Browsing by Subject "mixed-frequency VAR"

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Browsing by Subject "mixed-frequency VAR"

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    Title: A Comparison of Mixed Frequency Approaches for Modelling Euro Area Macroeconomic Variables  Author(s): FORONI, Claudia; MARCELLINO, Massimiliano Date: 2012 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: Forecast models that take into account unbalanced datasets have recently attracted substantial attention. In this paper, we focus on different methods pro- posed so far in the literature to deal with mixed-frequency and ...
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    Title: MIDAS vs. Mixed-frequency VAR: Nowcasting GDP in the Euro Area  Author(s): KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, Christian Date: 2009 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: 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 ...