Title:Factor-MIDAS for nowcasting and forecasting with ragged-edge data : a model comparison for German GDP Author(s):MARCELLINO, Massimiliano; SCHUMACHER, ChristianDate:2010Citation:
- Oxford Bulletin of Economics and Statistics, 2010, 72, 4, 518-550
Type:ArticleAbstract:In this article, we merge two strands from the recent econometric literature. First, factor models based on large sets of macroeconomic variables for forecasting, which have generally proven useful for forecasting. However, ...
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 ...