimil… (2022) Corrigendum to “Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors” [J. Econometrics 212… self | 0.511 | 2 | 2 | 50% |
| 6 | Xu, Xiaofan, Ghosh, Malay (2015) Bayesian Variable Selection and Estimation for Group Lasso | 0.511 | 2 | 1 | 100% |
| 7 | Azzalini, Adelchi, Capitanio, Antonella (2003) Distributions generated by perturbation of symmetry with emphasis on a multivariate skew t-distribution | 0.405 | 1 | 1 | 100% |
| 8 | Koop, Gary, McIntyre, Stuart, Mitchell, James, Wu, Ping (2024) Mixed Frequency Functional VARs for Nowcasting and Structural Analysis of the Income Distribution in the UK | 0.405 | 1 | 1 | 100% |
| 9 | Marcellino, Massimiliano, Tornese, Tommaso (2024) The Distributional Effects of Economic Uncertainty self | 0.405 | 1 | 1 | 100% |
| 10 | Chan, Joshua C. C (2022) Asymmetric conjugate priors for large Bayesian VARs | 0.405 | 1 | 1 | 100% |
Showing the top 10 of 30 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Firm Heterogeneity and Macroeconomic Fluctuations: a Functional VAR model | 0.405 | 1 | 1 |