DP5295 Pooling-based data interpolation and backdating

Author(s): Massimiliano Marcellino
Publication Date: October 2005
Keyword(s): factor Model, interpolation, Kalman Filter, pooling, spline
JEL(s): C32, C43, C82
Programme Areas: International Macroeconomics
Link to this Page: cepr.org/active/publications/discussion_papers/dp.php?dpno=5295

Pooling forecasts obtained from different procedures typically reduces the mean square forecast error and more generally improves the quality of the forecast. In this paper we evaluate whether pooling interpolated or backdated time series obtained from different procedures can also improve the quality of the generated data. Both simulation results and empirical analyses with macroeconomic time series indicate that pooling plays a positive and important role also in this context.