Nowcasting India Economic Growth Using a Mixed-Data Sampling (MIDAS) Model (Empirical Study with Economic Policy Uncertainty–Consumer Prices Index)
Abstract
:1. Introduction
2. Materials and Methods
2.1. Step Weighting
2.2. Almon (PDL) Weighting
2.3. Beta Weighting
3. Data and Theory
4. Methodology
5. Empirical Results
6. Conclusions
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Acknowledgments
Conflicts of Interest
Appendix A
References
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Variables | Normality | Mean | Standard Deviation | Maximum | Minimum | Skewness | Kurtosis |
---|---|---|---|---|---|---|---|
J-B | |||||||
GDP% | 343.6 *** | 1.64 | 5.98 | 23.12 | −25.29 | −1.39 | 17.66 |
EPU | 61.6 *** | 94.09 | 46.82 | 283.68 | 32.88 | 1.37 | 5.31 |
CPI% | 2.89 | 6.37 | 2.57 | 12.06 | 1.08 | 0.32 | 2.54 |
GDP | Stationary | GDP (−1) | C | TREND | INCPT BREAK | TREND BREAK | BREAKDUM | Integrated |
---|---|---|---|---|---|---|---|---|
t-statistics | −54.25 *** | −4.9 *** | 10.76 *** | −1.97 * | 23.23 *** | −16.95 *** | −46.80 *** | I(0) |
Break Date | 2020 Q2 |
Test | Normality | ACF2 | ADF |
---|---|---|---|
J-B | Non Constant–Non Trend | ||
Residuals (PROB) | 0.824 | 0.645 | 000 *** |
Dependent Variable: GDP (2013Q4 2018Q4) | |||
---|---|---|---|
Variable | Coefficient | Std. Error | t-Statistics |
C | 2.80203 | 0.41732 | 6.714348 *** |
GDP (−1) | −0.583927 | 0.186453 | −3.131770 *** |
EPU(−2) Lags: 5 | |||
PDL1 | −0.092474 | 0.021263 | −4.348970 *** |
PDL2 | 0.110246 | 0.026672 | 4.133369 *** |
PDL3 | −0.039758 | 0.009813 | −4.051492 *** |
PDL4 | 0.004328 | 0.001083 | 3.996321 *** |
CPI(−2) Lags: 15 | |||
PDL1 | 0.47354 | 0.076658 | 6.177316 *** |
PDL2 | −0.232206 | 0.040478 | −5.736635 *** |
PDL3 | 0.028698 | 0.005617 | 5.109536 *** |
PDL4 | −0.001012 | 0.000226 | −4.475439 *** |
Adg. R-Squared | 0.580478 | Log Likelihood | 2.022063 |
In of Sample (Training Data) | Out of Sample (Testing Data) | ||||
---|---|---|---|---|---|
Horizon (Quarter) | H = 1 | H = 4 | H = 10 | H = Last Point | |
RMSE | 0.258 | 0.778 | 0.937 | 11.51 | 1.24 |
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Mishra, P.; Alakkari, K.; Abotaleb, M.; Singh, P.K.; Singh, S.; Ray, M.; Das, S.S.; Rahman, U.H.; Othman, A.J.; Ibragimova, N.A.; et al. Nowcasting India Economic Growth Using a Mixed-Data Sampling (MIDAS) Model (Empirical Study with Economic Policy Uncertainty–Consumer Prices Index). Data 2021, 6, 113. https://doi.org/10.3390/data6110113
Mishra P, Alakkari K, Abotaleb M, Singh PK, Singh S, Ray M, Das SS, Rahman UH, Othman AJ, Ibragimova NA, et al. Nowcasting India Economic Growth Using a Mixed-Data Sampling (MIDAS) Model (Empirical Study with Economic Policy Uncertainty–Consumer Prices Index). Data. 2021; 6(11):113. https://doi.org/10.3390/data6110113
Chicago/Turabian StyleMishra, Pradeep, Khder Alakkari, Mostafa Abotaleb, Pankaj Kumar Singh, Shilpi Singh, Monika Ray, Soumitra Sankar Das, Umme Habibah Rahman, Ali J. Othman, Nazirya Alexandrovna Ibragimova, and et al. 2021. "Nowcasting India Economic Growth Using a Mixed-Data Sampling (MIDAS) Model (Empirical Study with Economic Policy Uncertainty–Consumer Prices Index)" Data 6, no. 11: 113. https://doi.org/10.3390/data6110113