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Title:A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates Author(s):FORONI, Claudia; MARCELLINO, Massimiliano
Date:2014Citation:
- International journal of forecasting, 2014, Vol. 30, No. 3, pp. 554-568
Type:ArticleAbstract:In this paper, we focus on the different methods which have been proposed in the literature to date for dealing with mixed-frequency and ragged-edge datasets: bridge equations, mixed-data sampling (MIDAS), and mixed-frequency ...
Date:2014Citation:
Title:Markov-switching MIDAS models Author(s):GUERIN, Pierre; MARCELLINO, MassimilianoDate:2013Citation:
- Journal of business & economic statistics, 2013, Vol. 31, No. 1, pp. 45-56
Type:ArticleAbstract:This article introduces a new regression model Markov-switching mixed data sampling (MS-MIDAS)-that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of ...
Date:2013Citation:
Title:Markov-Switching MIDAS Models Author(s):GUERIN, Pierre; MARCELLINO, MassimilianoDate:2011Type:Working PaperSeries/Number:EUI ECO; 2011/03Abstract:This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of ...
Date:2011Type:Working PaperSeries/Number:EUI ECO; 2011/03Abstract:This paper introduces a new regression model - Markov-switching mixed data sampling (MS-MIDAS) - that incorporates regime changes in the parameters of the mixed data sampling (MIDAS) models and allows for the use of ...
Title:A survey of econometric methods for mixed-frequency data Author(s):FORONI, Claudia; MARCELLINO, MassimilianoDate:2013Type:Working PaperSeries/Number:EUI ECO; 2013/02Abstract:The development of models for variables sampled at different frequencies has attracted substantial interest in the recent econometric literature. In this paper we provide an overview of the most common techniques, including ...
Date:2013Type:Working PaperSeries/Number:EUI ECO; 2013/02Abstract:The development of models for variables sampled at different frequencies has attracted substantial interest in the recent econometric literature. In this paper we provide an overview of the most common techniques, including ...