MIDAS versus mixed-frequency VAR : nowcasting GDP in the euro area /
This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model speci…cation in the presence of mixed-frequency data, e.g., monthly and quarterly series. MIDAS leads to parsimonious models based on exponential lag polynomials for the coe¢ cients, whereas MF-V...
Main Author: | Kuzin, Vladimir |
---|---|
Other Authors: | Massimiliano Marcellino, 1970-, Schumacher, Christian |
Format: | Book |
Language: | English |
Published: |
Frankfurt am Main :
Deutsche Bundesbank,
2009
|
Series: | Discussion paper (Deutsche Bundesbank). Series 1: economic studies
no. 07/2009 |
Subjects: | |
Online Access: | https://www.econstor.eu/bitstream/10419/27661/1/200907dkp.pdf |
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