MIDAS vs. Mixed-frequency VAR: Nowcasting GDP in the Euro Area
dc.contributor.author | KUZIN, Vladimir | |
dc.contributor.author | MARCELLINO, Massimiliano | |
dc.contributor.author | SCHUMACHER, Christian | |
dc.date.accessioned | 2009-09-09T14:32:03Z | |
dc.date.available | 2009-09-09T14:32:03Z | |
dc.date.issued | 2009 | |
dc.identifier.issn | 1725-6704 | |
dc.identifier.uri | https://hdl.handle.net/1814/12382 | |
dc.description.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 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. | en |
dc.format.mimetype | application/pdf | |
dc.language.iso | en | en |
dc.relation.ispartofseries | EUI ECO | en |
dc.relation.ispartofseries | 2009/32 | en |
dc.rights | info:eu-repo/semantics/openAccess | |
dc.subject | nowcasting | en |
dc.subject | mixed-frequency data | en |
dc.subject | mixed-frequency VAR | en |
dc.subject | MIDAS | en |
dc.subject | C53 | en |
dc.subject | E37 | en |
dc.title | MIDAS vs. Mixed-frequency VAR: Nowcasting GDP in the Euro Area | en |
dc.type | Working Paper | en |
dc.neeo.contributor | KUZIN|Vladimir|aut| | |
dc.neeo.contributor | MARCELLINO|Massimiliano|aut|EUI70008 | |
dc.neeo.contributor | SCHUMACHER|Christian|aut| | |
eui.subscribe.skip | true |
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