Estimating Madagascar economic growth using the Mixed Data Sampling (MIDAS) approach

Andrianady, Josué R. and Rajaonarison, Njakanasandratra R. and Razanajatovo, Yves H. (2023): Estimating Madagascar economic growth using the Mixed Data Sampling (MIDAS) approach.

Abstract

In this document, we introduce a forecasting model for the Gross Domestic Product (GDP) to estimate the economic growth of Madagascar in 2022. Normally, important macroeconomic variables are reported at different frequencies. For instance, GDP and foreign trade figures are typically provided on a quarterly and monthly basis respectively. However, traditional econometric models necessitate data to be harmonized to a common frequency by aggregating at the highest available frequency, which is known as temporal aggregation. Nonetheless, this approach has a disadvantage of losing information. Consequently, we propose the Mixed Data Sampling (MIDAS) method as an alternative.

• Item Type: MPRA Paper
• Language: English
• Keywords: MIDAS, economic growth, Madagascar
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General; C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics; C - Mathematical and Quantitative Methods > C4 - Econometric and Statistical Methods: Special Topics > C41 - Duration Analysis ; Optimal Timing Strategies

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