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...

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Bibliographic Details
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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