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: UNION EUROPEA; PREDICCIONES ECONOMICAS; METODOLOGIA; PRODUCTO INTERNO BRUTO; PRONOSTICOS ECONOMICOS
• Online Access: https://www.econstor.eu/bitstream/10419/27661/1/200907dkp.pdf

Table of Contents:

• 1. Introduction
• 2. Nowcasting quarterly GDP with ragged-edge data
• 3. Now and forecasting Euro Area GDP with MIDAS and MF-VAR
• 4. Conclusions
• Euro Area dataset.