Applied Econometrics

Macroeconomic forecasting using mixed frequency data

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    Motivation: Relevant variables for macroeconomic forecasting are measured at various frequencies, such as daily (e.g. interest rates, energy data), weekly (e.g. unemployment claims), monthly (e.g. consumer price index) or quarterly (e.g. gross domestic product).


    Goal of the thesis: Apply and (possibly) extend econometric methods for macroeconomic forecasting using mixed frequency data.


    Literature (starting point):
    Andreini, P., Hasenzagl, T., Reichlin, L., Senftleben-König, C., Strohsal, T. (2020): Nowcasting German GDP. Working paper. Link