Using the Mixed Data Sampling (MIDAS) model to study the impact of oil prices on economic growth in Algeria during the period 1990-2021
Abstract
This study aimed to determine the impact of monthly oil price fluctuations on the annual economic growth rates in Algeria during the period 1990-2021 using the (MIDAS) model. Among the most important findings of the study is that annual economic growth in Algeria is positively affected by the monthly changes in international oil prices. The study also found that MIDAS models have a great predictive ability, allowing researchers to utilize all available information for high-frequency variables, instead of using annual average values that lose a lot of information. These models also help avoid converting low-frequency variables to match high-frequency variables, reducing econometric issues in model diagnostics and ensuring greater accuracy in results.
References
Changes in predictive ability with mixed frequency data2013International Journal of Forecasting293395-410
Comparison of methods for mixed data sampling (MIDAS) regression models to forecast Indonesian GDP using agricultural exports2018The 8th Annual Basic Science International Conference1-6AIP Conference Proceedings
Forecasting fiscal time series" Working Paper Series 1550, European Central Bank1-49
Forecasting with Mixed FrequenciesFEDERAL RESERVE BANK OF ST. LOUIS REVIEW9216521-536
How can big data enhance the timeliness of official statistics? The case of the U.S. consumer price index2018International Journal of Forecasting342225-234
MIDAS Regressions: Further Results and New Directions200726153-90
MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro areaInternational Journal of Forecasting272529-542
Mixed Frequency Data Sampling Regression Models: The R Package midasrJournal of Statistical Software7241-35
Multi-Period Forecasts of Volatility: Direct, Iterated, and Mixed-Data ApproachesSSRN Electronic Journal 1-22
Nowcasting Philippine Economic Growth Using MIDAS Regression2019DLSU Business & Economics Review29114-23
Predicting the Country Commodity Imports Using Mixed Frequency Data Sampling (MIDAS) Mode2018Iran. Econ. Rev224867-886
The impact of Oil Price Changes on Economic Growth in Arab oil-exporting countries: Econometric study using the Panel data for the period (2000-2021)Journal of Financial, Accounting and Managerial Studies92509-524
The MIDAS Touch: Mixed Data Sampling Regression ModelsUniversity of North Carolina and UCLA Discussion USA01
Variable Weights Combination MIDAS Model Based on ELM for Natural Gas Price ForecastingIEEE Access1052075 - 52093
