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|2 21
|a 339.31094
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| 100 |
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|9 7668
|a Kuzin, Vladimir
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| 245 |
1 |
0 |
|a MIDAS versus mixed-frequency VAR :
|b nowcasting GDP in the euro area /
|c Vladimir Kuzin, Massimiliano Marcellino, Christian Schumacher.
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| 260 |
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|a Frankfurt am Main :
|b Deutsche Bundesbank,
|c 2009
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| 300 |
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|a 27 p.
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| 490 |
1 |
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|a Discussion paper. Series 1: economic studies ;
|v no. 07/2009
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| 504 |
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|a Bibliografía: p. 15-17.
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| 505 |
0 |
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|a 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.
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| 520 |
3 |
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|a 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-VAR does not restrict the dynamics and therefore can su¤er from the curse of dimensionality. But if the restrictions imposed by MIDAS are too stringent, the MF-VAR can perform better. Hence, it is di¢ cult to rank MIDAS and MF-VAR a priori, and their relative ranking is better evaluated empirically. In this paper, we compare their performance in a relevant case for policy making, i.e., nowcasting and forecasting quarterly GDP growth in the euro area, on a monthly basis and using a set of 20 monthly indicators. It turns out that the two approaches are more complementary than substitutes, since MF-VAR tends to perform better for longer horizons, whereas MIDAS for shorter horizons.
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| 650 |
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4 |
|a UNION EUROPEA
|9 155
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| 650 |
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4 |
|a PREDICCIONES ECONOMICAS
|9 2895
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| 650 |
|
4 |
|a METODOLOGIA
|9 425
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| 650 |
|
4 |
|a PRODUCTO INTERNO BRUTO
|9 7852
|
| 653 |
|
4 |
|a PRONOSTICOS ECONOMICOS
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| 700 |
1 |
|
|9 5999
|a Massimiliano Marcellino,
|d 1970-
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| 700 |
1 |
|
|9 6001
|a Schumacher, Christian
|
| 830 |
|
0 |
|9 4690
|a Discussion paper (Deutsche Bundesbank).
|p Series 1: economic studies
|v no. 07/2009
|
| 856 |
4 |
|
|u https://www.econstor.eu/bitstream/10419/27661/1/200907dkp.pdf
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