Title:MIDAS vs. Mixed-Frequency VAR: Nowcasting GDP in the Euro Area Author(s):KUZIN, Vladimir; MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2011Citation:
- International Journal of Forecasting, 2011, 27, 2, 529-542
Type:ArticleAbstract:This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR (MF-VAR) approaches to model specification in the presence of mixed-frequency data, e.g. monthly and quarterly series. MIDAS leads to parsimonious ...