Type: Working Paper
Markov-Switching MIDAS Models
Working Paper, EUI ECO, 2011/03
GUERIN, Pierre, MARCELLINO, Massimiliano, Markov-Switching MIDAS Models, EUI ECO, 2011/03 - http://hdl.handle.net/1814/15644
Retrieved from Cadmus, EUI Research Repository
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 mixed-frequency data in Markov-switching models. After a discussion of estimation and inference for MS-MIDAS, and a small sample simulation based evaluation, the MS-MIDAS model is applied to the prediction of the US and UK economic activity, in terms both of quantitative forecasts of the aggregate economic activity and of the prediction of the business cycle regimes. Both simulation and empirical results indicate that MSMIDAS is a very useful specification.
We would like to thank Karol Ciszek, Matthieu Droumaguet, Laurent Ferrara, Eric Ghysels, Helmut Herwartz, Helmut Luetkepohl, Michael McCracken, Rossen Valkanov and seminar participants at the EUI, the MIDAS workshop at Goethe University Frankfurt and the 6th Eurostat Colloquium on Modern Tools for Business Cycle Analysis for useful comments on a previous draft.
Cadmus permanent link: http://hdl.handle.net/1814/15644
Series/Number: EUI ECO; 2011/03
Keyword(s): Business cycle Mixed-frequency data Non-linear models Forecasting Nowcasting C22 C53 E37
Published version: http://hdl.handle.net/1814/29183